NVDA Options History — June 2009 In June 2009, NVDA traded between $0.26 and $0.29. ATM implied volatility averaged 57.8%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 4.9% (HV 20d: 52.9%). Max pain ranged from $0.25 to $0.28. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.91.
Notable Days 2009-06-10 : Highest Volume — 6,342,800 contracts2009-06-30 : Largest IV spike — 12.0% change2009-06-01 : Highest IV Rank — 19.9%2009-06-01 : Largest Expected Move — 19.0%Monthly Statistics Metric Avg Min Max Open Close Price $0.28 $0.26 $0.29 $0.27 $0.28 Max Pain $0.25 $0.25 $0.28 $0.25 $0.25 ATM IV 57.8% 48.5% 66.9% 66.3% 55.8% Expected Move 16.5% 13.9% 19.0% 19.0% 16.0% HV 20d 52.9% 40.5% 81.9% 81.9% 46.4% HV 60d 64.9% 60.6% 69.0% 68.7% 60.6% IV Rank 7.8% 0.0% 19.9% 19.9% 6.3% IV Percentile 12.8% 0.0% 29.4% 28.6% 8.3% Term Structure 1.4% -5.8% 7.2% -5.5% 3.8% VWIV 57.8% 49.7% 66.2% 65.9% 56.0% Skew 25d 1.4% -4.2% 3.6% 0.9% 3.6% Skew 10d 8.5% -8.4% 22.2% 18.4% 0.7% Call IV 25d 57.4% 48.6% 69.3% 65.6% 53.4% Put IV 25d 58.8% 50.4% 67.2% 66.5% 57.0% Bid-Ask Spread % 12.29 7.76 20.46 7.85 10.51 Gamma HHI 0.34 0.25 0.48 0.27 0.45 Net GEX 2.6M 1.2M 4.8M 1.8M 2.2M Net DEX -80.2M -152.8M -16.8M -73.8M -53.6M Net VEX -529.9K -618.1K -474.2K -503.9K -525.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.91 0.08 5.63 0.14 5.63 Total Volume 920,387.273 137,680 6,342,800 1,245,800 1,739,040 Total OI 17,856,521.818 13,203,000 22,255,720 17,117,640 13,902,360
Daily Data (22 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 2009-06-01 $0.27 $0.25 66.3% 19.0% 81.9% 19.9% 65.9% 0.9% -5.5% 1.8M -73.8M -503.9K 0.14 7.85 N/A N/A 1,097,120 148,680 9,538,040 7,579,600 2009-06-02 $0.27 $0.25 64.2% 18.4% 79.2% 16.7% 66.2% -4.2% -5.8% 2.1M -73.1M -503.0K 0.41 8.21 N/A N/A 748,360 306,360 10,127,040 7,591,680 2009-06-03 $0.26 $0.25 63.9% 18.3% 78.7% 15.8% 64.3% -2.0% -3.7% 1.7M -51.7M -504.1K 0.96 10.43 N/A N/A 96,400 92,400 10,389,120 7,808,880 2009-06-04 $0.27 $0.25 62.7% 18.0% 79.8% 14.7% 63.4% 0.9% -3.4% 2.2M -73.7M -505.5K 0.15 7.76 N/A N/A 251,560 38,280 10,382,000 7,750,280 2009-06-05 $0.27 $0.25 60.4% 16.8% 75.3% 12.7% 59.0% 3.5% 1.2% 2.2M -72.7M -503.6K 0.21 19.39 N/A N/A 205,840 43,280 10,477,960 7,828,680 2009-06-08 $0.27 $0.25 60.8% 16.9% 50.9% 11.2% 59.4% 3.0% 1.6% 2.2M -66.8M -474.2K 0.26 17.83 N/A N/A 127,960 32,840 10,399,200 7,810,000 2009-06-09 $0.28 $0.25 61.0% 16.9% 53.4% 9.3% 58.9% 3.4% 2.7% 2.9M -107.3M -479.5K 0.08 11.88 N/A N/A 945,280 77,600 10,385,200 7,794,480 2009-06-10 $0.29 $0.25 66.9% 18.5% 49.2% 14.6% 64.7% 1.4% -2.0% 3.3M -129.6M -495.2K 0.10 16.15 N/A N/A 5,786,560 556,240 10,579,800 7,839,120 2009-06-11 $0.29 $0.25 61.6% 17.7% 40.5% 9.9% 61.9% 2.4% -0.5% 4.5M -152.8M -618.1K 0.10 20.46 N/A N/A 1,304,240 128,720 13,299,640 8,100,880 2009-06-12 $0.29 $0.25 56.3% 16.1% 41.2% 5.1% 55.6% 1.7% 0.3% 4.8M -146.3M -592.9K 5.14 10.22 N/A N/A 259,400 1,334,560 13,391,600 8,137,240 2009-06-15 $0.28 $0.28 58.0% 16.6% 42.5% 6.6% 58.0% 2.7% -0.5% 3.6M -110.9M -588.9K 1.32 18.45 N/A N/A 258,520 342,280 12,842,760 9,181,120 2009-06-16 $0.28 $0.28 56.8% 16.3% 41.1% 5.6% 57.6% 1.8% 0.7% 2.8M -82.9M -569.8K 0.34 13.82 N/A N/A 259,680 89,520 12,862,400 9,366,440 2009-06-17 $0.28 $0.28 57.2% 16.4% 41.4% 5.9% 57.2% 0.6% 1.4% 3.1M -105.2M -572.3K 0.56 14.65 N/A N/A 242,960 136,240 12,855,480 9,361,600 2009-06-18 $0.28 $0.28 57.5% 16.5% 41.8% 6.2% 56.5% 2.3% 0.9% 3.0M -85.9M -550.0K 0.85 15.19 N/A N/A 598,840 511,280 12,841,840 9,413,880 2009-06-19 $0.28 $0.25 53.8% 15.4% 41.6% 2.9% 54.3% 2.2% 5.0% 3.8M -109.4M -552.1K 0.77 10.21 N/A N/A 219,600 168,080 13,052,640 9,038,160 2009-06-22 $0.26 $0.25 54.4% 15.6% 47.4% 3.5% 55.1% 2.0% 5.6% 1.3M -18.7M -499.1K 0.28 8.33 N/A N/A 228,240 63,160 8,137,280 5,065,720 2009-06-23 $0.26 $0.25 54.1% 15.5% 43.8% 3.2% 54.5% -0.7% 6.2% 1.2M -16.8M -502.7K 0.26 10.35 N/A N/A 320,840 85,000 8,224,800 5,112,440 2009-06-24 $0.27 $0.25 51.2% 14.7% 45.2% 0.6% 53.0% 2.4% 7.2% 1.7M -32.8M -514.9K 0.56 9.42 N/A N/A 376,920 210,920 8,394,640 5,146,680 2009-06-25 $0.29 $0.25 51.2% 14.7% 48.4% 0.6% 50.9% 2.4% 4.8% 2.2M -61.3M -543.3K 0.52 10.37 N/A N/A 174,120 89,920 8,388,200 5,207,040 2009-06-26 $0.29 $0.25 48.5% 13.9% 48.2% 0.0% 49.8% 1.8% 6.3% 2.4M -69.4M -539.2K 0.96 9.16 N/A N/A 70,400 67,280 8,419,680 5,178,200 2009-06-29 $0.29 $0.25 49.8% 14.3% 45.6% 1.1% 49.7% -0.9% 5.0% 2.5M -69.3M -520.4K 0.45 9.78 N/A N/A 286,040 127,960 8,422,640 5,217,040 2009-06-30 $0.28 $0.25 55.8% 16.0% 46.4% 6.3% 56.0% 3.6% 3.8% 2.2M -53.6M -525.7K 5.63 10.51 N/A N/A 262,320 1,476,720 8,599,200 5,303,160
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