NVDA Options History — October 2009 In October 2009, NVDA traded between $0.30 and $0.35. ATM implied volatility averaged 44.1%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 5.3% (HV 20d: 38.8%). Max pain ranged from $0.35 to $0.38. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.51.
Notable Days 2009-10-01 : Highest Volume — 1,195,920 contracts2009-10-15 : Largest IV spike — 30.1% change2009-10-30 : Highest IV Rank — 18.8%2009-10-30 : Largest Expected Move — 15.3%Monthly Statistics Metric Avg Min Max Open Close Price $0.34 $0.30 $0.35 $0.35 $0.30 Max Pain $0.35 $0.35 $0.38 $0.38 $0.35 ATM IV 44.1% 36.5% 53.2% 46.0% 53.2% Expected Move 13.2% 11.8% 15.3% 13.2% 15.3% HV 20d 38.8% 34.5% 46.0% 46.0% 38.0% HV 60d 41.6% 39.7% 43.8% 43.1% 43.8% IV Rank 7.2% 0.0% 18.8% 7.1% 18.8% IV Percentile 9.7% 0.0% 28.2% 11.1% 28.2% Term Structure -1.0% -3.8% 3.5% 2.5% -3.1% VWIV 46.1% 40.6% 52.0% 45.4% 52.0% Skew 25d 3.2% 0.6% 5.7% 1.9% 4.6% Skew 10d 5.7% -13.9% 17.0% -13.9% 10.5% Call IV 25d 45.4% 41.3% 50.8% 44.6% 50.8% Put IV 25d 48.6% 43.0% 55.5% 46.5% 55.5% Bid-Ask Spread % 12.44 8.99 19.01 9.78 12.64 Gamma HHI 0.24 0.18 0.40 0.25 0.19 Net GEX 2.7M 874.8K 5.1M 3.4M 1.2M Net DEX -21.7M -58.4M 45.9M -52.5M 36.8M Net VEX -574.8K -666.0K -418.6K -637.1K -450.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.51 0.09 1.43 0.37 0.31 Total Volume 731,327.273 136,440 1,195,920 1,195,920 412,040 Total OI 14,296,869.091 12,683,240 15,731,360 13,246,640 15,058,720
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 2009-10-01 $0.35 $0.38 46.0% 13.2% 46.0% 7.1% 45.4% 1.9% 2.5% 3.4M -52.5M -637.1K 0.37 9.78 N/A N/A 870,400 325,520 9,501,600 3,745,040 2009-10-02 $0.35 $0.38 44.0% 12.6% 45.1% 5.4% 44.8% 1.4% 3.5% 3.5M -51.2M -641.3K 0.44 10.33 N/A N/A 288,560 125,880 9,965,480 3,790,480 2009-10-05 $0.34 $0.35 47.6% 14.2% 42.7% 8.6% 49.3% 5.7% -1.5% 3.5M -43.5M -620.9K 0.49 12.51 N/A N/A 269,160 132,080 10,060,680 3,864,280 2009-10-06 $0.35 $0.35 46.4% 14.1% 41.7% 7.5% 48.8% 4.5% -2.3% 3.8M -58.4M -643.4K 1.43 14.02 N/A N/A 485,560 695,800 10,122,280 3,950,000 2009-10-07 $0.35 $0.35 41.8% 13.6% 39.9% 3.4% 47.4% 3.4% -0.9% 3.3M -43.5M -646.6K 0.28 11.84 N/A N/A 106,960 29,480 10,202,680 4,491,440 2009-10-08 $0.35 $0.35 41.3% 13.5% 37.7% 2.8% 47.3% 4.5% -2.3% 3.5M -48.0M -645.8K 0.66 14.91 N/A N/A 631,080 416,440 10,261,120 4,507,680 2009-10-09 $0.35 $0.35 38.3% 13.4% 38.4% 0.1% 47.0% 5.1% -1.2% 3.7M -57.6M -666.0K 0.38 12.11 N/A N/A 284,160 108,640 10,367,160 4,734,920 2009-10-12 $0.35 $0.35 42.0% 13.6% 38.3% 3.5% 47.2% 3.9% -1.6% 3.6M -44.5M -631.9K 0.32 16.08 N/A N/A 524,960 167,400 10,393,120 4,795,360 2009-10-13 $0.35 $0.35 44.5% 13.8% 36.9% 5.8% 48.5% 3.4% -3.1% 3.8M -41.9M -630.3K 0.09 15.63 N/A N/A 810,760 73,640 10,522,880 4,808,760 2009-10-14 $0.35 $0.35 36.5% 13.5% 36.3% 0.0% 47.2% 4.1% -2.2% 5.1M -43.5M -616.5K 0.12 15.29 N/A N/A 783,640 96,080 10,798,560 4,787,480 2009-10-15 $0.34 $0.35 47.4% 13.6% 34.5% 9.9% 48.5% 2.5% -2.5% 3.4M -14.5M -578.7K 0.66 12.93 N/A N/A 435,640 285,960 10,815,160 4,800,960 2009-10-16 $0.33 $0.35 46.9% 13.4% 35.0% 11.7% 45.7% 3.1% -1.0% 1.6M 7.1M -539.2K 0.81 10.33 N/A N/A 433,280 352,280 10,843,240 4,888,120 2009-10-19 $0.34 $0.35 43.1% 12.3% 38.2% 7.4% 44.4% 2.7% -0.5% 2.6M -43.3M -577.8K 0.74 10.38 N/A N/A 683,200 506,280 8,684,680 3,998,560 2009-10-20 $0.34 $0.35 41.3% 11.8% 38.1% 5.4% 41.6% 0.6% 1.4% 2.7M -42.3M -578.3K 0.74 19.01 N/A N/A 624,680 465,360 8,805,840 4,096,120 2009-10-21 $0.33 $0.35 42.1% 12.1% 38.6% 6.3% 40.6% 1.2% -0.6% 2.1M -14.8M -540.9K 0.76 10.48 N/A N/A 439,360 332,040 8,621,400 4,374,720 2009-10-22 $0.34 $0.35 41.2% 11.8% 38.7% 5.3% 40.7% 2.5% 0.1% 2.1M -19.2M -563.6K 0.70 8.99 N/A N/A 286,280 199,360 8,776,840 4,577,480 2009-10-23 $0.33 $0.35 42.3% 12.1% 39.1% 6.6% 42.2% 2.5% -0.0% 1.7M -1.0M -533.3K 0.43 12.25 N/A N/A 313,600 134,680 8,849,080 4,725,520 2009-10-26 $0.32 $0.35 44.2% 12.7% 37.8% 8.7% 44.5% 1.0% -0.6% 1.6M 5.8M -521.2K 0.79 9.51 N/A N/A 187,480 148,960 8,984,200 4,817,720 2009-10-27 $0.31 $0.35 45.9% 13.2% 38.9% 10.6% 46.6% 1.5% -3.8% 1.1M 27.9M -468.7K 0.10 11.25 N/A N/A 854,120 86,280 9,056,760 4,875,080 2009-10-28 $0.30 $0.35 47.8% 13.7% 37.8% 12.7% 47.5% 4.9% -1.7% 874.8K 45.9M -418.6K 0.40 9.24 N/A N/A 842,520 334,120 9,415,200 4,886,920 2009-10-29 $0.31 $0.35 45.6% 13.1% 34.8% 10.2% 46.2% 4.3% -0.0% 1.5M 18.9M -494.9K 0.18 14.10 N/A N/A 427,240 78,240 9,921,800 4,986,000 2009-10-30 $0.30 $0.35 53.2% 15.3% 38.0% 18.8% 52.0% 4.6% -3.1% 1.2M 36.8M -450.6K 0.31 12.64 N/A N/A 315,640 96,400 10,054,360 5,004,360
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