NVDA Options History — July 2009 In July 2009, NVDA traded between $0.25 and $0.33. ATM implied volatility averaged 54.6%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 9.0% (HV 20d: 45.6%). 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 2 of 22 days. Put/call ratio averaged 1.11.
Notable Days 2009-07-30 : Highest Volume — 1,748,480 contracts2009-07-13 : Largest IV spike — 29.1% change2009-07-30 : Highest IV Rank — 14.4%2009-07-30 : Largest Expected Move — 18.2%Monthly Statistics Metric Avg Min Max Open Close Price $0.29 $0.25 $0.33 $0.28 $0.32 Max Pain $0.25 $0.25 $0.28 $0.28 $0.28 ATM IV 54.6% 46.8% 63.5% 51.3% 61.0% Expected Move 16.2% 14.4% 18.2% 14.7% 17.5% HV 20d 45.6% 41.0% 49.4% 44.7% 41.0% HV 60d 59.5% 57.7% 60.7% 60.6% 57.7% IV Rank 6.3% 0.0% 14.4% 2.5% 12.2% IV Percentile 10.2% 0.0% 28.2% 2.4% 23.8% Term Structure -2.7% -6.3% 8.9% 7.1% -3.1% VWIV 56.8% 51.2% 63.9% 51.2% 63.9% Skew 25d 4.7% -1.6% 7.7% -1.6% 4.7% Skew 10d 11.0% -4.1% 23.4% 2.3% 9.6% Call IV 25d 54.5% 50.0% 61.3% 53.2% 61.3% Put IV 25d 59.2% 49.8% 67.5% 51.5% 66.0% Bid-Ask Spread % 11.10 6.84 15.36 6.84 8.35 Gamma HHI 0.26 0.15 0.88 0.39 0.18 Net GEX 1.9M 629.1K 14.3M 1.8M 1.1M Net DEX -52.4M -132.6M 14.1M -50.1M -87.5M Net VEX -443.4K -533.4K -414.5K -533.4K -421.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.11 0.13 7.03 0.19 0.89 Total Volume 593,232.727 122,320 1,748,480 743,680 327,080 Total OI 13,430,314.545 11,081,400 15,967,360 14,487,960 11,081,400
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 2009-07-01 $0.28 $0.28 51.3% 14.7% 44.7% 2.5% 51.2% -1.6% 7.1% 1.8M -50.1M -533.4K 0.19 6.84 N/A N/A 622,720 120,960 8,613,000 5,874,960 2009-07-02 $0.27 $0.28 50.3% 14.4% 45.6% 1.6% 51.9% -1.3% 8.9% 1.8M -28.3M -506.4K 0.65 11.64 N/A N/A 218,920 142,040 8,936,240 5,708,680 2009-07-06 $0.26 $0.25 52.8% 16.9% 47.0% 3.7% 59.8% 6.7% -3.3% 1.1M -5.3M -457.7K 2.04 10.39 N/A N/A 201,280 410,600 8,799,360 5,708,360 2009-07-07 $0.25 $0.25 53.6% 17.6% 49.4% 4.4% 61.6% 6.3% -3.1% 666.5K 14.1M -418.3K 0.35 10.68 N/A N/A 389,920 135,240 9,062,400 5,548,880 2009-07-08 $0.25 $0.25 55.8% 18.1% 44.8% 6.4% 63.2% 5.6% -4.2% 795.8K 11.1M -422.9K 0.14 10.53 N/A N/A 799,880 114,160 9,271,600 5,584,840 2009-07-09 $0.26 $0.25 50.1% 16.8% 43.8% 1.4% 57.7% 5.4% -1.8% 955.3K 910.1K -431.6K 0.81 12.21 N/A N/A 283,000 228,640 9,353,840 5,595,120 2009-07-10 $0.26 $0.25 46.8% 16.1% 43.9% 0.0% 56.0% 7.5% -1.5% 719.2K 2.9M -422.7K 1.34 14.96 N/A N/A 161,640 217,360 9,345,080 5,747,920 2009-07-13 $0.26 $0.25 60.5% 16.4% 44.3% 11.8% 54.9% 7.7% -3.7% 629.1K 1.0M -414.5K 2.11 14.61 N/A N/A 171,200 361,960 9,339,880 5,885,880 2009-07-14 $0.27 $0.25 51.9% 15.3% 45.0% 4.4% 53.1% 5.0% -2.8% 1.0M -11.4M -431.1K 0.80 10.66 N/A N/A 166,080 132,800 9,408,080 6,145,800 2009-07-15 $0.28 $0.25 47.5% 15.0% 46.4% 0.6% 51.9% 4.2% -1.8% 2.3M -41.6M -439.6K 0.51 12.15 N/A N/A 264,360 135,960 9,481,680 6,089,480 2009-07-16 $0.29 $0.25 55.2% 15.8% 49.1% 7.3% 55.4% 3.2% -3.1% 6.5M -94.8M -448.2K 0.27 8.76 N/A N/A 1,021,480 278,840 9,560,000 6,093,680 2009-07-17 $0.30 $0.25 55.5% 15.9% 49.2% 7.5% 55.6% 4.5% -6.0% 14.3M -132.6M -455.9K 0.20 10.35 N/A N/A 739,480 148,040 9,784,280 6,183,080 2009-07-20 $0.31 $0.25 54.7% 15.7% 49.3% 6.8% 55.6% 4.5% -5.5% 782.7K -64.3M -440.2K 0.94 15.36 N/A N/A 210,640 198,560 6,210,360 4,913,920 2009-07-21 $0.30 $0.25 53.0% 15.2% 44.6% 5.3% 53.4% 4.0% -4.0% 744.5K -54.0M -442.1K 0.39 13.78 N/A N/A 263,680 102,320 6,281,280 4,992,080 2009-07-22 $0.31 $0.25 55.2% 15.8% 44.8% 7.3% 54.6% 2.2% -6.1% 880.2K -69.7M -441.8K 0.70 13.81 N/A N/A 125,280 87,080 6,406,320 5,032,360 2009-07-23 $0.33 $0.25 55.5% 15.9% 47.5% 7.5% 55.4% 5.7% -6.3% 960.4K -94.9M -436.9K 0.13 8.16 N/A N/A 1,134,240 146,360 6,421,320 5,030,680 2009-07-24 $0.32 $0.25 54.8% 15.7% 44.9% 6.9% 55.0% 4.1% -2.6% 1.1M -93.5M -448.8K 0.33 10.27 N/A N/A 153,040 49,960 6,562,680 5,112,040 2009-07-27 $0.33 $0.25 56.0% 16.0% 44.8% 7.9% 57.2% 4.6% -3.8% 1.0M -92.8M -436.0K 0.73 9.32 N/A N/A 70,640 51,680 6,461,160 5,130,720 2009-07-28 $0.33 $0.25 57.0% 16.3% 44.8% 8.8% 57.6% 6.4% -4.6% 1.0M -93.9M -425.2K 0.31 8.76 N/A N/A 110,600 34,600 6,467,160 5,151,640 2009-07-29 $0.32 $0.25 59.4% 17.0% 44.4% 10.9% 60.8% 6.7% -3.9% 942.7K -82.1M -440.1K 7.03 13.27 N/A N/A 95,880 674,440 6,465,800 5,161,080 2009-07-30 $0.32 $0.28 63.5% 18.2% 44.4% 14.4% 63.3% 6.5% -4.2% 1.0M -84.8M -440.3K 3.62 9.41 N/A N/A 378,080 1,370,400 6,485,360 4,977,440 2009-07-31 $0.32 $0.28 61.0% 17.5% 41.0% 12.2% 63.9% 4.7% -3.1% 1.1M -87.5M -421.4K 0.89 8.35 N/A N/A 173,480 153,600 6,439,080 4,642,320
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