NVDA Options History — April 2010 In April 2010, NVDA traded between $0.39 and $0.45. ATM implied volatility averaged 39.0%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 8.2% (HV 20d: 30.8%). Max pain ranged from $0.42 to $0.45. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.69.
Notable Days 2010-04-16 : Highest Volume — 2,549,560 contracts2010-04-13 : Largest IV spike — 25.0% change2010-04-30 : Highest IV Rank — 20.1%2010-04-30 : Largest Expected Move — 13.2%Monthly Statistics Metric Avg Min Max Open Close Price $0.42 $0.39 $0.45 $0.43 $0.39 Max Pain $0.44 $0.42 $0.45 $0.45 $0.42 ATM IV 39.0% 31.8% 46.0% 35.7% 46.0% Expected Move 11.6% 10.2% 13.2% 10.2% 13.2% HV 20d 30.8% 28.0% 37.8% 33.1% 37.8% HV 60d 40.0% 35.8% 41.5% 40.7% 38.1% IV Rank 9.3% 0.0% 20.1% 1.6% 20.1% IV Percentile 19.0% 0.0% 57.5% 2.4% 57.5% Term Structure -1.5% -3.8% 3.7% 3.7% -3.8% VWIV 40.8% 36.2% 46.4% 36.2% 46.4% Skew 25d 2.2% 0.4% 3.5% 0.4% 3.2% Skew 10d 4.8% 1.4% 8.4% 1.4% 6.9% Call IV 25d 40.4% 36.9% 46.4% 36.9% 46.4% Put IV 25d 42.7% 37.3% 49.6% 37.3% 49.6% Bid-Ask Spread % 4.45 3.43 6.51 4.52 5.08 Gamma HHI 0.20 0.13 0.56 0.16 0.24 Net GEX 757.9K -3.7M 3.4M -119.7K 2.6M Net DEX -32.2M -83.0M -2.4M -17.0M -21.6M Net VEX -747.2K -910.1K -658.5K -704.7K -854.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.30 1.74 0.67 1.17 Total Volume 1,037,752.381 144,040 2,549,560 180,840 1,572,680 Total OI 11,438,485.714 9,899,760 13,751,760 10,380,280 13,751,760
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 2010-04-01 $0.43 $0.45 35.7% 10.2% 33.1% 1.6% 36.2% 0.4% 3.7% -119.7K -17.0M -704.7K 0.67 4.52 N/A N/A 108,600 72,240 5,242,920 5,137,360 2010-04-05 $0.44 $0.45 39.7% 11.7% 31.7% 7.6% 40.2% 2.5% -1.2% 243.2K -31.5M -689.3K 0.35 3.97 N/A N/A 167,280 58,680 5,272,080 5,160,000 2010-04-06 $0.43 $0.45 38.3% 11.6% 32.6% 5.4% 40.5% 2.5% -1.3% -363.9K -9.7M -672.6K 0.40 3.54 N/A N/A 395,160 158,600 5,311,080 5,161,280 2010-04-07 $0.43 $0.45 37.9% 11.7% 29.8% 4.8% 40.7% 2.5% -1.6% -62.5K -18.8M -680.1K 0.41 5.44 N/A N/A 401,440 162,680 5,478,040 5,213,480 2010-04-08 $0.42 $0.45 35.0% 11.5% 30.3% 0.5% 40.4% 2.4% -1.1% -538.6K -2.4M -658.5K 0.51 4.44 N/A N/A 491,320 249,440 5,478,040 5,213,480 2010-04-09 $0.42 $0.45 31.8% 11.5% 29.4% 0.0% 40.0% 2.2% -1.4% -269.6K -12.0M -674.2K 0.39 4.28 N/A N/A 103,760 40,280 5,805,000 5,251,280 2010-04-12 $0.43 $0.45 32.3% 11.5% 30.1% 0.7% 40.0% 1.9% -1.4% 92.9K -28.8M -661.7K 0.70 3.63 N/A N/A 363,560 254,440 5,808,280 5,258,280 2010-04-13 $0.44 $0.45 40.4% 11.6% 30.8% 12.2% 40.4% 2.1% -1.3% 1.2M -54.5M -688.9K 0.47 4.41 N/A N/A 920,880 433,640 5,894,000 5,384,960 2010-04-14 $0.45 $0.45 34.3% 11.6% 28.7% 3.6% 40.5% 2.3% -1.5% 782.9K -61.1M -686.8K 0.71 4.55 N/A N/A 759,560 538,360 5,863,560 5,619,720 2010-04-15 $0.45 $0.45 40.1% 11.5% 28.0% 11.8% 40.1% 1.4% -1.3% 1.2M -71.5M -700.2K 1.38 4.56 N/A N/A 470,040 649,920 5,983,360 5,738,240 2010-04-16 $0.43 $0.45 39.3% 11.3% 31.6% 10.7% 39.8% 1.6% -0.9% -3.7M -7.5M -693.3K 0.56 6.51 N/A N/A 1,629,880 919,680 5,946,280 5,840,480 2010-04-19 $0.42 $0.45 39.9% 11.4% 31.3% 11.4% 40.6% 1.8% -1.4% 327.8K -25.0M -739.1K 0.69 5.79 N/A N/A 446,400 306,680 5,198,840 4,700,920 2010-04-20 $0.43 $0.45 39.5% 11.3% 30.7% 11.0% 39.8% 2.0% -1.0% 361.2K -27.2M -755.0K 1.74 3.76 N/A N/A 438,200 761,800 5,321,200 4,822,280 2010-04-21 $0.41 $0.45 38.3% 11.0% 30.8% 9.3% 38.6% 2.3% -1.6% 783.3K -16.4M -726.5K 0.33 3.43 N/A N/A 1,727,440 577,000 5,614,240 4,526,840 2010-04-22 $0.42 $0.42 38.7% 11.1% 28.7% 9.8% 39.7% 2.2% -1.8% 1.4M -36.5M -822.2K 0.30 3.61 N/A N/A 868,680 263,520 6,691,720 4,902,080 2010-04-23 $0.41 $0.42 39.9% 11.4% 29.0% 11.4% 39.4% 2.3% -2.0% 1.8M -34.4M -852.5K 0.65 4.20 N/A N/A 387,080 250,800 7,405,440 4,969,320 2010-04-26 $0.41 $0.42 42.5% 12.2% 29.3% 15.2% 42.9% 2.5% -2.4% 1.9M -48.4M -859.3K 1.69 4.04 N/A N/A 767,360 1,300,080 7,429,800 4,991,600 2010-04-27 $0.40 $0.42 45.3% 13.0% 30.2% 19.2% 45.1% 2.8% -2.6% 2.3M -35.3M -832.8K 0.38 4.43 N/A N/A 405,000 154,640 7,811,160 4,797,080 2010-04-28 $0.40 $0.42 42.8% 12.3% 30.1% 15.6% 42.6% 3.5% -2.5% 2.5M -34.1M -829.0K 0.43 4.66 N/A N/A 1,024,520 436,000 7,954,360 4,809,240 2010-04-29 $0.42 $0.42 41.7% 12.0% 32.3% 14.1% 42.2% 2.7% -2.3% 3.4M -83.0M -910.1K 0.46 4.68 N/A N/A 516,120 239,360 8,652,440 4,796,680 2010-04-30 $0.39 $0.42 46.0% 13.2% 37.8% 20.1% 46.4% 3.2% -3.8% 2.6M -21.6M -854.5K 1.17 5.08 N/A N/A 725,520 847,160 8,805,360 4,946,400
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