NVDA Options History — June 2008

In June 2008, NVDA traded between $0.47 and $0.62. ATM implied volatility averaged 51.9%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 7.4% (HV 20d: 44.6%). Max pain ranged from $0.50 to $0.63. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.63.

Notable Days

2008-06-23: Highest Volume — 2,194,280 contracts
2008-06-24: Largest IV spike — 15.0% change
2008-06-24: Highest IV Rank — 30.5%
2008-06-24: Largest Expected Move — 16.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.53	$0.47	$0.62	$0.62	$0.47
Max Pain	$0.56	$0.50	$0.63	$0.56	$0.50
ATM IV	51.9%	44.5%	58.1%	44.5%	57.5%
Expected Move	14.9%	12.8%	16.7%	12.8%	16.5%
HV 20d	44.6%	40.4%	53.1%	45.1%	40.4%
HV 60d	52.2%	47.3%	58.1%	57.7%	47.3%
IV Rank	23.9%	16.9%	30.5%	16.9%	29.7%
IV Percentile	53.0%	34.9%	68.7%	34.9%	65.5%
Term Structure	1.7%	-1.0%	3.9%	2.9%	3.0%
VWIV	52.2%	45.7%	58.6%	45.7%	55.1%
Skew 25d	1.4%	-2.1%	3.6%	1.8%	2.8%
Skew 10d	1.4%	-8.6%	11.1%	4.9%	1.9%
Call IV 25d	52.7%	46.1%	58.9%	46.1%	55.7%
Put IV 25d	54.1%	46.9%	60.0%	48.0%	58.5%
Bid-Ask Spread %	8.85	5.07	14.91	5.45	8.26
Gamma HHI	0.23	0.17	0.28	0.25	0.18
Net GEX	644.9K	-914.0K	2.8M	2.2M	1.3M
Net DEX	-21.2M	-204.2M	93.2M	-183.2M	36.3M
Net VEX	-1.1M	-1.3M	-960.5K	-1.3M	-1.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.16	2.23	0.46	1.04
Total Volume	938,076.19	272,600	2,194,280	484,840	461,480
Total OI	15,978,257.143	11,856,400	17,872,320	15,888,880	15,027,720

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2008-06-02	$0.62	$0.56	44.5%	12.8%	45.1%	16.9%	45.7%	1.8%	2.9%	2.2M	-183.2M	-1.3M	0.46	5.45	N/A	N/A	331,840	153,000	8,595,680	7,293,200
2008-06-03	$0.60	$0.56	46.9%	13.4%	46.0%	19.8%	46.8%	-2.1%	2.5%	1.5M	-141.7M	-1.3M	0.18	5.18	N/A	N/A	591,800	107,400	8,644,480	7,298,120
2008-06-04	$0.61	$0.56	47.5%	13.6%	45.5%	19.4%	47.5%	-0.3%	1.2%	2.0M	-155.8M	-1.3M	0.31	5.79	N/A	N/A	359,560	112,840	8,906,320	7,306,360
2008-06-05	$0.62	$0.56	45.5%	13.0%	44.9%	17.0%	46.0%	1.7%	3.0%	2.8M	-204.2M	-1.3M	0.22	5.07	N/A	N/A	392,400	84,480	8,972,440	7,337,560
2008-06-06	$0.60	$0.63	48.0%	14.6%	46.8%	20.0%	51.1%	1.2%	0.3%	1.8M	-147.3M	-1.3M	0.77	14.10	N/A	N/A	420,000	321,560	8,921,800	7,341,200
2008-06-09	$0.59	$0.63	54.3%	15.1%	46.6%	27.7%	52.4%	2.3%	1.2%	1.8M	-133.0M	-1.3M	0.49	14.91	N/A	N/A	183,440	89,160	9,155,720	7,495,440
2008-06-10	$0.56	$0.63	51.3%	15.0%	50.7%	24.1%	52.0%	2.3%	0.4%	85.3K	-33.6M	-1.2M	0.25	9.49	N/A	N/A	1,170,880	296,080	9,163,840	7,473,280
2008-06-11	$0.53	$0.56	54.2%	15.3%	53.1%	27.6%	52.7%	1.7%	-0.1%	-504.3K	23.1M	-1.2M	0.49	12.32	N/A	N/A	424,080	206,880	9,434,320	7,497,320
2008-06-12	$0.53	$0.56	51.5%	14.8%	52.0%	24.3%	53.1%	1.2%	1.6%	-479.1K	19.9M	-1.1M	0.71	12.29	N/A	N/A	302,680	215,760	9,485,160	7,449,000
2008-06-13	$0.53	$0.56	51.5%	14.8%	43.5%	24.3%	51.8%	2.4%	1.6%	-560.4K	26.8M	-1.1M	1.60	10.33	N/A	N/A	324,240	519,680	9,604,480	7,529,000
2008-06-16	$0.53	$0.56	55.4%	15.9%	42.0%	27.0%	55.0%	2.7%	0.4%	-788.9K	49.1M	-1.1M	2.23	11.51	N/A	N/A	403,040	899,680	9,722,320	7,676,520
2008-06-17	$0.51	$0.56	54.6%	15.6%	42.1%	26.0%	54.7%	0.2%	2.9%	-898.7K	68.5M	-1.1M	0.74	7.15	N/A	N/A	828,520	610,240	9,929,240	7,547,600
2008-06-18	$0.50	$0.56	53.9%	15.5%	42.3%	25.2%	54.2%	1.0%	2.6%	-823.5K	92.0M	-1.0M	0.91	8.22	N/A	N/A	584,840	533,960	10,326,000	7,269,680
2008-06-19	$0.50	$0.56	54.3%	15.6%	42.4%	25.6%	55.4%	0.4%	1.1%	-914.0K	85.8M	-1.0M	0.40	8.27	N/A	N/A	585,680	232,920	10,573,320	7,194,480
2008-06-20	$0.49	$0.56	52.4%	15.0%	40.7%	23.3%	52.6%	3.6%	1.6%	-620.3K	93.2M	-1.0M	0.78	8.17	N/A	N/A	752,320	589,960	10,776,560	7,095,760
2008-06-23	$0.48	$0.56	50.5%	14.5%	40.6%	21.0%	50.8%	1.8%	2.1%	144.4K	40.0M	-960.5K	0.38	6.17	N/A	N/A	1,584,960	609,320	6,910,840	4,945,560
2008-06-24	$0.50	$0.56	58.1%	16.7%	42.7%	30.5%	58.6%	1.1%	-1.0%	1.2M	-7.9M	-1.2M	0.16	8.32	N/A	N/A	1,728,000	271,240	8,095,480	5,088,240
2008-06-25	$0.50	$0.50	52.3%	15.0%	42.5%	23.2%	53.5%	3.4%	1.2%	1.7M	-15.2M	-1.2M	0.54	10.21	N/A	N/A	479,280	256,840	8,678,080	5,248,480
2008-06-26	$0.48	$0.50	53.9%	15.4%	45.3%	25.1%	54.9%	-0.8%	2.5%	1.3M	19.9M	-1.1M	0.32	6.40	N/A	N/A	815,880	260,280	8,867,280	5,399,120
2008-06-27	$0.48	$0.50	52.4%	15.0%	40.4%	23.3%	52.9%	1.2%	3.9%	1.3M	22.3M	-1.1M	0.32	8.32	N/A	N/A	456,840	146,560	8,867,280	5,399,120
2008-06-30	$0.47	$0.50	57.5%	16.5%	40.4%	29.7%	55.1%	2.8%	3.0%	1.3M	36.3M	-1.0M	1.04	8.26	N/A	N/A	226,680	234,800	9,455,880	5,571,840