NVDA Options History — December 2010

In December 2010, NVDA traded between $0.36 and $0.39. ATM implied volatility averaged 38.9%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 5.5% (HV 20d: 33.4%). Max pain ranged from $0.30 to $0.31. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.57.

Notable Days

2010-12-09: Highest Volume — 2,661,760 contracts
2010-12-15: Largest IV drop — 24.2% change
2010-12-14: Highest IV Rank — 54.9%
2010-12-01: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.37	$0.36	$0.39	$0.36	$0.39
Max Pain	$0.31	$0.30	$0.31	$0.30	$0.31
ATM IV	38.9%	35.0%	50.0%	40.4%	38.0%
Expected Move	10.8%	10.0%	11.6%	11.6%	10.9%
HV 20d	33.4%	26.9%	37.8%	34.1%	28.1%
HV 60d	33.6%	29.9%	35.6%	35.6%	29.9%
IV Rank	21.4%	9.5%	54.9%	25.9%	18.8%
IV Percentile	21.5%	2.4%	88.1%	27.0%	17.5%
Term Structure	2.2%	-0.1%	3.8%	0.4%	2.8%
VWIV	39.0%	35.8%	41.4%	41.1%	39.1%
Skew 25d	-0.3%	-2.3%	2.7%	-0.7%	-1.3%
Skew 10d	-0.7%	-5.6%	5.1%	-1.5%	-0.3%
Call IV 25d	39.5%	36.5%	42.5%	42.5%	40.6%
Put IV 25d	39.3%	35.6%	41.9%	41.8%	39.3%
Bid-Ask Spread %	4.11	2.64	11.47	11.47	3.42
Gamma HHI	0.20	0.17	0.25	0.17	0.23
Net GEX	5.0M	3.5M	6.3M	3.5M	6.3M
Net DEX	-229.0M	-305.6M	-140.2M	-215.8M	-255.9M
Net VEX	-1.2M	-1.3M	-1.2M	-1.2M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.11	2.43	0.11	0.28
Total Volume	1,056,763.636	202,400	2,661,760	1,657,760	588,480
Total OI	29,107,020	24,391,400	33,351,760	29,299,600	27,138,680

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
2010-12-01	$0.36	$0.30	40.4%	11.6%	34.1%	25.9%	41.1%	-0.7%	0.4%	3.5M	-215.8M	-1.2M	0.11	11.47	N/A	N/A	1,490,200	167,560	15,661,280	13,638,320
2010-12-02	$0.36	$0.30	37.7%	10.8%	34.1%	17.7%	39.5%	-2.3%	1.2%	4.4M	-240.0M	-1.2M	0.59	7.09	N/A	N/A	1,298,800	762,280	15,967,000	13,661,080
2010-12-03	$0.37	$0.30	38.1%	10.9%	34.8%	19.0%	38.6%	-2.1%	-0.1%	4.6M	-265.5M	-1.3M	2.13	5.45	N/A	N/A	550,400	1,170,000	16,119,080	14,185,960
2010-12-06	$0.36	$0.31	42.4%	11.1%	36.0%	32.1%	39.8%	2.7%	2.6%	4.7M	-246.0M	-1.3M	0.35	4.28	N/A	N/A	293,680	103,520	16,193,840	14,195,680
2010-12-07	$0.37	$0.31	41.9%	11.3%	37.1%	30.3%	40.6%	1.5%	2.5%	5.2M	-291.6M	-1.3M	0.42	3.89	N/A	N/A	1,638,240	683,440	16,235,360	14,210,480
2010-12-08	$0.38	$0.31	40.0%	11.1%	36.7%	24.7%	39.9%	1.1%	2.3%	5.4M	-305.6M	-1.3M	0.44	4.50	N/A	N/A	881,120	386,320	16,441,520	14,323,480
2010-12-09	$0.37	$0.31	38.9%	11.1%	37.8%	21.2%	41.0%	-0.1%	1.9%	5.0M	-268.2M	-1.3M	0.12	3.33	N/A	N/A	2,380,800	280,960	16,317,760	14,426,280
2010-12-10	$0.37	$0.31	38.2%	11.2%	37.2%	19.3%	39.9%	-0.7%	2.1%	5.7M	-285.4M	-1.3M	0.25	3.39	N/A	N/A	485,600	119,840	17,194,760	14,501,760
2010-12-13	$0.36	$0.31	46.1%	11.1%	35.6%	43.1%	39.0%	0.4%	2.0%	5.3M	-239.5M	-1.2M	0.71	4.59	N/A	N/A	498,480	353,240	16,815,360	14,503,080
2010-12-14	$0.36	$0.31	50.0%	11.2%	35.1%	54.9%	41.4%	-0.4%	1.7%	5.3M	-237.5M	-1.2M	0.28	4.16	N/A	N/A	684,880	189,760	16,863,400	14,669,840
2010-12-15	$0.36	$0.31	37.9%	10.9%	34.1%	18.3%	38.9%	-0.1%	3.1%	5.0M	-202.3M	-1.2M	0.62	3.79	N/A	N/A	666,080	411,720	17,117,800	14,774,440
2010-12-16	$0.36	$0.31	38.9%	11.2%	33.9%	21.4%	39.7%	-0.5%	1.9%	4.9M	-201.8M	-1.2M	0.32	2.70	N/A	N/A	1,002,000	321,680	17,260,600	15,094,880
2010-12-17	$0.36	$0.31	38.2%	10.9%	32.6%	19.2%	40.8%	-0.2%	2.7%	3.9M	-221.0M	-1.2M	0.22	3.62	N/A	N/A	554,800	122,640	18,033,160	15,318,600
2010-12-20	$0.36	$0.31	35.0%	10.0%	30.9%	9.5%	36.2%	0.7%	3.8%	3.8M	-140.2M	-1.2M	1.45	2.95	N/A	N/A	297,480	430,760	15,106,080	9,285,320
2010-12-21	$0.37	$0.31	36.1%	10.4%	33.5%	13.1%	36.6%	-0.5%	3.1%	4.7M	-192.4M	-1.2M	0.33	2.82	N/A	N/A	851,000	281,600	15,198,520	9,675,880
2010-12-22	$0.38	$0.31	36.0%	10.3%	32.0%	12.8%	36.7%	-2.3%	1.4%	5.7M	-221.2M	-1.3M	2.43	3.52	N/A	N/A	383,920	933,400	15,819,360	9,777,680
2010-12-23	$0.37	$0.31	35.0%	10.0%	31.5%	9.6%	35.8%	-0.9%	3.0%	5.1M	-195.1M	-1.3M	0.57	3.22	N/A	N/A	343,600	197,120	15,952,960	10,508,400
2010-12-27	$0.38	$0.31	37.0%	10.6%	30.9%	15.7%	37.9%	-0.7%	1.8%	5.3M	-205.5M	-1.3M	0.44	3.82	N/A	N/A	225,040	100,080	16,166,600	10,639,760
2010-12-28	$0.37	$0.31	37.2%	10.7%	30.9%	16.1%	38.4%	0.1%	2.7%	5.3M	-196.6M	-1.3M	0.17	2.64	N/A	N/A	364,280	63,520	16,226,880	10,710,280
2010-12-29	$0.37	$0.31	36.4%	10.4%	30.5%	14.0%	37.4%	0.1%	2.9%	5.5M	-201.8M	-1.3M	0.25	2.90	N/A	N/A	161,920	40,480	16,485,280	10,699,280
2010-12-30	$0.37	$0.31	36.6%	10.5%	26.9%	14.4%	39.8%	0.1%	3.4%	5.8M	-208.5M	-1.3M	0.15	2.96	N/A	N/A	424,760	63,320	16,538,480	10,700,200
2010-12-31	$0.39	$0.31	38.0%	10.9%	28.1%	18.8%	39.1%	-1.3%	2.8%	6.3M	-255.9M	-1.3M	0.28	3.42	N/A	N/A	459,480	129,000	16,432,840	10,705,840