NVDA Options History — September 2009 In September 2009, NVDA traded between $0.35 and $0.41. ATM implied volatility averaged 43.7%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 1.5% (HV 20d: 42.1%). Max pain ranged from $0.28 to $0.38. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.51.
Notable Days 2009-09-16 : Highest Volume — 2,321,040 contracts2009-09-10 : Largest IV spike — 10.8% change2009-09-01 : Highest IV Rank — 6.2%2009-09-01 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $0.38 $0.35 $0.41 $0.35 $0.38 Max Pain $0.36 $0.28 $0.38 $0.28 $0.38 ATM IV 43.7% 38.2% 49.3% 49.3% 42.5% Expected Move 12.7% 10.9% 14.1% 14.1% 12.2% HV 20d 42.1% 37.2% 47.9% 47.7% 37.2% HV 60d 42.8% 39.8% 44.6% 44.6% 39.8% IV Rank 2.3% 0.0% 6.2% 6.2% 4.0% IV Percentile 3.2% 0.0% 7.9% 7.5% 2.8% Term Structure 3.7% 0.2% 6.7% 0.2% 4.0% VWIV 44.6% 40.3% 49.1% 48.6% 41.3% Skew 25d 4.6% 0.0% 7.6% 6.4% 2.9% Skew 10d 9.4% -1.2% 19.0% 3.8% 6.1% Call IV 25d 42.3% 38.4% 46.2% 46.2% 39.8% Put IV 25d 46.9% 41.9% 53.1% 52.6% 42.6% Bid-Ask Spread % 13.21 8.74 17.88 10.84 9.86 Gamma HHI 0.26 0.22 0.37 0.28 0.24 Net GEX 2.0M 825.0K 4.2M 1.2M 4.2M Net DEX -122.5M -174.5M -68.8M -97.8M -119.6M Net VEX -438.9K -668.3K -301.4K -329.8K -668.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.16 2.38 2.01 0.23 Total Volume 781,586.667 132,440 2,321,040 624,680 969,160 Total OI 11,112,060.952 8,964,720 14,793,880 10,090,880 12,721,520
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 2009-09-01 $0.35 $0.28 49.3% 14.1% 47.7% 6.2% 48.6% 6.4% 0.2% 1.2M -97.8M -329.8K 2.01 10.84 N/A N/A 207,400 417,280 5,784,560 4,306,320 2009-09-02 $0.36 $0.28 47.7% 13.7% 47.9% 4.7% 48.1% 7.6% 2.6% 825.0K -99.2M -341.4K 2.38 8.74 N/A N/A 43,880 104,520 5,824,920 4,623,720 2009-09-03 $0.36 $0.28 46.4% 13.3% 47.5% 3.5% 49.1% 6.5% 1.7% 838.4K -111.2M -335.7K 0.21 10.95 N/A N/A 109,840 22,600 5,819,440 4,625,440 2009-09-04 $0.38 $0.38 43.0% 13.7% 46.8% 0.2% 47.9% 7.3% 2.9% 850.1K -130.9M -320.6K 0.27 16.37 N/A N/A 174,040 46,240 5,840,680 4,623,520 2009-09-08 $0.39 $0.38 45.3% 13.5% 45.1% 2.4% 48.3% 4.8% 3.9% 950.6K -144.0M -311.1K 0.36 17.18 N/A N/A 139,560 50,360 5,881,760 4,644,760 2009-09-09 $0.40 $0.38 42.5% 13.4% 44.0% 0.0% 48.0% 7.1% 2.8% 958.3K -157.5M -304.5K 0.23 11.58 N/A N/A 324,480 74,240 5,907,880 4,658,480 2009-09-10 $0.41 $0.38 47.1% 13.5% 43.6% 4.4% 46.2% 3.7% 3.7% 952.3K -171.3M -301.4K 0.24 14.28 N/A N/A 230,280 55,600 5,959,360 4,696,440 2009-09-11 $0.41 $0.38 46.5% 13.3% 43.5% 3.8% 47.0% 5.8% 3.9% 1.0M -167.9M -308.4K 0.28 14.53 N/A N/A 346,960 97,160 6,008,520 4,726,880 2009-09-14 $0.40 $0.38 46.8% 13.4% 42.2% 4.1% 46.7% 7.5% 4.0% 1.1M -160.4M -310.5K 0.18 15.45 N/A N/A 311,160 55,600 6,051,360 4,797,360 2009-09-15 $0.41 $0.38 45.8% 13.1% 37.7% 3.1% 45.3% 5.8% 3.9% 1.3M -172.1M -305.1K 0.41 9.43 N/A N/A 654,880 268,600 6,131,120 4,805,600 2009-09-16 $0.40 $0.38 41.0% 11.8% 39.0% 0.0% 41.8% 5.5% 4.4% 2.1M -164.5M -330.7K 0.22 10.71 N/A N/A 1,908,360 412,680 6,576,520 5,005,480 2009-09-17 $0.38 $0.38 45.2% 13.0% 43.0% 4.0% 44.9% 4.6% 2.0% 2.9M -160.8M -419.1K 0.62 13.30 N/A N/A 1,395,880 871,400 7,805,480 5,169,840 2009-09-18 $0.38 $0.38 42.4% 12.1% 41.4% 1.3% 42.5% 4.4% 3.6% 2.9M -174.5M -501.5K 0.26 12.61 N/A N/A 666,320 171,640 8,876,560 5,917,320 2009-09-21 $0.38 $0.38 42.7% 12.2% 41.3% 1.6% 43.1% 3.9% 3.5% 1.8M -69.2M -519.7K 0.16 15.72 N/A N/A 957,680 152,280 6,071,520 2,893,200 2009-09-22 $0.38 $0.38 41.8% 12.0% 39.5% 0.8% 41.7% 1.8% 3.8% 2.4M -83.3M -556.6K 0.18 14.56 N/A N/A 733,800 134,680 6,778,560 2,979,400 2009-09-23 $0.37 $0.38 39.9% 11.4% 40.2% 0.0% 40.3% 0.0% 6.7% 2.7M -80.1M -576.2K 0.38 15.60 N/A N/A 724,200 274,400 7,254,800 3,072,720 2009-09-24 $0.37 $0.38 40.5% 11.6% 40.6% 0.5% 41.7% 2.1% 4.5% 2.8M -73.3M -607.4K 0.38 14.53 N/A N/A 795,960 300,520 7,706,200 3,304,840 2009-09-25 $0.36 $0.38 42.6% 12.2% 41.0% 2.5% 41.7% 2.4% 4.5% 3.0M -68.8M -622.8K 1.21 11.13 N/A N/A 219,680 265,680 8,249,200 3,404,360 2009-09-28 $0.37 $0.38 38.2% 10.9% 37.7% 0.0% 40.6% 3.8% 6.5% 3.4M -87.2M -620.3K 0.16 12.05 N/A N/A 630,640 99,320 8,335,760 3,394,680 2009-09-29 $0.36 $0.38 39.7% 11.4% 37.9% 1.4% 41.1% 2.6% 3.7% 3.5M -77.7M -625.3K 0.35 17.88 N/A N/A 739,040 255,320 8,690,440 3,426,760 2009-09-30 $0.38 $0.38 42.5% 12.2% 37.2% 4.0% 41.3% 2.9% 4.0% 4.2M -119.6M -668.3K 0.23 9.86 N/A N/A 788,320 180,840 9,190,440 3,531,080
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