NVDA Options History — September 2010 In September 2010, NVDA traded between $0.23 and $0.31. ATM implied volatility averaged 42.6%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 0.3% (HV 20d: 42.9%). Max pain ranged from $0.25 to $0.28. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.66.
Notable Days 2010-09-24 : Highest Volume — 5,113,560 contracts2010-09-07 : Largest IV spike — 23.2% change2010-09-30 : Highest IV Rank — 47.1%2010-09-30 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $0.27 $0.23 $0.31 $0.23 $0.29 Max Pain $0.27 $0.25 $0.28 $0.25 $0.28 ATM IV 42.6% 36.9% 47.4% 42.1% 47.4% Expected Move 12.3% 11.2% 13.6% 12.1% 13.6% HV 20d 42.9% 36.6% 47.5% 45.9% 38.0% HV 60d 49.7% 48.4% 50.7% 50.7% 48.6% IV Rank 32.4% 15.4% 47.1% 31.0% 47.1% IV Percentile 45.1% 6.7% 77.0% 41.3% 77.0% Term Structure 3.3% 1.4% 4.5% 4.0% 2.4% VWIV 43.9% 39.6% 49.0% 40.7% 49.0% Skew 25d 1.8% -4.8% 4.1% 0.0% -4.8% Skew 10d 3.6% -11.3% 10.6% -11.3% -4.5% Call IV 25d 43.7% 40.2% 51.1% 40.3% 51.1% Put IV 25d 45.5% 40.4% 48.0% 40.4% 46.3% Bid-Ask Spread % 3.67 2.79 4.73 3.57 3.74 Gamma HHI 0.25 0.10 0.46 0.30 0.10 Net GEX 2.0M -161.9K 3.6M 2.4M 1.6M Net DEX -32.9M -75.3M 12.6M 12.6M -58.3M Net VEX -634.9K -980.6K -468.8K -468.8K -958.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.09 2.27 0.51 0.64 Total Volume 1,284,478.095 266,000 5,113,560 312,280 1,163,800 Total OI 20,406,394.286 13,402,440 23,742,680 22,337,400 20,489,400
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 2010-09-01 $0.23 $0.25 42.1% 12.1% 45.9% 31.0% 40.7% 0.0% 4.0% 2.4M 12.6M -468.8K 0.51 3.57 N/A N/A 206,680 105,600 16,653,680 5,683,720 2010-09-02 $0.24 $0.25 38.9% 11.2% 46.1% 21.4% 39.6% 0.7% 4.0% 3.0M -4.7M -486.3K 0.34 2.88 N/A N/A 306,520 104,720 16,627,440 5,561,840 2010-09-03 $0.25 $0.25 36.9% 12.1% 47.5% 15.4% 44.2% 3.5% 4.4% 3.6M -22.1M -499.8K 0.14 2.79 N/A N/A 781,600 111,800 16,611,120 5,559,400 2010-09-07 $0.25 $0.25 45.5% 13.0% 47.5% 41.2% 45.4% 2.5% 3.4% 3.6M -30.1M -493.1K 0.70 3.65 N/A N/A 1,924,480 1,349,320 16,350,480 5,554,560 2010-09-08 $0.26 $0.25 41.4% 12.8% 45.7% 28.9% 45.1% 3.4% 2.7% 3.6M -31.9M -549.2K 1.30 4.73 N/A N/A 998,120 1,299,600 15,971,640 6,490,840 2010-09-09 $0.25 $0.25 43.1% 12.3% 43.1% 33.9% 43.0% 4.0% 3.2% 3.0M -9.9M -567.8K 1.37 3.77 N/A N/A 333,680 458,600 16,217,960 7,395,840 2010-09-10 $0.25 $0.25 43.9% 12.6% 43.5% 36.4% 44.2% 3.5% 3.0% 2.6M -3.6M -563.6K 0.66 3.89 N/A N/A 738,560 489,280 15,831,080 7,634,840 2010-09-13 $0.27 $0.25 42.8% 12.3% 44.6% 33.2% 44.0% 3.4% 2.5% 3.6M -42.5M -586.9K 0.47 2.83 N/A N/A 857,720 400,000 15,745,200 7,835,080 2010-09-14 $0.26 $0.28 41.5% 11.9% 43.4% 29.2% 43.3% 3.5% 3.6% 3.0M -29.5M -576.4K 0.54 4.64 N/A N/A 324,960 176,800 15,775,160 7,929,800 2010-09-15 $0.26 $0.28 41.0% 11.8% 43.4% 27.7% 42.6% 4.1% 3.5% 2.9M -31.7M -569.7K 0.53 3.24 N/A N/A 210,920 111,320 15,788,680 7,901,640 2010-09-16 $0.26 $0.28 40.1% 11.5% 43.5% 25.1% 42.0% 3.3% 4.4% 2.9M -31.4M -560.0K 0.60 4.29 N/A N/A 165,840 100,160 15,799,040 7,926,880 2010-09-17 $0.26 $0.28 39.9% 11.4% 38.9% 24.5% 42.4% 3.4% 4.3% -126.1K -27.8M -546.3K 0.77 3.37 N/A N/A 271,960 209,600 15,811,000 7,931,680 2010-09-20 $0.27 $0.28 39.2% 11.2% 39.1% 22.2% 39.9% 1.7% 4.5% -161.9K -2.1M -532.7K 0.16 3.54 N/A N/A 434,480 69,520 7,520,320 5,882,120 2010-09-21 $0.28 $0.28 41.7% 12.0% 42.1% 29.9% 41.9% 2.2% 4.0% 328.8K -27.6M -571.7K 0.22 3.70 N/A N/A 1,387,000 310,680 7,778,760 5,907,000 2010-09-22 $0.28 $0.28 42.5% 12.2% 41.6% 32.4% 43.0% 2.8% 3.3% 653.0K -32.6M -580.6K 2.27 3.06 N/A N/A 412,040 937,280 8,128,320 5,988,400 2010-09-23 $0.29 $0.28 42.6% 12.2% 41.6% 32.4% 43.9% 1.7% 3.0% 517.7K -36.6M -640.0K 0.69 4.12 N/A N/A 1,216,280 844,240 8,180,120 6,720,160 2010-09-24 $0.31 $0.28 45.0% 12.9% 43.9% 39.6% 45.4% 0.5% 3.1% 900.1K -65.2M -698.9K 0.09 4.52 N/A N/A 4,706,400 407,160 8,498,120 7,111,880 2010-09-27 $0.30 $0.28 46.0% 13.2% 44.7% 42.8% 47.0% -0.6% 1.4% 1.7M -75.3M -932.2K 0.65 4.06 N/A N/A 1,071,160 691,120 11,950,480 7,322,640 2010-09-28 $0.30 $0.28 45.2% 12.9% 39.5% 40.2% 46.2% -0.1% 2.4% 1.8M -73.9M -969.4K 0.70 3.61 N/A N/A 451,360 314,000 12,454,040 7,646,800 2010-09-29 $0.30 $0.28 46.9% 13.5% 36.6% 45.6% 48.1% -1.0% 1.4% 1.7M -67.0M -980.6K 0.39 3.09 N/A N/A 372,800 146,880 12,552,000 7,815,120 2010-09-30 $0.29 $0.28 47.4% 13.6% 38.0% 47.1% 49.0% -4.8% 2.4% 1.6M -58.3M -958.6K 0.64 3.74 N/A N/A 711,560 452,240 12,653,840 7,835,560
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