NVDA Options History — July 2010

In July 2010, NVDA traded between $0.23 and $0.28. ATM implied volatility averaged 46.4%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 3.3% (HV 20d: 49.8%). Max pain ranged from $0.25 to $0.28. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.33.

Notable Days

2010-07-29: Highest Volume — 3,682,440 contracts
2010-07-07: Largest IV drop — 11.7% change
2010-07-01: Highest IV Rank — 43.6%
2010-07-06: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.26	$0.23	$0.28	$0.26	$0.23
Max Pain	$0.26	$0.25	$0.28	$0.28	$0.25
ATM IV	46.4%	42.4%	49.4%	49.4%	44.2%
Expected Move	13.6%	12.7%	14.9%	14.2%	12.7%
HV 20d	49.8%	45.3%	58.6%	51.2%	58.2%
HV 60d	52.3%	50.1%	55.7%	50.2%	55.7%
IV Rank	36.2%	26.3%	43.6%	43.6%	30.6%
IV Percentile	66.2%	42.5%	81.0%	77.8%	53.2%
Term Structure	-1.4%	-4.9%	5.7%	3.7%	-1.3%
VWIV	47.5%	42.7%	51.8%	48.9%	42.7%
Skew 25d	4.1%	0.3%	7.1%	6.1%	6.1%
Skew 10d	8.7%	1.2%	14.8%	8.4%	8.3%
Call IV 25d	46.7%	43.1%	49.4%	46.6%	43.1%
Put IV 25d	50.8%	47.9%	55.8%	52.8%	49.2%
Bid-Ask Spread %	3.91	2.60	5.21	4.25	5.21
Gamma HHI	0.22	0.17	0.31	0.17	0.31
Net GEX	2.5M	1.1M	4.4M	1.3M	2.6M
Net DEX	-5.5M	-56.7M	45.0M	17.3M	30.0M
Net VEX	-514.8K	-659.4K	-400.0K	-448.5K	-505.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.08	0.80	0.27	0.80
Total Volume	1,504,862.857	440,360	3,682,440	722,440	990,040
Total OI	17,945,990.476	13,808,920	24,439,400	13,860,600	24,439,400

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
2010-07-01	$0.26	$0.28	49.4%	14.2%	51.2%	43.6%	48.9%	6.1%	3.7%	1.3M	17.3M	-448.5K	0.27	4.25	N/A	N/A	570,640	151,800	10,140,160	3,720,440
2010-07-02	$0.26	$0.28	45.8%	13.1%	49.2%	34.5%	45.7%	4.8%	5.7%	1.2M	21.5M	-427.6K	0.33	3.76	N/A	N/A	331,280	109,080	10,117,360	3,792,600
2010-07-06	$0.25	$0.28	48.0%	14.9%	46.6%	40.2%	51.8%	7.1%	-1.2%	1.1M	22.1M	-400.0K	0.08	3.99	N/A	N/A	859,360	69,680	10,143,360	3,665,560
2010-07-07	$0.27	$0.28	42.4%	13.6%	49.5%	26.3%	48.2%	6.7%	-0.1%	1.6M	5.6M	-464.7K	0.45	3.38	N/A	N/A	318,360	142,480	10,785,360	3,707,440
2010-07-08	$0.26	$0.28	44.3%	14.4%	49.9%	30.9%	48.3%	5.9%	-0.9%	1.3M	16.8M	-422.5K	0.25	4.61	N/A	N/A	416,520	104,320	10,843,200	3,705,240
2010-07-09	$0.26	$0.28	45.4%	14.2%	47.4%	33.6%	47.8%	6.6%	-0.7%	1.5M	16.5M	-413.7K	0.67	3.44	N/A	N/A	438,480	293,080	10,956,440	3,718,880
2010-07-12	$0.26	$0.28	48.5%	13.2%	47.1%	41.3%	47.0%	5.1%	-0.6%	1.7M	9.3M	-444.1K	0.09	4.08	N/A	N/A	874,000	79,960	11,198,400	3,851,280
2010-07-13	$0.27	$0.28	47.9%	13.3%	48.7%	39.9%	47.0%	2.8%	-1.3%	2.4M	-13.1M	-489.9K	0.32	4.99	N/A	N/A	1,379,200	444,000	11,713,760	3,876,440
2010-07-14	$0.28	$0.28	44.4%	14.2%	45.3%	31.1%	49.6%	2.4%	-2.0%	2.9M	-27.1M	-543.0K	0.44	4.63	N/A	N/A	2,045,440	905,920	12,457,640	4,154,840
2010-07-15	$0.27	$0.28	47.8%	13.7%	46.0%	39.4%	48.4%	2.8%	-2.1%	2.8M	-11.6M	-537.9K	0.57	3.63	N/A	N/A	626,800	355,400	13,169,000	4,475,880
2010-07-16	$0.25	$0.28	47.1%	13.5%	47.8%	37.9%	47.9%	2.7%	-0.4%	2.0M	23.6M	-443.6K	0.34	3.32	N/A	N/A	2,568,080	860,480	12,915,080	4,597,200
2010-07-19	$0.26	$0.25	48.3%	13.8%	50.7%	40.7%	47.6%	4.1%	-2.4%	2.6M	-15.5M	-542.0K	0.25	4.75	N/A	N/A	1,142,600	289,840	13,187,880	4,415,120
2010-07-20	$0.27	$0.25	46.6%	13.3%	51.6%	36.5%	47.2%	3.6%	-2.7%	3.0M	-37.1M	-603.3K	0.12	3.83	N/A	N/A	1,106,400	138,040	13,808,520	4,617,920
2010-07-21	$0.26	$0.25	49.0%	14.0%	51.3%	42.5%	48.9%	2.9%	-2.4%	2.8M	-18.4M	-566.0K	0.16	3.78	N/A	N/A	1,119,480	182,840	14,133,640	4,674,560
2010-07-22	$0.26	$0.25	46.7%	13.4%	51.5%	36.8%	47.5%	2.7%	-3.6%	3.2M	-34.3M	-604.1K	0.13	3.79	N/A	N/A	839,720	109,680	14,800,560	4,774,880
2010-07-23	$0.26	$0.25	44.4%	12.7%	48.9%	31.2%	44.3%	3.5%	-3.2%	3.3M	-22.9M	-579.8K	0.13	2.60	N/A	N/A	2,148,840	282,600	15,212,480	4,836,560
2010-07-26	$0.26	$0.25	44.9%	12.9%	49.5%	32.4%	46.3%	1.1%	-3.8%	4.3M	-56.7M	-645.7K	0.40	3.93	N/A	N/A	1,089,680	433,560	16,569,960	4,972,480
2010-07-27	$0.26	$0.25	46.9%	13.5%	49.5%	37.4%	47.0%	0.3%	-4.0%	4.4M	-55.4M	-659.4K	0.11	3.88	N/A	N/A	753,880	83,440	17,279,600	5,227,720
2010-07-28	$0.25	$0.25	48.8%	14.0%	46.5%	42.1%	50.3%	3.5%	-4.9%	4.0M	-31.2M	-613.0K	0.45	2.99	N/A	N/A	2,256,160	1,008,520	17,434,800	5,129,560
2010-07-29	$0.23	$0.25	44.4%	12.7%	58.6%	31.2%	44.6%	5.5%	-0.9%	2.3M	45.0M	-455.5K	0.59	3.32	N/A	N/A	2,312,080	1,370,360	17,849,520	5,795,080
2010-07-30	$0.23	$0.25	44.2%	12.7%	58.2%	30.6%	42.7%	6.1%	-1.3%	2.6M	30.0M	-505.7K	0.80	5.21	N/A	N/A	551,320	438,720	18,750,320	5,689,080