NVDA Options History — August 2009 In August 2009, NVDA traded between $0.32 and $0.37. ATM implied volatility averaged 49.7%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 9.0% (HV 20d: 40.7%). Max pain ranged from $0.28 to $0.28. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.74.
Notable Days 2009-08-06 : Highest Volume — 2,470,400 contracts2009-08-07 : Largest IV drop — 33.9% change2009-08-05 : Highest IV Rank — 22.0%2009-08-05 : Largest Expected Move — 20.7%Monthly Statistics Metric Avg Min Max Open Close Price $0.34 $0.32 $0.37 $0.33 $0.36 Max Pain $0.28 $0.28 $0.28 $0.28 $0.28 ATM IV 49.7% 42.8% 72.2% 66.3% 43.3% Expected Move 14.3% 12.3% 20.7% 19.0% 12.4% HV 20d 40.7% 32.4% 45.8% 38.5% 45.7% HV 60d 44.5% 42.6% 55.6% 55.6% 43.9% IV Rank 4.5% 0.0% 22.0% 16.9% 0.5% IV Percentile 8.8% 0.0% 52.0% 33.7% 1.2% Term Structure 0.4% -16.4% 6.0% -10.6% 2.8% VWIV 51.2% 43.2% 70.4% 65.7% 45.9% Skew 25d 6.9% 4.3% 10.7% 5.8% 6.8% Skew 10d 17.1% 9.7% 26.9% 18.6% 19.8% Call IV 25d 47.7% 40.4% 68.5% 63.8% 42.8% Put IV 25d 54.6% 46.3% 74.9% 69.6% 49.6% Bid-Ask Spread % 11.51 6.99 16.98 10.08 12.89 Gamma HHI 0.25 0.18 0.63 0.18 0.26 Net GEX 1.6M 975.9K 5.3M 1.1M 1.2M Net DEX -103.7M -139.2M -78.8M -98.8M -112.9M Net VEX -360.1K -412.6K -298.7K -412.5K -330.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.74 0.22 1.63 0.34 0.57 Total Volume 486,247.619 73,320 2,470,400 465,720 99,200 Total OI 11,354,689.524 9,645,840 12,486,400 11,185,880 10,074,200
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 2009-08-03 $0.33 $0.28 66.3% 19.0% 38.5% 16.9% 65.7% 5.8% -10.6% 1.1M -98.8M -412.5K 0.34 10.08 N/A N/A 347,960 117,760 6,481,160 4,704,720 2009-08-04 $0.33 $0.28 69.6% 20.0% 32.4% 19.7% 68.5% 7.8% -14.3% 1.2M -103.5M -409.7K 0.76 16.83 N/A N/A 376,920 287,840 6,600,280 4,660,960 2009-08-05 $0.34 $0.28 72.2% 20.7% 32.4% 22.0% 70.4% 6.3% -16.4% 1.2M -105.0M -412.6K 0.91 15.15 N/A N/A 275,640 249,600 6,609,040 4,667,360 2009-08-06 $0.33 $0.28 67.4% 19.3% 34.5% 17.8% 67.5% 10.7% -11.1% 1.2M -94.4M -399.8K 0.65 12.19 N/A N/A 1,494,880 975,520 6,604,560 4,771,800 2009-08-07 $0.34 $0.28 44.5% 13.1% 36.2% 0.0% 47.2% 5.8% 3.5% 2.2M -139.2M -398.3K 0.67 10.18 N/A N/A 806,680 541,720 7,613,720 4,872,680 2009-08-10 $0.33 $0.28 46.1% 13.1% 39.9% 1.3% 48.1% 7.5% 4.4% 2.0M -110.3M -398.0K 1.40 16.98 N/A N/A 153,160 215,120 7,446,440 5,021,560 2009-08-11 $0.32 $0.28 45.7% 14.2% 41.6% 1.0% 51.9% 8.0% 1.8% 1.6M -89.2M -384.8K 1.61 12.35 N/A N/A 233,560 375,520 7,161,480 5,005,920 2009-08-12 $0.34 $0.28 45.7% 12.9% 41.3% 0.9% 47.3% 7.5% 6.0% 1.8M -110.7M -381.4K 0.48 15.53 N/A N/A 228,040 108,640 7,145,120 5,011,800 2009-08-13 $0.35 $0.28 45.1% 12.9% 39.1% 0.6% 45.4% 6.5% 4.3% 2.1M -131.1M -369.9K 0.99 11.48 N/A N/A 248,840 247,120 7,194,320 5,013,800 2009-08-14 $0.34 $0.28 45.4% 13.0% 40.5% 0.8% 45.9% 8.3% 5.4% 1.7M -103.8M -374.2K 0.42 14.52 N/A N/A 110,800 46,160 7,055,240 5,185,160 2009-08-17 $0.32 $0.28 50.1% 14.4% 43.8% 5.4% 51.3% 7.4% 0.7% 1.4M -78.9M -362.3K 0.68 10.39 N/A N/A 138,320 94,520 7,073,760 5,192,000 2009-08-18 $0.33 $0.28 46.8% 13.4% 44.5% 2.1% 48.9% 6.9% 4.8% 1.6M -101.9M -354.5K 1.18 9.66 N/A N/A 94,200 111,040 7,072,680 5,201,920 2009-08-19 $0.33 $0.28 48.7% 14.0% 44.2% 4.1% 50.9% 6.5% 3.4% 1.6M -94.4M -346.3K 0.90 11.75 N/A N/A 119,760 107,760 7,063,920 5,152,120 2009-08-20 $0.34 $0.28 45.1% 12.9% 41.6% 0.6% 50.3% 4.3% 4.9% 2.1M -120.1M -332.5K 1.63 11.84 N/A N/A 105,400 171,960 7,068,160 5,150,280 2009-08-21 $0.35 $0.28 44.5% 12.7% 41.8% 0.0% 46.5% 5.0% 5.4% 5.3M -128.1M -323.3K 0.88 8.55 N/A N/A 155,680 136,720 7,043,400 5,140,640 2009-08-24 $0.34 $0.28 45.0% 12.9% 43.3% 0.6% 47.8% 6.1% 1.8% 998.0K -78.8M -323.4K 0.28 8.16 N/A N/A 200,520 56,640 5,445,760 4,201,320 2009-08-25 $0.34 $0.28 43.2% 12.4% 43.4% 0.0% 45.1% 5.3% 3.5% 975.9K -81.8M -317.1K 0.40 7.45 N/A N/A 65,360 26,320 5,420,840 4,225,000 2009-08-26 $0.35 $0.28 42.8% 12.3% 42.6% 0.0% 43.6% 9.1% 4.1% 981.2K -85.8M -318.4K 0.22 8.32 N/A N/A 60,120 13,200 5,437,960 4,228,560 2009-08-27 $0.35 $0.28 43.6% 12.5% 42.8% 0.9% 44.6% 6.9% 2.4% 1.0M -92.3M -314.8K 0.26 10.33 N/A N/A 118,280 31,000 5,468,320 4,234,160 2009-08-28 $0.37 $0.28 43.2% 12.4% 45.8% 0.4% 43.2% 5.8% 2.1% 1.0M -116.4M -298.7K 0.23 6.99 N/A N/A 704,680 159,040 5,496,080 4,230,280 2009-08-31 $0.36 $0.28 43.3% 12.4% 45.7% 0.5% 45.9% 6.8% 2.8% 1.2M -112.9M -330.2K 0.57 12.89 N/A N/A 63,360 35,840 5,772,760 4,301,440
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