NVDA Options History — September 2008 In September 2008, NVDA traded between $0.23 and $0.31. ATM implied volatility averaged 67.7%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 6.5% (HV 20d: 61.1%). Max pain ranged from $0.31 to $0.31. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.54.
Notable Days 2008-09-09 : Highest Volume — 2,048,800 contracts2008-09-29 : Largest IV spike — 50.1% change2008-09-29 : Highest IV Rank — 49.0%2008-09-29 : Largest Expected Move — 27.7%Monthly Statistics Metric Avg Min Max Open Close Price $0.27 $0.23 $0.31 $0.31 $0.27 Max Pain $0.31 $0.31 $0.31 $0.31 $0.31 ATM IV 67.7% 53.2% 96.8% 55.4% 73.6% Expected Move 19.4% 15.5% 27.7% 15.9% 21.1% HV 20d 61.1% 41.6% 86.6% 57.9% 86.6% HV 60d 88.3% 63.7% 93.9% 88.6% 64.7% IV Rank 26.3% 15.1% 49.0% 16.7% 30.9% IV Percentile 73.2% 39.3% 98.0% 49.2% 83.7% Term Structure -2.3% -15.8% 3.5% 0.4% -3.9% VWIV 67.7% 54.5% 84.9% 57.3% 73.2% Skew 25d -1.8% -23.2% 11.3% -23.2% -1.1% Skew 10d -8.0% -37.1% 14.7% -37.1% 5.3% Call IV 25d 70.0% 58.6% 88.1% 65.4% 72.9% Put IV 25d 68.2% 42.2% 99.4% 42.2% 71.8% Bid-Ask Spread % 10.45 3.32 26.58 5.46 12.06 Gamma HHI 0.25 0.18 0.33 0.30 0.31 Net GEX 809.3K 259.1K 2.2M 2.2M 935.5K Net DEX 30.8M -28.3M 87.2M -9.8M 5.1M Net VEX -621.7K -812.6K -453.7K -812.6K -623.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.09 1.65 0.37 0.11 Total Volume 799,826.667 276,360 2,048,800 620,640 764,200 Total OI 21,839,680 14,482,000 25,520,840 23,957,560 17,206,200
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 2008-09-02 $0.31 $0.31 55.4% 15.9% 57.9% 16.7% 57.3% -23.2% 0.4% 2.2M -9.8M -812.6K 0.37 5.46 N/A N/A 454,560 166,080 17,043,080 6,914,480 2008-09-03 $0.29 $0.31 58.5% 16.8% 59.0% 19.2% 58.8% -4.9% -2.2% 1.4M 21.6M -727.4K 1.50 3.34 N/A N/A 373,200 560,280 17,173,920 6,879,680 2008-09-04 $0.29 $0.31 57.6% 16.5% 58.5% 18.5% 60.3% -2.8% -0.9% 996.6K 31.9M -715.9K 0.23 3.32 N/A N/A 463,800 106,400 17,103,720 7,210,320 2008-09-05 $0.29 $0.31 53.2% 15.5% 58.4% 15.1% 54.5% -3.0% 2.5% 1.0M 27.8M -717.8K 1.04 10.21 N/A N/A 413,440 431,480 17,077,760 7,228,520 2008-09-08 $0.28 $0.31 59.4% 16.6% 59.6% 19.9% 56.8% -0.2% 1.8% 554.0K 52.1M -652.7K 1.08 10.10 N/A N/A 645,600 696,120 17,253,840 7,395,840 2008-09-09 $0.27 $0.31 68.7% 19.3% 60.4% 27.1% 71.2% -9.4% -3.3% 656.7K 52.7M -649.2K 0.17 10.74 N/A N/A 1,748,720 300,080 17,596,800 7,317,600 2008-09-10 $0.27 $0.31 59.7% 17.6% 60.2% 20.1% 64.7% -8.3% -0.0% 581.6K 61.8M -605.8K 0.59 5.36 N/A N/A 788,560 462,000 17,951,520 7,240,120 2008-09-11 $0.26 $0.31 63.1% 18.1% 48.6% 22.8% 64.3% 0.4% -0.6% 434.1K 72.5M -564.1K 0.46 8.93 N/A N/A 225,800 104,000 18,326,560 7,150,080 2008-09-12 $0.25 $0.31 63.0% 18.1% 41.6% 22.7% 63.7% -0.9% 0.6% 465.5K 74.2M -540.9K 0.43 7.14 N/A N/A 351,360 151,200 18,421,640 7,099,200 2008-09-15 $0.23 $0.31 74.5% 21.4% 50.0% 31.6% 75.4% -5.3% -7.1% 259.1K 87.2M -453.7K 0.51 15.80 N/A N/A 296,760 150,240 18,502,880 6,971,680 2008-09-16 $0.24 $0.31 75.5% 21.6% 51.2% 32.4% 78.0% 1.4% -5.4% 375.0K 76.2M -489.8K 1.65 9.41 N/A N/A 218,160 359,680 18,563,160 6,777,720 2008-09-17 $0.25 $0.31 84.1% 24.1% 54.1% 39.1% 84.9% 2.9% -9.2% 556.3K 55.9M -558.7K 0.51 14.97 N/A N/A 435,160 221,240 18,628,320 6,775,360 2008-09-18 $0.27 $0.31 71.8% 20.6% 61.0% 29.6% 75.6% -4.5% 3.5% 1.2M 22.9M -647.6K 0.13 26.58 N/A N/A 726,160 91,440 18,682,520 6,793,080 2008-09-19 $0.29 $0.31 68.9% 19.8% 64.0% 27.3% 72.3% 2.4% -2.2% 678.6K 22.4M -637.9K 0.34 10.81 N/A N/A 317,640 108,200 18,564,040 6,620,040 2008-09-22 $0.28 $0.31 74.1% 21.3% 64.1% 31.4% 67.9% 4.7% -4.5% 621.7K 3.1M -600.5K 0.46 7.54 N/A N/A 189,280 87,080 9,799,800 4,682,200 2008-09-23 $0.27 $0.31 71.7% 20.5% 64.4% 29.4% 70.1% -0.8% -2.8% 532.9K 12.5M -566.3K 0.09 8.22 N/A N/A 429,600 40,520 9,872,160 4,738,920 2008-09-24 $0.28 $0.31 67.4% 19.3% 66.3% 26.1% 65.4% 0.8% -0.2% 735.9K -268.8K -604.6K 0.14 7.33 N/A N/A 1,003,440 135,760 10,179,920 4,751,640 2008-09-25 $0.29 $0.31 59.2% 17.0% 66.8% 19.7% 61.4% 1.1% 0.4% 1.0M -11.4M -627.3K 0.18 10.39 N/A N/A 578,760 104,760 10,816,800 4,798,800 2008-09-26 $0.29 $0.31 64.5% 18.5% 67.4% 23.8% 65.6% 1.5% 1.1% 1.2M -28.3M -679.6K 1.11 8.82 N/A N/A 542,520 602,320 11,130,320 4,845,120 2008-09-29 $0.25 $0.31 96.8% 27.7% 83.3% 49.0% 81.3% 11.3% -15.8% 666.4K 15.6M -581.3K 0.27 22.95 N/A N/A 749,120 201,640 11,245,800 5,302,120 2008-09-30 $0.27 $0.31 73.6% 21.1% 86.6% 30.9% 73.2% -1.1% -3.9% 935.5K 5.1M -623.1K 0.11 12.06 N/A N/A 686,080 78,120 11,791,200 5,415,000
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