NVDA Options History — August 2008 In August 2008, NVDA traded between $0.26 and $0.35. ATM implied volatility averaged 72.1%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 16.8% (HV 20d: 55.3%). Max pain ranged from $0.31 to $0.38. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.43.
Notable Days 2008-08-13 : Highest Volume — 5,540,480 contracts2008-08-13 : Largest IV drop — 61.2% change2008-08-11 : Highest IV Rank — 100.0%2008-08-12 : Largest Expected Move — 24.1%Monthly Statistics Metric Avg Min Max Open Close Price $0.31 $0.26 $0.35 $0.27 $0.32 Max Pain $0.32 $0.31 $0.38 $0.31 $0.31 ATM IV 72.1% 50.6% 162.4% 73.5% 51.4% Expected Move 17.2% 14.5% 24.1% 21.1% 14.8% HV 20d 55.3% 41.9% 63.4% 42.4% 57.8% HV 60d 87.9% 84.6% 89.7% 85.9% 88.6% IV Rank 38.1% 13.0% 100.0% 49.8% 13.7% IV Percentile 66.6% 32.9% 100.0% 88.1% 35.7% Term Structure -0.7% -14.3% 4.7% -9.5% 3.1% VWIV 62.1% 52.2% 81.1% 78.4% 61.6% Skew 25d -3.3% -19.0% 9.6% -7.6% -19.0% Skew 10d -9.7% -36.7% 17.9% -30.5% -31.9% Call IV 25d 63.7% 54.2% 79.3% 79.0% 61.7% Put IV 25d 60.4% 42.7% 88.8% 71.3% 42.7% Bid-Ask Spread % 6.29 3.36 10.33 8.59 4.71 Gamma HHI 0.33 0.27 0.55 0.28 0.31 Net GEX 2.0M 264.8K 3.2M 410.3K 2.5M Net DEX -35.5M -131.0M 51.2M 46.1M -31.1M Net VEX -779.9K -1.1M -462.8K -467.8K -872.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.43 0.13 1.13 0.84 0.15 Total Volume 1,435,440 186,200 5,540,480 942,960 701,800 Total OI 21,109,699.048 16,834,000 25,307,000 16,834,000 23,625,360
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 2008-08-01 $0.27 $0.31 73.5% 21.1% 42.4% 49.8% 78.4% -7.6% -9.5% 410.3K 46.1M -467.8K 0.84 8.59 N/A N/A 512,240 430,720 12,005,760 4,828,240 2008-08-04 $0.26 $0.38 80.8% 19.1% 41.9% 58.8% 66.5% 4.2% -2.9% 264.8K 51.2M -462.8K 0.17 7.69 N/A N/A 522,800 89,840 12,251,880 5,065,840 2008-08-05 $0.28 $0.38 87.2% 19.3% 47.5% 66.9% 64.0% 3.2% -3.0% 531.9K 38.8M -520.8K 1.13 4.39 N/A N/A 275,000 310,480 12,367,960 5,025,040 2008-08-06 $0.29 $0.38 84.0% 19.0% 48.4% 63.0% 65.9% 3.0% -3.4% 765.3K 25.9M -546.5K 1.09 6.87 N/A N/A 720,600 785,320 12,475,440 4,875,400 2008-08-07 $0.28 $0.38 87.1% 16.5% 48.6% 66.8% 59.8% 0.5% 4.4% 922.6K 25.3M -505.7K 0.28 5.87 N/A N/A 850,520 238,040 12,809,360 4,510,680 2008-08-08 $0.28 $0.31 96.2% 17.7% 49.4% 78.2% 62.2% 1.8% -0.2% 796.1K 29.9M -483.3K 0.27 5.06 N/A N/A 874,800 240,000 13,156,920 4,637,360 2008-08-11 $0.28 $0.31 124.7% 20.1% 47.3% 100.0% 69.5% 2.5% -2.6% 1.0M 17.0M -530.2K 0.44 10.33 N/A N/A 1,144,080 504,680 13,615,080 4,778,560 2008-08-12 $0.28 $0.31 162.4% 24.1% 47.4% 100.0% 81.1% 9.6% -14.3% 1.0M 11.7M -563.2K 0.87 6.24 N/A N/A 2,041,200 1,766,680 14,312,000 5,044,920 2008-08-13 $0.31 $0.31 63.0% 16.8% 59.9% 22.7% 61.2% -6.3% -3.0% 3.0M -34.4M -704.8K 0.63 6.37 N/A N/A 3,391,040 2,149,440 15,436,480 6,049,880 2008-08-14 $0.33 $0.31 60.4% 17.3% 62.9% 20.7% 60.6% 1.8% -1.4% 2.2M -90.6M -889.4K 0.36 6.96 N/A N/A 2,779,920 997,000 17,066,600 7,418,400 2008-08-15 $0.32 $0.31 54.4% 15.6% 62.9% 16.0% 56.2% 1.0% 1.6% 2.9M -80.4M -932.9K 0.74 10.25 N/A N/A 720,920 533,400 17,483,200 7,823,800 2008-08-18 $0.33 $0.31 55.4% 15.9% 63.1% 16.8% 57.6% -0.6% 2.6% 2.5M -76.2M -979.3K 0.36 3.36 N/A N/A 930,840 330,960 15,555,440 6,400,560 2008-08-19 $0.34 $0.31 56.0% 16.1% 62.2% 17.3% 57.4% 0.8% 0.8% 2.6M -79.3M -995.3K 0.30 8.41 N/A N/A 840,880 255,760 15,533,000 6,652,800 2008-08-20 $0.35 $0.31 59.2% 17.0% 63.4% 19.8% 63.7% -6.2% -2.4% 3.2M -131.0M -1.1M 0.13 6.00 N/A N/A 2,062,960 267,760 16,026,920 6,778,920 2008-08-21 $0.34 $0.31 55.5% 15.9% 60.1% 16.9% 58.9% -7.2% 1.0% 3.0M -99.0M -1.0M 0.17 5.39 N/A N/A 668,160 111,280 16,123,520 6,727,760 2008-08-22 $0.34 $0.31 52.9% 15.2% 58.6% 14.9% 54.7% -7.6% 3.3% 3.1M -99.1M -1.0M 0.13 6.49 N/A N/A 206,200 26,880 16,374,080 6,752,640 2008-08-25 $0.34 $0.31 50.8% 14.6% 59.1% 13.2% 57.9% -11.1% 4.7% 3.1M -84.9M -980.7K 0.25 5.21 N/A N/A 351,600 87,240 16,372,680 6,763,720 2008-08-26 $0.33 $0.31 55.1% 15.8% 60.1% 16.6% 59.0% -14.6% 1.1% 2.8M -61.8M -953.1K 0.15 5.30 N/A N/A 853,800 129,800 16,544,240 6,813,400 2008-08-27 $0.33 $0.31 53.4% 15.3% 59.6% 15.2% 55.7% -9.6% 2.8% 3.0M -64.0M -940.3K 0.19 4.09 N/A N/A 156,280 29,920 16,728,440 6,883,560 2008-08-28 $0.33 $0.31 50.6% 14.5% 59.6% 13.0% 52.2% -7.4% 3.3% 3.0M -60.6M -924.3K 0.35 4.49 N/A N/A 187,720 65,680 16,715,160 6,892,680 2008-08-29 $0.32 $0.31 51.4% 14.8% 57.8% 13.7% 61.6% -19.0% 3.1% 2.5M -31.1M -872.8K 0.15 4.71 N/A N/A 612,160 89,640 16,721,480 6,903,880
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