NVDA Options History — May 2011

In May 2011, NVDA traded between $0.44 and $0.51. ATM implied volatility averaged 54.1%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 7.3% (HV 20d: 46.8%). Max pain ranged from $0.45 to $0.47. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2011-05-13: Highest Volume — 5,265,160 contracts
2011-05-11: Largest IV drop — 38.9% change
2011-05-06: Highest IV Rank — 100.0%
2011-05-10: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.47	$0.44	$0.51	$0.49	$0.50
Max Pain	$0.47	$0.45	$0.47	$0.45	$0.47
ATM IV	54.1%	36.3%	112.5%	47.6%	44.7%
Expected Move	13.6%	11.3%	16.1%	14.9%	11.4%
HV 20d	46.8%	35.4%	55.6%	35.8%	55.6%
HV 60d	50.1%	46.5%	56.0%	51.5%	47.5%
IV Rank	32.8%	1.7%	100.0%	32.6%	12.6%
IV Percentile	54.2%	2.0%	100.0%	57.9%	43.7%
Term Structure	-0.7%	-6.9%	4.7%	-5.1%	1.4%
VWIV	48.4%	39.8%	60.0%	52.8%	41.1%
Skew 25d	3.5%	1.4%	8.2%	1.4%	4.1%
Skew 10d	7.2%	1.7%	16.2%	1.7%	9.8%
Call IV 25d	47.0%	39.0%	55.7%	52.8%	39.2%
Put IV 25d	50.5%	40.9%	61.8%	54.3%	43.3%
Bid-Ask Spread %	4.43	3.18	9.23	3.84	3.18
Gamma HHI	0.16	0.11	0.31	0.12	0.31
Net GEX	2.3M	-928.7K	4.6M	4.0M	4.6M
Net DEX	-101.7M	-266.3M	60.1M	-216.7M	-216.1M
Net VEX	-1.5M	-1.7M	-1.3M	-1.7M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.20	2.40	0.70	0.49
Total Volume	2,136,361.905	716,400	5,265,160	1,247,160	1,496,120
Total OI	26,314,914.286	22,799,120	29,024,360	25,699,920	24,451,040

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
2011-05-02	$0.49	$0.45	47.6%	14.9%	35.8%	32.6%	52.8%	1.4%	-5.1%	4.0M	-216.7M	-1.7M	0.70	3.84	N/A	N/A	734,640	512,520	14,823,680	10,876,240
2011-05-03	$0.47	$0.45	53.9%	15.5%	37.9%	48.8%	55.1%	2.1%	-6.5%	3.0M	-121.7M	-1.6M	0.99	3.90	N/A	N/A	1,180,640	1,166,600	14,980,000	10,988,680
2011-05-04	$0.47	$0.45	52.9%	15.3%	38.1%	46.3%	55.1%	2.4%	-6.4%	2.2M	-102.3M	-1.6M	2.40	4.36	N/A	N/A	524,480	1,258,400	15,335,320	11,653,080
2011-05-05	$0.47	$0.45	65.0%	15.8%	37.9%	77.5%	55.7%	1.9%	-6.9%	1.7M	-95.7M	-1.6M	0.78	4.66	N/A	N/A	493,120	386,280	15,265,640	11,944,640
2011-05-06	$0.48	$0.47	74.0%	14.9%	37.8%	100.0%	53.5%	5.0%	-2.3%	3.1M	-168.6M	-1.7M	0.79	4.16	N/A	N/A	1,881,440	1,495,040	15,444,080	12,075,200
2011-05-09	$0.49	$0.47	98.2%	15.9%	36.1%	100.0%	57.8%	6.8%	-5.1%	3.4M	-197.8M	-1.7M	1.27	5.37	N/A	N/A	1,034,240	1,310,040	14,973,200	11,600,920
2011-05-10	$0.49	$0.47	112.5%	16.1%	35.4%	100.0%	60.0%	8.2%	-6.1%	3.7M	-204.4M	-1.7M	0.80	4.62	N/A	N/A	1,542,000	1,230,880	15,195,160	11,699,040
2011-05-11	$0.50	$0.47	68.8%	15.3%	35.4%	43.6%	55.9%	7.4%	-4.2%	3.5M	-200.1M	-1.6M	1.62	5.11	N/A	N/A	675,040	1,094,720	15,074,680	12,105,400
2011-05-12	$0.51	$0.47	51.7%	14.8%	36.1%	21.6%	52.1%	5.2%	-2.2%	4.0M	-266.3M	-1.6M	0.82	5.69	N/A	N/A	2,307,320	1,896,400	15,173,240	12,613,320
2011-05-13	$0.46	$0.47	45.1%	12.9%	54.6%	13.1%	45.6%	4.1%	3.3%	-165.7K	22.1M	-1.4M	1.48	9.23	N/A	N/A	2,122,000	3,143,160	15,636,000	13,007,320
2011-05-16	$0.44	$0.47	45.1%	12.9%	55.5%	13.0%	46.2%	3.0%	2.5%	-565.7K	49.6M	-1.3M	0.81	4.30	N/A	N/A	791,920	645,080	15,080,280	12,135,760
2011-05-17	$0.44	$0.47	46.4%	13.3%	54.3%	14.7%	46.9%	2.6%	2.2%	-928.7K	60.1M	-1.3M	0.20	6.06	N/A	N/A	4,213,200	825,760	15,066,400	12,279,760
2011-05-18	$0.45	$0.47	44.3%	12.7%	54.9%	12.0%	44.9%	2.7%	4.0%	1.5M	-3.3M	-1.4M	0.55	3.32	N/A	N/A	624,680	346,240	15,978,320	12,301,920
2011-05-19	$0.44	$0.47	42.2%	12.1%	54.0%	9.3%	43.0%	3.5%	4.2%	424.5K	37.2M	-1.3M	0.64	3.48	N/A	N/A	1,894,920	1,213,760	15,657,560	12,136,600
2011-05-20	$0.45	$0.47	42.1%	12.1%	54.4%	9.1%	42.7%	2.5%	4.7%	4.0M	-37.5M	-1.4M	0.59	3.72	N/A	N/A	932,520	545,760	16,654,920	12,369,440
2011-05-23	$0.45	$0.47	42.4%	12.1%	54.1%	9.5%	43.2%	2.7%	1.3%	1.3M	-44.5M	-1.4M	0.44	3.65	N/A	N/A	648,560	282,160	13,115,480	9,683,640
2011-05-24	$0.45	$0.47	42.9%	12.3%	53.1%	10.2%	43.2%	1.7%	1.1%	1.7M	-58.3M	-1.4M	0.28	3.69	N/A	N/A	821,360	225,880	13,434,680	9,853,720
2011-05-25	$0.46	$0.47	41.0%	11.7%	53.4%	7.7%	41.0%	1.8%	1.6%	2.1M	-75.8M	-1.4M	0.97	3.38	N/A	N/A	362,960	353,440	13,604,680	9,910,960
2011-05-26	$0.47	$0.47	39.3%	11.3%	54.1%	5.6%	40.2%	2.6%	1.9%	2.6M	-110.6M	-1.5M	0.23	3.96	N/A	N/A	1,185,680	278,680	13,736,360	10,199,200
2011-05-27	$0.49	$0.47	36.3%	11.3%	54.9%	1.7%	39.8%	1.9%	1.6%	3.7M	-184.6M	-1.5M	0.36	3.42	N/A	N/A	869,600	316,360	14,151,480	10,346,160
2011-05-31	$0.50	$0.47	44.7%	11.4%	55.6%	12.6%	41.1%	4.1%	1.4%	4.6M	-216.1M	-1.5M	0.49	3.18	N/A	N/A	1,005,920	490,200	14,086,600	10,364,440