NVDA Options History — January 2011

In January 2011, NVDA traded between $0.39 and $0.62. ATM implied volatility averaged 52.7%, placing in the 62.9% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 11.6% (HV 20d: 64.3%). Max pain ranged from $0.31 to $0.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.59.

Notable Days

2011-01-06: Highest Volume — 12,368,920 contracts
2011-01-12: Largest IV spike — 25.2% change
2011-01-24: Highest IV Rank — 84.7%
2011-01-24: Largest Expected Move — 17.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.54	$0.39	$0.62	$0.40	$0.60
Max Pain	$0.44	$0.31	$0.50	$0.31	$0.50
ATM IV	52.7%	41.1%	59.9%	41.1%	56.1%
Expected Move	15.2%	11.8%	17.2%	11.8%	16.1%
HV 20d	64.3%	26.8%	81.9%	28.0%	81.9%
HV 60d	46.3%	30.0%	54.3%	30.0%	54.3%
IV Rank	62.9%	28.1%	84.7%	28.1%	73.3%
IV Percentile	82.9%	36.1%	97.6%	36.1%	92.1%
Term Structure	-3.2%	-6.7%	1.6%	1.6%	-3.2%
VWIV	53.7%	42.1%	60.5%	42.1%	56.5%
Skew 25d	0.3%	-6.7%	3.8%	-6.7%	1.4%
Skew 10d	1.0%	-13.3%	7.9%	-13.3%	2.3%
Call IV 25d	53.8%	45.8%	60.7%	47.2%	56.3%
Put IV 25d	54.2%	40.6%	60.7%	40.6%	57.6%
Bid-Ask Spread %	3.85	2.66	5.59	2.72	4.09
Gamma HHI	0.15	0.10	0.22	0.21	0.10
Net GEX	5.1M	3.6M	8.0M	6.9M	4.3M
Net DEX	-729.1M	-1.07B	-308.1M	-308.1M	-566.0M
Net VEX	-1.4M	-1.6M	-1.3M	-1.3M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.12	1.05	0.13	0.85
Total Volume	4,348,914	864,240	12,368,920	4,011,360	902,040
Total OI	32,387,568	23,322,280	41,668,680	27,242,480	25,988,280

Daily Data (20 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
2011-01-03	$0.40	$0.31	41.1%	11.8%	28.0%	28.1%	42.1%	-6.7%	1.6%	6.9M	-308.1M	-1.3M	0.13	2.72	N/A	N/A	3,562,160	449,200	16,492,080	10,750,400
2011-01-04	$0.39	$0.35	41.4%	11.9%	26.8%	28.8%	42.9%	-3.9%	1.5%	7.9M	-319.5M	-1.3M	0.25	3.68	N/A	N/A	1,478,240	370,640	17,581,200	10,936,760
2011-01-05	$0.42	$0.35	44.6%	12.8%	35.4%	38.7%	44.1%	-4.7%	0.7%	8.0M	-480.7M	-1.3M	0.12	3.32	N/A	N/A	5,420,800	645,600	17,965,440	10,968,720
2011-01-06	$0.48	$0.35	49.1%	14.1%	56.3%	52.2%	49.7%	-4.1%	-0.6%	6.6M	-746.1M	-1.3M	0.39	4.37	N/A	N/A	8,916,840	3,452,080	19,446,800	11,232,720
2011-01-07	$0.50	$0.40	46.8%	13.9%	55.5%	45.3%	49.2%	2.7%	-3.1%	6.1M	-747.8M	-1.3M	0.46	2.69	N/A	N/A	3,368,480	1,560,680	19,744,720	13,015,160
2011-01-10	$0.52	$0.40	48.1%	14.7%	56.0%	49.3%	52.5%	2.5%	-3.9%	5.0M	-789.5M	-1.3M	0.70	5.59	N/A	N/A	2,561,760	1,791,560	19,209,960	13,479,480
2011-01-11	$0.51	$0.42	45.2%	14.4%	55.1%	40.4%	50.3%	3.8%	-3.7%	5.5M	-753.4M	-1.3M	0.50	3.94	N/A	N/A	4,377,480	2,176,200	19,852,480	14,336,280
2011-01-12	$0.58	$0.42	56.6%	16.1%	69.8%	74.8%	57.7%	3.8%	-6.1%	4.5M	-1.06B	-1.3M	0.69	4.83	N/A	N/A	6,708,240	4,647,320	20,981,560	15,051,320
2011-01-13	$0.58	$0.47	59.1%	17.0%	68.3%	82.4%	59.5%	1.5%	-6.7%	4.9M	-1.05B	-1.5M	0.59	5.05	N/A	N/A	4,918,040	2,913,880	22,196,440	16,841,840
2011-01-14	$0.59	$0.47	56.6%	16.2%	68.0%	74.7%	57.8%	2.6%	-4.8%	5.4M	-1.07B	-1.5M	0.66	2.66	N/A	N/A	3,340,320	2,201,560	23,047,160	17,568,560
2011-01-18	$0.58	$0.47	55.7%	16.0%	69.9%	72.2%	56.4%	2.3%	-3.8%	5.6M	-1.00B	-1.5M	0.77	3.95	N/A	N/A	2,099,680	1,609,880	23,517,040	18,151,640
2011-01-19	$0.56	$0.47	54.5%	15.6%	71.6%	68.4%	54.8%	2.2%	-4.1%	4.4M	-931.3M	-1.5M	0.80	3.89	N/A	N/A	1,189,680	948,280	23,637,360	17,984,880
2011-01-20	$0.56	$0.47	54.5%	15.6%	71.7%	68.4%	54.6%	2.0%	-3.6%	3.8M	-928.1M	-1.5M	0.64	5.17	N/A	N/A	1,308,000	833,760	23,570,600	17,868,200
2011-01-21	$0.56	$0.47	54.9%	15.7%	72.4%	69.5%	55.1%	-0.4%	-2.4%	3.8M	-886.3M	-1.5M	1.05	3.80	N/A	N/A	1,183,440	1,247,920	23,568,360	17,764,760
2011-01-24	$0.62	$0.47	59.9%	17.2%	78.0%	84.7%	60.5%	0.1%	-4.5%	3.6M	-614.3M	-1.4M	0.71	3.32	N/A	N/A	2,689,720	1,912,960	13,186,320	10,135,960
2011-01-25	$0.60	$0.50	58.9%	16.9%	80.3%	81.8%	59.1%	-0.5%	-4.1%	3.8M	-567.7M	-1.5M	0.49	3.73	N/A	N/A	1,443,360	711,560	13,997,400	10,727,840
2011-01-26	$0.61	$0.50	58.9%	16.9%	79.6%	81.5%	58.8%	0.1%	-5.7%	4.2M	-613.1M	-1.6M	0.56	3.04	N/A	N/A	968,600	546,480	14,513,160	10,898,960
2011-01-27	$0.61	$0.50	56.4%	16.2%	79.7%	74.1%	56.5%	0.4%	-4.0%	4.2M	-602.5M	-1.5M	0.69	3.58	N/A	N/A	510,280	353,960	14,567,000	11,132,560
2011-01-28	$0.59	$0.50	55.1%	15.8%	81.7%	70.3%	55.5%	1.8%	-2.6%	4.1M	-552.2M	-1.6M	0.76	3.55	N/A	N/A	942,960	714,640	14,669,600	11,172,360
2011-01-31	$0.60	$0.50	56.1%	16.1%	81.9%	73.3%	56.5%	1.4%	-3.2%	4.3M	-566.0M	-1.6M	0.85	4.09	N/A	N/A	486,840	415,200	14,753,280	11,235,000