NVDA Options History — June 2010

In June 2010, NVDA traded between $0.26 and $0.32. ATM implied volatility averaged 46.6%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 9.1% (HV 20d: 55.7%). Max pain ranged from $0.28 to $0.38. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.41.

Notable Days

2010-06-22: Highest Volume — 1,765,240 contracts
2010-06-04: Largest IV spike — 20.6% change
2010-06-07: Highest IV Rank — 71.0%
2010-06-07: Largest Expected Move — 15.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.29	$0.26	$0.32	$0.31	$0.26
Max Pain	$0.32	$0.28	$0.38	$0.38	$0.28
ATM IV	46.6%	40.8%	60.5%	49.3%	49.5%
Expected Move	13.3%	11.7%	15.8%	14.1%	14.2%
HV 20d	55.7%	48.9%	63.9%	61.7%	50.4%
HV 60d	47.4%	44.6%	50.1%	45.3%	50.1%
IV Rank	36.7%	22.3%	71.0%	43.2%	43.8%
IV Percentile	58.0%	28.6%	94.0%	70.2%	77.8%
Term Structure	1.8%	-1.6%	4.2%	-0.7%	3.7%
VWIV	45.9%	39.8%	52.9%	50.9%	48.8%
Skew 25d	7.1%	4.8%	9.8%	9.7%	6.4%
Skew 10d	13.9%	7.3%	21.0%	16.8%	10.1%
Call IV 25d	43.8%	38.5%	49.5%	48.0%	47.9%
Put IV 25d	50.9%	43.6%	58.8%	57.7%	54.3%
Bid-Ask Spread %	4.09	2.67	5.83	4.95	3.73
Gamma HHI	0.13	0.09	0.19	0.12	0.17
Net GEX	1.1M	265.0K	1.7M	1.2M	1.2M
Net DEX	43.5M	-5.6M	81.1M	53.5M	23.1M
Net VEX	-464.2K	-565.6K	-374.3K	-565.6K	-422.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.09	1.27	0.30	0.46
Total Volume	576,078.182	217,520	1,765,240	341,800	434,520
Total OI	15,208,476.364	10,562,560	17,833,840	16,245,200	13,670,720

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
2010-06-01	$0.31	$0.38	49.3%	14.1%	61.7%	43.2%	50.9%	9.7%	-0.7%	1.2M	53.5M	-565.6K	0.30	4.95	N/A	N/A	263,000	78,800	11,135,440	5,109,760
2010-06-02	$0.32	$0.38	45.6%	13.1%	60.1%	34.2%	45.6%	8.3%	1.2%	1.2M	53.3M	-564.7K	1.27	2.84	N/A	N/A	139,240	176,680	11,131,480	5,118,680
2010-06-03	$0.32	$0.38	43.3%	12.4%	60.0%	28.3%	44.8%	8.8%	1.8%	1.1M	59.0M	-537.5K	0.28	2.92	N/A	N/A	269,200	76,080	11,157,400	5,247,240
2010-06-04	$0.30	$0.33	52.2%	14.6%	61.7%	50.4%	50.5%	8.9%	-0.3%	708.4K	70.6M	-496.9K	0.48	5.83	N/A	N/A	171,400	81,760	11,212,920	5,266,880
2010-06-07	$0.29	$0.33	60.5%	15.8%	63.5%	71.0%	51.6%	9.6%	-1.6%	397.1K	78.4M	-405.7K	0.84	4.42	N/A	N/A	230,920	193,520	11,213,440	5,106,960
2010-06-08	$0.28	$0.33	55.2%	15.4%	60.7%	57.8%	52.9%	9.3%	-0.6%	265.0K	81.1M	-374.3K	0.17	4.06	N/A	N/A	992,800	165,640	11,315,120	5,106,760
2010-06-09	$0.27	$0.33	51.2%	14.6%	60.8%	48.0%	49.6%	9.8%	0.3%	349.5K	80.1M	-382.1K	0.12	4.98	N/A	N/A	367,680	45,680	12,012,080	5,134,000
2010-06-10	$0.28	$0.33	49.2%	14.1%	62.7%	43.1%	46.3%	8.4%	0.6%	638.2K	70.5M	-421.0K	0.25	4.37	N/A	N/A	236,480	59,000	12,177,720	5,058,120
2010-06-11	$0.29	$0.33	45.0%	12.9%	63.9%	32.7%	46.2%	8.0%	2.0%	762.8K	66.5M	-439.7K	0.54	3.72	N/A	N/A	196,480	105,680	12,158,880	5,062,640
2010-06-14	$0.28	$0.30	48.4%	13.9%	48.9%	41.2%	45.6%	8.0%	1.2%	632.9K	72.4M	-402.7K	0.22	4.27	N/A	N/A	178,360	39,160	12,196,000	5,096,160
2010-06-15	$0.30	$0.30	42.8%	12.3%	52.6%	27.1%	42.8%	6.3%	2.6%	953.5K	59.9M	-454.7K	0.10	5.07	N/A	N/A	622,920	61,560	12,231,080	5,056,040
2010-06-16	$0.29	$0.30	42.5%	12.2%	51.5%	26.5%	42.5%	6.2%	2.7%	1.0M	59.9M	-444.1K	0.23	4.26	N/A	N/A	194,680	43,960	12,495,760	5,021,280
2010-06-17	$0.31	$0.30	41.9%	12.0%	53.1%	25.0%	41.6%	5.6%	2.8%	1.3M	46.7M	-485.4K	0.31	3.62	N/A	N/A	631,200	195,520	12,520,560	4,985,080
2010-06-18	$0.31	$0.30	40.8%	11.7%	52.6%	22.3%	39.8%	5.2%	3.3%	1.4M	41.4M	-507.8K	0.25	3.30	N/A	N/A	517,400	131,400	12,748,080	5,085,760
2010-06-21	$0.30	$0.30	41.7%	11.9%	52.5%	24.4%	41.6%	5.8%	4.2%	1.2M	3.0M	-491.7K	0.54	4.17	N/A	N/A	334,240	181,440	7,609,080	2,953,480
2010-06-22	$0.29	$0.30	41.6%	11.9%	53.2%	24.3%	42.4%	4.9%	2.2%	1.1M	14.8M	-459.0K	0.35	2.67	N/A	N/A	1,312,240	453,000	7,700,080	3,078,040
2010-06-23	$0.29	$0.30	41.7%	12.0%	52.3%	24.4%	43.8%	4.9%	3.2%	1.7M	-5.6M	-504.4K	0.40	2.93	N/A	N/A	353,880	142,320	8,621,920	2,984,000
2010-06-24	$0.28	$0.30	45.5%	13.0%	54.8%	33.7%	45.0%	5.1%	2.4%	1.4M	10.2M	-446.7K	0.16	4.44	N/A	N/A	1,080,040	171,800	8,713,240	3,073,520
2010-06-25	$0.28	$0.30	44.3%	12.7%	49.3%	30.8%	43.6%	5.8%	3.1%	1.7M	257.8K	-490.3K	0.73	4.28	N/A	N/A	304,320	221,160	9,542,080	3,191,400
2010-06-28	$0.28	$0.30	42.8%	12.3%	49.1%	27.3%	42.6%	4.8%	3.2%	1.6M	2.6M	-487.5K	0.09	4.78	N/A	N/A	509,640	43,320	9,624,240	3,377,320
2010-06-29	$0.26	$0.30	51.3%	14.7%	50.6%	48.3%	50.6%	5.8%	2.5%	1.4M	14.4M	-428.6K	1.02	4.36	N/A	N/A	329,360	336,240	9,916,840	3,369,200
2010-06-30	$0.26	$0.28	49.5%	14.2%	50.4%	43.8%	48.8%	6.4%	3.7%	1.2M	23.1M	-422.0K	0.46	3.73	N/A	N/A	297,160	137,360	10,023,160	3,647,560