NVDA Options History — March 2011

In March 2011, NVDA traded between $0.44 and $0.54. ATM implied volatility averaged 57.9%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 0.2% (HV 20d: 58.0%). Max pain ranged from $0.45 to $0.55. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.58.

Notable Days

2011-03-02: Highest Volume — 4,710,720 contracts
2011-03-09: Largest IV drop — 24.1% change
2011-03-07: Highest IV Rank — 100.0%
2011-03-14: Largest Expected Move — 18.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.47	$0.44	$0.54	$0.54	$0.46
Max Pain	$0.49	$0.45	$0.55	$0.50	$0.45
ATM IV	57.9%	48.1%	73.7%	58.6%	48.2%
Expected Move	15.8%	13.4%	18.0%	16.8%	13.4%
HV 20d	58.0%	40.7%	67.6%	67.2%	49.5%
HV 60d	67.3%	64.8%	70.0%	64.8%	70.0%
IV Rank	65.1%	39.0%	100.0%	77.7%	39.1%
IV Percentile	85.8%	64.7%	100.0%	92.1%	64.7%
Term Structure	1.2%	-2.0%	4.7%	-1.7%	4.4%
VWIV	56.1%	47.5%	63.4%	59.6%	47.5%
Skew 25d	2.2%	-1.4%	6.1%	0.9%	-1.2%
Skew 10d	3.5%	-3.7%	10.1%	3.2%	-3.4%
Call IV 25d	55.7%	48.6%	63.2%	59.6%	49.1%
Put IV 25d	57.9%	47.9%	68.0%	60.5%	47.9%
Bid-Ask Spread %	3.98	2.94	5.21	4.93	4.05
Gamma HHI	0.11	0.08	0.16	0.10	0.16
Net GEX	2.4M	-246.3K	5.1M	2.9M	4.7M
Net DEX	-115.7M	-299.0M	7.0M	-299.0M	-119.8M
Net VEX	-1.8M	-2.0M	-1.7M	-1.9M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.22	0.92	0.65	0.69
Total Volume	2,518,142.609	936,840	4,710,720	1,453,400	936,840
Total OI	29,730,582.609	21,860,600	36,895,120	28,977,400	26,587,960

Daily Data (23 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
2011-03-01	$0.54	$0.50	58.6%	16.8%	67.2%	77.7%	59.6%	0.9%	-1.7%	2.9M	-299.0M	-1.9M	0.65	4.93	N/A	N/A	879,560	573,840	16,603,000	12,374,400
2011-03-02	$0.52	$0.50	58.6%	16.8%	67.6%	77.6%	60.1%	1.2%	-0.8%	2.0M	-223.8M	-1.8M	0.77	5.21	N/A	N/A	2,667,920	2,042,800	16,848,200	12,536,800
2011-03-03	$0.52	$0.50	64.7%	16.9%	65.0%	95.3%	60.3%	1.0%	-2.0%	2.3M	-244.3M	-1.9M	0.92	4.04	N/A	N/A	1,639,880	1,515,680	17,659,680	13,248,120
2011-03-04	$0.52	$0.55	61.8%	16.3%	64.9%	87.0%	57.4%	3.8%	0.4%	2.0M	-229.8M	-2.0M	0.65	3.73	N/A	N/A	788,200	512,360	17,984,640	13,757,200
2011-03-07	$0.51	$0.55	71.5%	16.7%	63.8%	100.0%	59.4%	4.6%	-0.3%	1.8M	-209.3M	-1.9M	0.71	4.73	N/A	N/A	1,291,040	918,560	18,070,680	13,629,320
2011-03-08	$0.49	$0.53	73.7%	16.6%	64.0%	100.0%	58.4%	5.0%	-0.0%	932.2K	-136.4M	-1.8M	0.45	3.87	N/A	N/A	2,848,320	1,269,480	18,505,680	13,967,560
2011-03-09	$0.48	$0.53	55.9%	16.9%	63.7%	57.6%	59.8%	3.2%	-0.4%	740.0K	-104.0M	-1.8M	0.61	3.10	N/A	N/A	1,751,960	1,064,000	19,221,400	14,268,280
2011-03-10	$0.45	$0.53	61.3%	17.6%	66.5%	70.4%	61.6%	2.6%	-0.1%	241.1K	7.0M	-1.7M	0.72	2.94	N/A	N/A	2,038,280	1,461,440	19,268,120	14,783,480
2011-03-11	$0.45	$0.50	62.5%	17.9%	66.8%	73.3%	62.8%	1.4%	-0.4%	-246.3K	-14.5M	-1.7M	0.50	4.43	N/A	N/A	2,204,960	1,094,360	19,744,800	15,155,360
2011-03-14	$0.46	$0.50	62.9%	18.0%	65.6%	74.2%	63.3%	1.0%	-1.1%	1.2M	-50.2M	-1.7M	0.66	3.66	N/A	N/A	1,073,040	703,920	19,593,080	14,906,960
2011-03-15	$0.44	$0.50	61.8%	17.7%	65.9%	71.6%	62.6%	3.3%	-0.6%	1.1M	-11.9M	-1.7M	0.60	3.81	N/A	N/A	2,427,520	1,448,200	19,750,720	15,039,240
2011-03-16	$0.44	$0.47	62.6%	17.9%	65.8%	73.5%	63.4%	6.1%	-1.1%	1.4M	-13.9M	-1.7M	0.61	3.52	N/A	N/A	1,931,280	1,168,680	20,179,400	15,080,520
2011-03-17	$0.45	$0.47	57.2%	16.4%	64.4%	60.7%	57.6%	5.0%	0.9%	2.3M	-40.9M	-1.7M	0.47	4.89	N/A	N/A	2,096,120	983,800	20,808,240	15,121,680
2011-03-18	$0.44	$0.47	56.1%	16.1%	50.4%	57.9%	57.2%	5.4%	1.3%	2.3M	-38.0M	-1.7M	0.71	3.32	N/A	N/A	1,172,240	827,000	21,680,040	15,215,080
2011-03-21	$0.44	$0.47	48.7%	14.0%	51.0%	40.3%	49.8%	2.9%	4.7%	2.1M	-53.8M	-1.7M	0.34	3.70	N/A	N/A	1,496,040	512,200	13,403,440	8,457,160
2011-03-22	$0.44	$0.45	50.4%	14.4%	41.1%	44.3%	50.9%	4.0%	4.1%	2.5M	-45.0M	-1.7M	0.44	4.04	N/A	N/A	764,040	338,320	14,197,760	8,633,440
2011-03-23	$0.45	$0.45	48.1%	13.8%	40.7%	39.0%	49.6%	3.1%	4.4%	3.1M	-70.6M	-1.7M	0.46	4.09	N/A	N/A	945,440	434,920	14,491,680	8,812,280
2011-03-24	$0.48	$0.45	49.4%	14.2%	49.9%	42.0%	50.1%	1.0%	3.0%	4.3M	-185.8M	-1.8M	0.62	4.82	N/A	N/A	2,544,680	1,584,840	14,633,320	8,985,480
2011-03-25	$0.47	$0.45	48.8%	13.7%	49.4%	40.6%	49.0%	0.4%	3.6%	3.4M	-123.5M	-1.8M	0.75	4.18	N/A	N/A	1,094,960	820,640	15,071,480	9,821,920
2011-03-28	$0.48	$0.45	57.5%	14.2%	52.0%	61.4%	50.4%	-0.6%	3.2%	4.2M	-173.9M	-1.9M	0.22	3.94	N/A	N/A	1,827,520	398,640	14,830,160	9,697,200
2011-03-29	$0.48	$0.45	54.5%	13.8%	50.1%	54.1%	49.9%	-1.4%	3.4%	5.1M	-174.2M	-1.9M	0.47	3.19	N/A	N/A	763,720	361,960	15,654,000	9,822,560
2011-03-30	$0.46	$0.45	56.8%	13.6%	49.7%	59.6%	48.9%	-1.3%	3.3%	4.1M	-105.9M	-1.8M	0.38	3.35	N/A	N/A	1,955,440	742,640	15,768,680	9,933,200
2011-03-31	$0.46	$0.45	48.2%	13.4%	49.5%	39.1%	47.5%	-1.2%	4.4%	4.7M	-119.8M	-1.8M	0.69	4.05	N/A	N/A	554,520	382,320	16,533,840	10,054,120