NVDA Options History — November 2010

In November 2010, NVDA traded between $0.30 and $0.34. ATM implied volatility averaged 43.1%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 13.0% (HV 20d: 30.1%). Max pain ranged from $0.30 to $0.30. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.09.

Notable Days

2010-11-11: Highest Volume — 5,681,480 contracts
2010-11-12: Largest IV drop — 20.7% change
2010-11-10: Highest IV Rank — 83.7%
2010-11-11: Largest Expected Move — 13.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.33	$0.30	$0.34	$0.30	$0.34
Max Pain	$0.30	$0.30	$0.30	$0.30	$0.30
ATM IV	43.1%	36.2%	59.6%	44.7%	41.8%
Expected Move	11.8%	10.4%	13.7%	12.8%	12.0%
HV 20d	30.1%	25.7%	34.4%	33.8%	31.8%
HV 60d	36.9%	34.7%	40.3%	40.1%	34.7%
IV Rank	34.0%	13.1%	83.7%	38.9%	30.0%
IV Percentile	43.7%	5.2%	97.6%	63.1%	39.7%
Term Structure	-0.4%	-5.0%	2.6%	-2.8%	-1.6%
VWIV	41.7%	36.5%	48.2%	46.5%	42.6%
Skew 25d	-0.6%	-5.5%	1.1%	-1.0%	-2.0%
Skew 10d	0.7%	-4.7%	5.1%	-1.2%	-4.7%
Call IV 25d	42.6%	36.7%	50.5%	48.2%	43.9%
Put IV 25d	42.1%	36.2%	49.6%	47.1%	41.9%
Bid-Ask Spread %	5.72	3.12	11.12	4.53	4.42
Gamma HHI	0.16	0.15	0.19	0.16	0.15
Net GEX	909.8K	-1.1M	3.0M	-985.6K	2.2M
Net DEX	-115.4M	-220.8M	-30.7M	-30.7M	-158.8M
Net VEX	-1.3M	-1.5M	-1.2M	-1.3M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.09	7.85	0.48	0.09
Total Volume	1,532,727.619	420,640	5,681,480	788,880	1,183,120
Total OI	31,671,931.429	28,380,080	35,448,200	30,423,640	29,202,400

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
2010-11-01	$0.30	$0.30	44.7%	12.8%	33.8%	38.9%	46.5%	-1.0%	-2.8%	-985.6K	-30.7M	-1.3M	0.48	4.53	N/A	N/A	532,400	256,480	16,569,000	13,854,640
2010-11-02	$0.31	$0.30	46.6%	13.4%	34.4%	44.5%	47.7%	-1.9%	-4.5%	-512.3K	-62.2M	-1.3M	3.19	4.07	N/A	N/A	622,520	1,983,600	16,737,280	13,964,680
2010-11-03	$0.31	$0.30	46.1%	13.2%	28.1%	43.0%	47.6%	0.4%	-2.4%	-897.8K	-47.0M	-1.4M	7.85	5.33	N/A	N/A	211,360	1,658,960	16,772,520	15,089,720
2010-11-04	$0.31	$0.30	46.1%	13.2%	27.7%	43.1%	47.1%	0.4%	-5.0%	-1.1M	-42.3M	-1.4M	2.14	3.12	N/A	N/A	457,880	979,280	16,823,800	14,965,480
2010-11-05	$0.32	$0.30	47.0%	11.7%	27.7%	45.9%	41.7%	1.1%	-0.3%	-540.1K	-71.7M	-1.4M	1.68	4.66	N/A	N/A	466,760	783,240	16,958,080	15,114,200
2010-11-08	$0.32	$0.30	52.9%	12.4%	27.4%	63.5%	43.8%	0.6%	-0.8%	-513.0K	-74.8M	-1.4M	0.43	3.55	N/A	N/A	849,200	369,120	17,081,840	15,494,120
2010-11-09	$0.31	$0.30	54.3%	12.4%	27.5%	67.9%	44.1%	1.1%	-0.8%	-380.3K	-69.0M	-1.4M	0.70	9.08	N/A	N/A	1,034,640	727,280	17,585,440	15,542,000
2010-11-10	$0.32	$0.30	59.6%	12.4%	26.3%	83.7%	45.0%	0.6%	-0.2%	-91.6K	-87.8M	-1.4M	0.31	4.51	N/A	N/A	789,160	247,120	17,842,120	15,755,600
2010-11-11	$0.32	$0.30	47.8%	13.7%	25.7%	48.3%	48.2%	-0.6%	-4.2%	8.0K	-72.0M	-1.5M	1.13	5.32	N/A	N/A	2,664,520	3,016,960	18,280,440	15,789,400
2010-11-12	$0.33	$0.30	37.9%	10.9%	30.1%	18.3%	38.4%	-1.2%	2.2%	2.7M	-178.0M	-1.4M	0.32	9.68	N/A	N/A	3,733,160	1,193,520	18,914,760	16,533,440
2010-11-15	$0.33	$0.30	36.3%	10.4%	31.0%	13.4%	36.9%	-1.3%	2.6%	2.1M	-145.8M	-1.3M	0.30	6.59	N/A	N/A	721,320	214,240	17,252,720	16,319,280
2010-11-16	$0.32	$0.30	37.4%	10.7%	33.4%	16.7%	38.0%	0.2%	2.5%	-133.9K	-84.8M	-1.3M	0.61	6.05	N/A	N/A	415,520	251,880	17,092,720	16,361,280
2010-11-17	$0.32	$0.30	37.1%	10.6%	33.5%	15.8%	37.9%	0.3%	2.4%	1.7M	-108.6M	-1.3M	0.44	5.89	N/A	N/A	354,400	154,400	17,113,760	16,297,360
2010-11-18	$0.33	$0.30	36.2%	10.4%	33.2%	13.1%	37.0%	-0.3%	2.5%	3.0M	-167.7M	-1.3M	0.31	8.95	N/A	N/A	672,520	208,560	17,137,560	16,278,520
2010-11-19	$0.34	$0.30	37.9%	10.9%	28.2%	18.4%	37.7%	-1.4%	1.0%	2.2M	-220.8M	-1.3M	0.39	5.46	N/A	N/A	1,356,640	530,840	17,119,600	16,269,400
2010-11-22	$0.34	$0.30	41.2%	11.8%	28.3%	28.2%	40.4%	-5.5%	-0.6%	2.3M	-172.4M	-1.2M	0.22	11.12	N/A	N/A	710,680	158,840	15,268,560	13,111,520
2010-11-23	$0.34	$0.30	39.3%	11.3%	30.1%	22.4%	39.9%	-0.2%	1.1%	1.3M	-129.8M	-1.3M	0.63	4.18	N/A	N/A	390,000	243,920	15,396,640	13,127,960
2010-11-24	$0.34	$0.30	36.4%	10.4%	30.7%	13.7%	36.5%	-0.2%	0.9%	2.5M	-170.7M	-1.2M	0.10	4.39	N/A	N/A	840,080	85,520	15,455,480	13,271,120
2010-11-26	$0.34	$0.30	38.0%	10.9%	31.4%	18.6%	38.3%	-0.0%	0.7%	2.0M	-158.0M	-1.2M	0.45	4.35	N/A	N/A	479,680	217,320	15,117,560	13,268,440
2010-11-29	$0.34	$0.30	40.3%	11.6%	31.2%	25.6%	40.7%	-1.2%	-0.6%	2.4M	-170.4M	-1.2M	1.20	4.82	N/A	N/A	191,000	229,640	15,529,600	13,450,520
2010-11-30	$0.34	$0.30	41.8%	12.0%	31.8%	30.0%	42.6%	-2.0%	-1.6%	2.2M	-158.8M	-1.2M	0.09	4.42	N/A	N/A	1,083,560	99,560	15,593,040	13,609,360