NVDA Options History — October 2010

In October 2010, NVDA traded between $0.27 and $0.30. ATM implied volatility averaged 42.4%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 4.0% (HV 20d: 38.4%). Max pain ranged from $0.28 to $0.30. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.20.

Notable Days

2010-10-22: Highest Volume — 3,864,080 contracts
2010-10-14: Largest IV spike — 16.9% change
2010-10-04: Highest IV Rank — 43.0%
2010-10-04: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.28	$0.27	$0.30	$0.28	$0.30
Max Pain	$0.30	$0.28	$0.30	$0.28	$0.30
ATM IV	42.4%	36.5%	46.1%	44.7%	43.8%
Expected Move	13.1%	11.7%	14.4%	12.8%	12.5%
HV 20d	38.4%	34.2%	42.9%	40.4%	34.2%
HV 60d	45.3%	40.2%	49.0%	48.5%	40.2%
IV Rank	32.0%	14.3%	43.0%	38.9%	36.0%
IV Percentile	44.7%	6.0%	71.0%	60.7%	56.0%
Term Structure	-1.1%	-4.1%	5.8%	5.8%	-2.1%
VWIV	46.5%	41.0%	50.8%	47.0%	45.4%
Skew 25d	-0.4%	-2.8%	1.8%	-2.5%	-2.8%
Skew 10d	-0.8%	-5.9%	4.6%	-5.9%	-4.0%
Call IV 25d	48.0%	42.1%	51.1%	49.4%	48.0%
Put IV 25d	47.5%	42.9%	52.8%	46.8%	45.3%
Bid-Ask Spread %	4.83	3.36	9.97	3.38	3.93
Gamma HHI	0.15	0.10	0.30	0.10	0.16
Net GEX	-115.4K	-1.4M	1.3M	1.2M	-1.0M
Net DEX	-18.7M	-42.6M	25.5M	-33.9M	-30.9M
Net VEX	-1.1M	-1.4M	-840.3K	-940.5K	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.24	2.93	0.39	0.44
Total Volume	1,278,552.381	348,680	3,864,080	955,440	412,800
Total OI	24,535,739.048	20,903,800	30,290,720	20,903,800	30,290,720

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
2010-10-01	$0.28	$0.28	44.7%	12.8%	40.4%	38.9%	47.0%	-2.5%	5.8%	1.2M	-33.9M	-940.5K	0.39	3.38	N/A	N/A	689,240	266,200	12,863,600	8,040,200
2010-10-04	$0.28	$0.30	46.1%	14.4%	39.7%	43.0%	50.8%	1.1%	-0.9%	1.2M	-30.4M	-941.1K	0.48	3.78	N/A	N/A	267,160	128,480	13,223,520	8,134,600
2010-10-05	$0.28	$0.30	44.6%	14.0%	39.7%	38.4%	49.1%	0.5%	-1.2%	1.3M	-32.7M	-922.2K	1.07	3.36	N/A	N/A	257,280	274,520	13,204,200	8,152,040
2010-10-06	$0.27	$0.30	41.3%	14.3%	42.9%	28.6%	50.5%	1.8%	-0.7%	311.4K	3.8M	-874.4K	1.55	3.94	N/A	N/A	815,760	1,260,920	13,200,160	8,327,240
2010-10-07	$0.27	$0.30	39.1%	14.2%	42.7%	21.9%	50.5%	1.8%	-1.1%	364.9K	2.3M	-846.5K	1.34	4.09	N/A	N/A	309,520	415,240	13,574,040	7,938,680
2010-10-08	$0.27	$0.30	36.5%	14.0%	42.6%	14.3%	49.7%	1.4%	-0.8%	50.8K	-3.1M	-863.7K	0.59	3.49	N/A	N/A	508,560	299,840	13,655,600	8,275,320
2010-10-11	$0.27	$0.30	39.8%	14.4%	38.1%	23.9%	50.4%	1.7%	-1.6%	-335.6K	2.3M	-840.3K	0.64	4.48	N/A	N/A	212,880	135,800	13,695,000	8,411,960
2010-10-12	$0.28	$0.28	37.9%	14.3%	38.4%	18.2%	50.7%	0.9%	-1.9%	-148.4K	-14.9M	-852.8K	0.57	3.93	N/A	N/A	299,760	169,400	13,788,040	8,457,720
2010-10-13	$0.28	$0.28	39.3%	13.3%	39.6%	22.6%	46.3%	0.1%	-1.1%	540.0K	-42.6M	-879.3K	1.87	3.54	N/A	N/A	593,960	1,111,600	13,850,960	8,505,160
2010-10-14	$0.28	$0.30	46.0%	13.2%	40.2%	42.7%	46.2%	0.0%	-1.0%	-1.4M	-16.7M	-881.4K	1.67	3.88	N/A	N/A	355,880	593,800	13,911,600	9,321,880
2010-10-15	$0.28	$0.30	43.4%	12.4%	40.2%	34.9%	43.7%	-1.9%	-0.4%	175.3K	-27.6M	-905.2K	2.42	4.47	N/A	N/A	397,520	961,560	13,980,840	9,746,240
2010-10-18	$0.28	$0.30	42.5%	12.2%	40.0%	32.4%	43.3%	-2.2%	-0.3%	105.9K	-13.5M	-912.6K	0.35	4.13	N/A	N/A	2,413,160	844,120	12,562,400	8,711,920
2010-10-19	$0.28	$0.30	42.9%	12.3%	35.5%	33.5%	43.0%	-2.5%	-0.1%	227.7K	-20.7M	-1.2M	0.97	7.79	N/A	N/A	1,346,480	1,302,680	14,664,640	9,284,440
2010-10-20	$0.28	$0.30	42.4%	12.2%	35.4%	32.0%	42.7%	0.0%	-0.8%	-217.8K	-8.5M	-1.1M	2.93	5.05	N/A	N/A	523,720	1,532,280	15,428,240	9,996,720
2010-10-21	$0.28	$0.30	40.6%	11.7%	35.0%	26.6%	41.0%	0.8%	-0.4%	-1.1M	25.5M	-1.1M	2.21	4.83	N/A	N/A	297,200	658,240	15,539,080	10,946,640
2010-10-22	$0.29	$0.30	44.2%	12.7%	36.9%	37.4%	45.2%	-2.5%	-2.7%	-410.4K	-33.1M	-1.2M	1.27	8.46	N/A	N/A	1,700,160	2,163,920	15,622,960	11,375,800
2010-10-25	$0.30	$0.30	44.5%	12.7%	36.3%	38.2%	45.5%	-1.7%	-4.1%	-591.3K	-29.8M	-1.3M	0.87	5.88	N/A	N/A	793,280	688,760	16,203,440	12,920,280
2010-10-26	$0.30	$0.30	43.4%	12.4%	36.3%	34.8%	44.5%	-1.7%	-3.0%	-969.6K	-22.8M	-1.4M	1.57	9.97	N/A	N/A	279,040	437,000	16,319,880	13,234,880
2010-10-27	$0.30	$0.30	43.7%	12.5%	36.5%	35.7%	44.6%	-1.1%	-2.4%	-809.1K	-35.4M	-1.4M	1.80	5.21	N/A	N/A	230,760	414,840	16,275,800	13,528,160
2010-10-28	$0.30	$0.30	44.2%	12.7%	35.9%	37.2%	45.4%	-0.7%	-2.7%	-906.2K	-29.1M	-1.4M	0.24	3.85	N/A	N/A	391,160	95,120	16,302,640	13,783,280
2010-10-29	$0.30	$0.30	43.8%	12.5%	34.2%	36.0%	45.4%	-2.8%	-2.1%	-1.0M	-30.9M	-1.4M	0.44	3.93	N/A	N/A	287,640	125,160	16,504,040	13,786,680