NVDA Options History — April 2009 In April 2009, NVDA traded between $0.25 and $0.30. ATM implied volatility averaged 72.4%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 8.4% (HV 20d: 64.0%). Max pain ranged from $0.19 to $0.28. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.77.
Notable Days 2009-04-30 : Highest Volume — 1,760,320 contracts2009-04-20 : Largest IV spike — 11.3% change2009-04-27 : Highest IV Rank — 35.8%2009-04-27 : Largest Expected Move — 22.9%Monthly Statistics Metric Avg Min Max Open Close Price $0.28 $0.25 $0.30 $0.25 $0.29 Max Pain $0.25 $0.19 $0.28 $0.19 $0.25 ATM IV 72.4% 64.1% 79.9% 73.5% 74.7% Expected Move 21.1% 18.4% 22.9% 21.1% 21.4% HV 20d 64.0% 53.8% 70.6% 67.8% 56.6% HV 60d 76.4% 72.4% 79.5% 79.3% 73.1% IV Rank 30.0% 23.5% 35.8% 30.9% 31.8% IV Percentile 55.1% 30.2% 75.8% 58.3% 62.7% Term Structure -5.9% -13.1% 5.2% 4.6% -12.2% VWIV 73.7% 66.3% 79.9% 74.7% 72.2% Skew 25d 7.2% 0.7% 10.0% 4.5% 9.5% Skew 10d 11.6% -20.3% 30.9% -20.3% 14.2% Call IV 25d 70.2% 62.7% 76.7% 71.3% 70.1% Put IV 25d 77.4% 71.7% 84.7% 75.8% 79.6% Bid-Ask Spread % 11.16 7.80 17.00 12.78 8.45 Gamma HHI 0.22 0.18 0.31 0.27 0.18 Net GEX 74.8K -264.0K 594.8K -175.7K 17.4K Net DEX -49.4M -85.0M -18.6M -18.6M -41.6M Net VEX -449.1K -470.2K -422.1K -468.2K -422.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.10 2.54 0.10 2.12 Total Volume 598,474.286 164,360 1,760,320 459,080 1,760,320 Total OI 13,172,523.81 12,277,400 14,806,680 12,825,240 12,395,480
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 2009-04-01 $0.25 $0.19 73.5% 21.1% 67.8% 30.9% 74.7% 4.5% 4.6% -175.7K -18.6M -468.2K 0.10 12.78 N/A N/A 417,080 42,000 5,638,160 7,187,080 2009-04-02 $0.26 $0.19 72.1% 20.7% 67.8% 29.8% 72.7% 0.7% 5.2% 47.4K -35.9M -470.2K 0.14 10.78 N/A N/A 267,920 38,000 5,846,240 7,193,720 2009-04-03 $0.28 $0.25 69.4% 21.7% 70.6% 27.7% 75.5% 8.0% -4.4% 256.3K -59.3M -464.3K 0.25 10.74 N/A N/A 457,520 113,960 5,886,600 7,205,080 2009-04-06 $0.28 $0.25 71.6% 22.2% 70.1% 29.4% 77.3% 6.2% -6.1% 316.6K -65.7M -455.1K 0.97 9.47 N/A N/A 165,240 160,960 5,977,160 7,206,400 2009-04-07 $0.27 $0.25 69.0% 21.8% 67.0% 27.3% 77.8% 6.9% -5.6% 250.2K -52.0M -465.2K 0.40 13.76 N/A N/A 269,800 106,600 6,007,960 7,295,440 2009-04-08 $0.29 $0.25 65.7% 21.2% 67.6% 24.8% 73.5% 7.3% -4.1% 393.8K -67.9M -448.8K 1.01 10.53 N/A N/A 340,520 342,920 6,109,520 7,347,440 2009-04-09 $0.30 $0.25 65.5% 18.8% 67.3% 24.6% 66.3% 8.3% -2.4% 460.7K -85.0M -426.9K 0.36 17.00 N/A N/A 1,060,360 378,560 6,018,760 7,450,480 2009-04-13 $0.29 $0.25 71.9% 20.6% 68.8% 29.6% 73.2% 5.1% -3.2% 594.8K -77.0M -431.3K 0.69 11.26 N/A N/A 406,880 282,680 6,310,160 7,686,880 2009-04-14 $0.29 $0.28 74.4% 21.3% 66.4% 31.5% 72.5% 6.7% -6.4% 549.5K -76.5M -447.8K 0.41 9.08 N/A N/A 543,600 224,120 6,337,520 7,872,960 2009-04-15 $0.28 $0.28 71.0% 20.3% 66.3% 28.9% 71.8% 6.9% -4.0% 423.4K -67.7M -454.7K 0.20 8.38 N/A N/A 1,023,520 204,560 6,580,000 8,019,880 2009-04-16 $0.29 $0.28 68.5% 19.6% 66.0% 27.0% 68.4% 9.9% -2.9% -150.8K -78.6M -450.2K 0.30 9.04 N/A N/A 372,240 110,240 6,635,480 8,011,280 2009-04-17 $0.29 $0.28 64.1% 18.4% 65.6% 23.5% 67.2% 7.9% -3.2% 166.0K -83.4M -449.9K 0.27 14.94 N/A N/A 223,480 60,960 6,729,880 8,076,800 2009-04-20 $0.28 $0.28 71.4% 20.5% 66.5% 29.2% 71.4% 7.1% -7.1% -245.9K -26.6M -449.8K 0.46 13.24 N/A N/A 185,880 86,120 4,954,360 7,323,040 2009-04-21 $0.28 $0.28 72.9% 20.9% 62.3% 30.4% 73.0% 8.3% -9.4% -222.3K -26.0M -449.3K 0.93 13.25 N/A N/A 290,480 270,920 5,059,880 7,374,160 2009-04-22 $0.28 $0.28 73.2% 21.0% 60.6% 30.7% 71.5% 8.9% -9.4% -188.7K -35.5M -453.3K 0.60 10.18 N/A N/A 151,640 91,040 5,088,240 7,524,560 2009-04-23 $0.28 $0.28 77.5% 22.2% 61.1% 34.0% 76.4% 8.1% -8.1% -264.0K -28.3M -459.2K 2.54 9.21 N/A N/A 259,080 658,040 5,078,440 7,581,280 2009-04-24 $0.29 $0.25 78.4% 22.5% 58.0% 34.7% 76.4% 8.5% -11.3% -134.2K -36.2M -456.5K 1.61 9.56 N/A N/A 220,840 356,080 5,117,640 7,430,880 2009-04-27 $0.28 $0.25 79.9% 22.9% 59.6% 35.8% 79.9% 7.9% -11.2% -168.3K -26.3M -441.0K 0.97 7.80 N/A N/A 83,480 80,880 5,161,640 7,207,280 2009-04-28 $0.28 $0.25 78.0% 22.4% 53.8% 34.4% 77.6% 5.7% -9.8% -153.3K -27.1M -438.1K 1.57 11.29 N/A N/A 110,360 173,320 5,180,560 7,187,640 2009-04-29 $0.27 $0.25 78.1% 22.4% 54.3% 34.4% 79.4% 10.0% -13.1% -202.5K -21.6M -428.4K 0.29 13.53 N/A N/A 135,840 39,920 5,178,800 7,148,240 2009-04-30 $0.29 $0.25 74.7% 21.4% 56.6% 31.8% 72.2% 9.5% -12.2% 17.4K -41.6M -422.1K 2.12 8.45 N/A N/A 564,600 1,195,720 5,236,880 7,158,600
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