NVDA Options History — August 2010

In August 2010, NVDA traded between $0.22 and $0.25. ATM implied volatility averaged 45.3%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 9.6% (HV 20d: 54.9%). Max pain ranged from $0.25 to $0.25. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.55.

Notable Days

2010-08-12: Highest Volume — 3,285,080 contracts
2010-08-10: Largest IV spike — 14.3% change
2010-08-11: Highest IV Rank — 74.8%
2010-08-12: Largest Expected Move — 15.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.24	$0.22	$0.25	$0.23	$0.23
Max Pain	$0.25	$0.25	$0.25	$0.25	$0.25
ATM IV	45.3%	40.8%	56.6%	44.3%	45.3%
Expected Move	12.7%	11.7%	15.1%	12.7%	13.0%
HV 20d	54.9%	42.3%	58.6%	58.1%	48.1%
HV 60d	52.8%	50.9%	55.9%	55.6%	50.9%
IV Rank	39.0%	27.2%	74.8%	31.0%	40.6%
IV Percentile	58.4%	29.0%	95.2%	55.6%	62.3%
Term Structure	1.8%	-3.2%	7.0%	-1.8%	3.1%
VWIV	44.4%	41.2%	52.6%	44.2%	43.2%
Skew 25d	4.4%	-0.7%	7.6%	5.8%	6.7%
Skew 10d	6.9%	-1.0%	16.3%	5.4%	8.3%
Call IV 25d	44.0%	41.8%	51.1%	43.2%	43.1%
Put IV 25d	48.4%	43.7%	58.7%	49.0%	49.8%
Bid-Ask Spread %	3.48	2.41	5.25	3.97	5.25
Gamma HHI	0.34	0.25	0.84	0.34	0.28
Net GEX	4.0M	1.9M	25.5M	2.5M	2.2M
Net DEX	1.4M	-41.3M	46.5M	35.8M	15.7M
Net VEX	-517.3K	-581.7K	-451.4K	-480.9K	-471.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.12	1.26	0.22	0.91
Total Volume	996,238.182	304,440	3,285,080	777,800	837,440
Total OI	24,408,983.636	20,767,520	27,328,320	24,681,600	22,204,120

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
2010-08-02	$0.23	$0.25	44.3%	12.7%	58.1%	31.0%	44.2%	5.8%	-1.8%	2.5M	35.8M	-480.9K	0.22	3.97	N/A	N/A	638,720	139,080	18,851,120	5,830,480
2010-08-03	$0.22	$0.25	46.3%	13.3%	58.6%	36.0%	46.7%	5.8%	-3.2%	2.0M	46.5M	-451.4K	0.59	4.10	N/A	N/A	538,800	315,680	19,028,440	5,856,120
2010-08-04	$0.23	$0.25	46.2%	13.2%	58.0%	35.5%	45.3%	6.1%	-2.8%	2.9M	15.8M	-512.4K	0.31	3.18	N/A	N/A	593,520	181,320	19,153,240	5,607,240
2010-08-05	$0.24	$0.25	48.0%	13.8%	57.6%	40.1%	46.6%	4.6%	-2.6%	3.3M	4.7M	-556.9K	0.64	3.11	N/A	N/A	438,680	280,040	19,338,680	5,707,960
2010-08-06	$0.24	$0.25	44.3%	12.1%	57.8%	34.9%	43.6%	6.6%	2.1%	3.6M	-3.4M	-565.4K	0.49	2.72	N/A	N/A	398,440	196,920	19,407,280	5,697,600
2010-08-09	$0.24	$0.25	45.5%	11.8%	57.5%	41.1%	42.4%	4.7%	2.3%	4.0M	-7.2M	-557.3K	0.21	2.68	N/A	N/A	583,320	125,080	19,526,920	5,715,640
2010-08-10	$0.23	$0.25	51.9%	13.1%	56.9%	60.7%	44.1%	6.8%	0.6%	2.8M	21.1M	-486.4K	0.31	2.78	N/A	N/A	979,400	304,720	19,610,760	5,737,320
2010-08-11	$0.22	$0.25	56.6%	13.7%	57.5%	74.8%	48.5%	7.3%	-0.3%	2.3M	32.5M	-457.7K	0.65	2.77	N/A	N/A	428,000	277,520	19,816,880	5,660,320
2010-08-12	$0.22	$0.25	52.6%	15.1%	57.6%	62.7%	52.6%	7.6%	-2.7%	2.4M	24.8M	-492.7K	1.18	3.80	N/A	N/A	1,506,200	1,778,880	19,914,080	5,772,240
2010-08-13	$0.23	$0.25	45.8%	13.1%	56.9%	42.3%	44.6%	6.7%	2.9%	2.7M	11.1M	-528.2K	1.11	2.41	N/A	N/A	682,840	760,400	20,213,360	6,773,520
2010-08-16	$0.23	$0.25	45.6%	13.1%	55.0%	41.7%	44.7%	6.6%	2.7%	1.9M	27.3M	-468.2K	0.39	2.87	N/A	N/A	462,080	181,520	20,136,360	6,436,040
2010-08-17	$0.23	$0.25	44.7%	12.8%	54.3%	39.0%	44.1%	6.6%	3.2%	2.3M	16.8M	-480.2K	0.41	2.85	N/A	N/A	216,640	87,800	20,111,560	6,379,040
2010-08-18	$0.23	$0.25	43.7%	12.5%	53.5%	35.8%	43.2%	6.6%	3.9%	2.3M	15.7M	-469.6K	0.85	2.64	N/A	N/A	285,520	243,320	20,098,120	6,326,920
2010-08-19	$0.25	$0.25	41.4%	11.9%	57.7%	28.8%	42.7%	2.6%	5.8%	6.0M	-33.1M	-554.2K	0.12	4.56	N/A	N/A	1,745,360	205,880	20,137,840	6,472,120
2010-08-20	$0.25	$0.25	40.9%	11.7%	57.6%	27.5%	42.4%	0.9%	7.0%	25.5M	-39.5M	-581.7K	0.32	3.37	N/A	N/A	1,519,440	485,920	20,844,120	6,484,200
2010-08-23	$0.25	$0.25	42.1%	12.1%	57.3%	31.1%	44.9%	-0.7%	2.2%	3.2M	-27.8M	-541.5K	0.19	3.98	N/A	N/A	681,000	130,280	16,007,480	4,760,040
2010-08-24	$0.24	$0.25	42.3%	12.1%	57.3%	31.7%	43.4%	0.7%	3.4%	3.1M	-20.9M	-531.7K	0.57	3.10	N/A	N/A	472,440	267,000	16,125,560	4,822,280
2010-08-25	$0.25	$0.25	42.6%	12.2%	56.9%	32.4%	43.1%	1.3%	2.9%	3.4M	-32.4M	-557.9K	1.26	4.40	N/A	N/A	372,720	468,280	16,177,640	5,006,880
2010-08-26	$0.24	$0.25	42.4%	12.1%	42.3%	31.8%	43.1%	1.3%	3.9%	3.0M	-21.7M	-555.2K	0.28	3.38	N/A	N/A	413,240	113,880	16,199,400	5,347,680
2010-08-27	$0.25	$0.25	40.8%	11.7%	43.5%	27.2%	41.2%	1.9%	4.1%	3.5M	-41.3M	-564.0K	0.58	5.19	N/A	N/A	626,240	364,360	16,307,480	5,390,400
2010-08-30	$0.24	$0.25	42.2%	12.1%	47.5%	31.4%	41.8%	-0.2%	3.8%	2.8M	-10.7M	-514.9K	0.59	3.40	N/A	N/A	370,920	218,400	16,392,960	5,610,200
2010-08-31	$0.23	$0.25	45.3%	13.0%	48.1%	40.6%	43.2%	6.7%	3.1%	2.2M	15.7M	-471.7K	0.91	5.25	N/A	N/A	439,280	398,160	16,548,720	5,655,400