NVDA Options History — December 2009

In December 2009, NVDA traded between $0.33 and $0.47. ATM implied volatility averaged 41.2%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 12.2% (HV 20d: 53.4%). Max pain ranged from $0.31 to $0.35. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.59.

Notable Days

2009-12-07: Highest Volume — 2,453,280 contracts
2009-12-07: Largest IV spike — 12.0% change
2009-12-08: Highest IV Rank — 11.1%
2009-12-08: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.41	$0.33	$0.47	$0.33	$0.47
Max Pain	$0.33	$0.31	$0.35	$0.35	$0.35
ATM IV	41.2%	38.0%	43.7%	40.2%	41.9%
Expected Move	11.9%	11.4%	12.6%	11.5%	12.0%
HV 20d	53.4%	37.6%	61.2%	37.6%	57.7%
HV 60d	46.6%	39.4%	49.9%	39.8%	47.2%
IV Rank	7.2%	2.3%	11.1%	5.6%	8.3%
IV Percentile	10.1%	1.2%	18.7%	5.2%	15.5%
Term Structure	4.1%	0.7%	6.9%	0.7%	5.3%
VWIV	41.8%	39.6%	44.3%	41.1%	42.1%
Skew 25d	3.4%	-0.3%	6.5%	-0.2%	2.6%
Skew 10d	7.9%	0.4%	11.5%	2.1%	8.0%
Call IV 25d	40.5%	37.5%	43.6%	41.5%	41.1%
Put IV 25d	43.9%	41.1%	46.4%	41.3%	43.8%
Bid-Ask Spread %	3.53	2.10	4.88	4.88	2.10
Gamma HHI	0.20	0.12	0.31	0.19	0.15
Net GEX	2.3M	1.3M	3.3M	1.9M	1.3M
Net DEX	-137.1M	-222.2M	-23.6M	-23.6M	-157.0M
Net VEX	-427.6K	-491.0K	-370.2K	-384.8K	-491.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.21	1.29	1.29	0.85
Total Volume	778,500	215,760	2,453,280	424,360	583,560
Total OI	11,409,870.909	8,413,960	13,333,640	12,096,240	10,070,560

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
2009-12-01	$0.33	$0.35	40.2%	11.5%	37.6%	5.6%	41.1%	-0.2%	0.7%	1.9M	-23.6M	-384.8K	1.29	4.88	N/A	N/A	185,560	238,800	8,052,000	4,044,240
2009-12-02	$0.34	$0.33	40.3%	11.6%	38.4%	5.9%	40.9%	0.1%	0.8%	2.4M	-48.4M	-402.9K	0.63	4.51	N/A	N/A	401,560	251,120	8,017,440	4,002,280
2009-12-03	$0.35	$0.33	40.6%	11.6%	38.2%	6.3%	40.9%	-0.3%	1.2%	2.5M	-54.6M	-410.3K	0.37	4.88	N/A	N/A	312,240	117,000	8,112,200	4,199,960
2009-12-04	$0.36	$0.31	38.0%	11.6%	38.7%	2.3%	40.3%	3.9%	4.5%	2.8M	-79.6M	-410.9K	0.43	3.54	N/A	N/A	425,320	182,480	8,069,800	4,238,480
2009-12-07	$0.40	$0.31	42.5%	12.3%	51.6%	9.2%	43.7%	3.4%	2.0%	3.3M	-189.7M	-395.9K	0.43	3.26	N/A	N/A	1,714,680	738,600	8,085,440	4,178,960
2009-12-08	$0.38	$0.31	43.7%	12.6%	55.5%	11.1%	44.1%	3.0%	3.4%	2.8M	-135.1M	-420.8K	1.07	3.45	N/A	N/A	527,720	562,080	8,099,320	4,529,680
2009-12-09	$0.39	$0.31	42.3%	12.5%	54.5%	8.9%	44.3%	2.7%	3.4%	3.0M	-160.0M	-430.7K	0.59	3.66	N/A	N/A	359,720	210,680	8,226,240	4,564,400
2009-12-10	$0.39	$0.31	43.4%	12.4%	54.9%	10.5%	43.2%	4.1%	3.9%	2.8M	-140.4M	-416.2K	0.21	3.82	N/A	N/A	415,760	88,720	8,134,760	4,627,200
2009-12-11	$0.38	$0.31	42.3%	12.1%	55.2%	8.9%	41.9%	3.8%	4.8%	2.7M	-128.2M	-411.4K	0.21	3.42	N/A	N/A	320,280	66,360	8,156,920	4,627,240
2009-12-14	$0.39	$0.31	40.7%	11.7%	55.9%	6.5%	41.8%	4.0%	4.9%	3.2M	-155.1M	-398.7K	0.40	3.08	N/A	N/A	255,880	102,520	8,130,280	4,608,320
2009-12-15	$0.39	$0.31	40.5%	11.6%	55.9%	6.1%	39.6%	4.0%	4.9%	3.2M	-154.1M	-385.5K	0.38	3.25	N/A	N/A	184,760	69,360	8,112,200	4,606,200
2009-12-16	$0.42	$0.31	43.1%	12.4%	61.2%	10.1%	44.1%	2.4%	3.0%	3.2M	-222.2M	-370.2K	0.34	4.67	N/A	N/A	1,734,080	592,000	8,044,360	4,577,880
2009-12-17	$0.42	$0.35	42.1%	12.1%	60.7%	8.6%	42.8%	3.0%	4.0%	3.2M	-213.2M	-431.7K	0.41	3.88	N/A	N/A	806,160	326,920	8,397,640	4,936,000
2009-12-18	$0.42	$0.35	40.5%	11.6%	57.7%	6.1%	42.3%	3.3%	5.6%	3.0M	-192.8M	-413.7K	0.64	3.48	N/A	N/A	770,440	492,520	8,176,960	5,037,400
2009-12-21	$0.44	$0.35	40.1%	11.5%	57.8%	5.6%	40.9%	4.0%	5.8%	1.5M	-122.6M	-429.1K	0.65	3.17	N/A	N/A	488,320	315,880	5,499,560	2,914,400
2009-12-22	$0.45	$0.35	41.1%	11.8%	57.8%	7.0%	40.7%	6.2%	6.9%	1.4M	-138.4M	-442.0K	0.79	2.82	N/A	N/A	614,120	486,960	5,620,320	3,113,200
2009-12-23	$0.45	$0.35	40.9%	11.7%	57.3%	6.8%	40.9%	5.0%	4.6%	1.4M	-141.0M	-475.7K	0.57	3.66	N/A	N/A	201,400	115,480	5,832,160	3,446,440
2009-12-24	$0.45	$0.35	40.2%	11.5%	57.6%	5.7%	41.1%	5.0%	5.2%	1.4M	-138.7M	-477.7K	0.44	3.17	N/A	N/A	163,720	72,840	5,852,920	3,503,040
2009-12-28	$0.45	$0.35	41.5%	11.9%	57.2%	7.7%	41.2%	6.5%	4.8%	1.3M	-128.4M	-473.4K	0.54	3.60	N/A	N/A	248,520	133,240	5,882,800	3,542,960
2009-12-29	$0.45	$0.35	39.9%	11.4%	57.2%	5.2%	39.9%	5.3%	5.4%	1.4M	-135.0M	-471.2K	0.83	2.87	N/A	N/A	117,760	98,000	5,926,240	3,623,320
2009-12-30	$0.47	$0.35	40.5%	11.6%	57.6%	6.1%	41.4%	3.1%	5.7%	1.5M	-157.6M	-463.7K	0.97	2.62	N/A	N/A	523,480	510,400	5,962,840	3,632,600
2009-12-31	$0.47	$0.35	41.9%	12.0%	57.7%	8.3%	42.1%	2.6%	5.3%	1.3M	-157.0M	-491.0K	0.85	2.10	N/A	N/A	315,040	268,520	6,147,240	3,923,320