NVDA Options History — June 2011 In June 2011, NVDA traded between $0.39 and $0.48. ATM implied volatility averaged 44.0%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 2.4% (HV 20d: 41.6%). Max pain ranged from $0.42 to $0.47. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.79.
Notable Days 2011-06-17 : Highest Volume — 2,652,640 contracts2011-06-27 : Largest IV spike — 28.3% change2011-06-28 : Highest IV Rank — 26.2%2011-06-17 : Largest Expected Move — 13.5%Monthly Statistics Metric Avg Min Max Open Close Price $0.42 $0.39 $0.48 $0.48 $0.40 Max Pain $0.45 $0.42 $0.47 $0.47 $0.42 ATM IV 44.0% 34.9% 55.3% 48.3% 34.9% Expected Move 12.1% 10.7% 13.5% 12.0% 10.7% HV 20d 41.6% 28.9% 56.4% 55.3% 30.0% HV 60d 44.9% 42.4% 48.3% 48.3% 42.5% IV Rank 11.6% 0.0% 26.2% 17.1% 0.0% IV Percentile 38.5% 0.0% 81.3% 65.5% 0.0% Term Structure 3.4% 1.1% 6.9% 1.1% 6.9% VWIV 42.7% 37.8% 48.3% 42.1% 37.8% Skew 25d 4.9% 3.3% 6.6% 3.3% 5.3% Skew 10d 9.8% 6.4% 13.1% 6.4% 9.2% Call IV 25d 41.1% 36.4% 45.7% 41.5% 36.4% Put IV 25d 46.0% 41.7% 52.3% 44.7% 41.7% Bid-Ask Spread % 4.25 2.97 5.47 3.48 3.86 Gamma HHI 0.15 0.09 0.28 0.25 0.21 Net GEX 1.2M -1.4M 3.4M 3.4M 3.1M Net DEX 4.5M -134.0M 137.6M -134.0M -20.0M Net VEX -1.3M -1.5M -1.1M -1.4M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.18 2.58 0.69 2.58 Total Volume 1,164,756.364 410,960 2,652,640 1,686,280 1,364,080 Total OI 22,983,550.909 16,049,520 26,715,360 24,606,760 20,698,600
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 2011-06-01 $0.48 $0.47 48.3% 12.0% 55.3% 17.1% 42.1% 3.3% 1.1% 3.4M -134.0M -1.4M 0.69 3.48 N/A N/A 997,320 688,960 14,134,120 10,472,640 2011-06-02 $0.48 $0.47 39.5% 11.6% 55.2% 5.8% 41.3% 3.8% 1.3% 2.7M -121.0M -1.5M 0.33 4.29 N/A N/A 1,081,480 353,240 14,531,480 10,876,440 2011-06-03 $0.46 $0.47 40.0% 12.2% 56.4% 6.5% 42.0% 4.2% 3.3% 2.6M -79.5M -1.5M 0.79 4.39 N/A N/A 513,640 407,920 15,194,880 10,911,120 2011-06-06 $0.45 $0.47 46.5% 12.5% 55.3% 14.9% 44.8% 3.9% 2.7% 1.9M -41.8M -1.4M 0.45 5.27 N/A N/A 432,920 194,280 14,997,760 10,754,400 2011-06-07 $0.45 $0.47 45.3% 12.2% 54.5% 13.3% 42.5% 3.8% 3.1% 1.8M -43.8M -1.4M 0.76 4.52 N/A N/A 233,400 177,560 15,006,560 10,811,320 2011-06-08 $0.44 $0.47 40.0% 12.2% 55.0% 6.4% 42.8% 4.0% 3.1% 536.5K 6.6M -1.3M 0.50 3.84 N/A N/A 446,160 224,080 15,029,040 10,844,600 2011-06-09 $0.43 $0.47 42.8% 12.3% 54.9% 10.1% 42.5% 3.7% 3.1% 251.4K 25.0M -1.3M 0.77 5.47 N/A N/A 830,960 639,320 15,124,640 10,907,080 2011-06-10 $0.43 $0.45 43.9% 12.6% 53.1% 11.5% 44.2% 4.5% 2.4% -41.1K 45.5M -1.3M 0.85 4.00 N/A N/A 492,960 417,280 15,252,040 11,147,360 2011-06-13 $0.42 $0.45 43.4% 12.4% 35.1% 10.9% 43.9% 4.7% 2.8% -305.8K 55.6M -1.3M 0.96 3.57 N/A N/A 364,280 350,320 15,197,640 11,147,400 2011-06-14 $0.43 $0.45 41.7% 11.9% 33.7% 8.6% 41.3% 3.9% 3.7% -323.3K 47.8M -1.3M 0.32 4.29 N/A N/A 700,720 220,880 15,219,560 11,221,840 2011-06-15 $0.42 $0.45 43.7% 12.5% 34.5% 11.3% 44.3% 4.5% 2.6% -469.9K 70.3M -1.2M 1.20 4.03 N/A N/A 502,800 605,280 15,403,400 11,185,400 2011-06-16 $0.40 $0.45 46.8% 13.4% 35.0% 15.3% 46.2% 5.7% 1.9% -1.4M 111.6M -1.2M 1.58 4.25 N/A N/A 516,040 816,880 15,286,520 11,284,840 2011-06-17 $0.40 $0.45 47.1% 13.5% 35.4% 15.6% 48.3% 6.6% 1.7% -269.3K 137.6M -1.1M 0.86 2.97 N/A N/A 1,428,440 1,224,200 15,398,120 11,317,240 2011-06-20 $0.39 $0.45 43.6% 12.5% 34.4% 11.1% 44.5% 6.6% 2.8% 466.4K 30.3M -1.1M 0.18 5.21 N/A N/A 2,152,880 378,160 9,125,600 6,923,920 2011-06-21 $0.40 $0.42 40.1% 11.5% 35.9% 6.6% 40.5% 5.6% 4.6% 1.6M -8.4M -1.2M 0.55 3.73 N/A N/A 360,280 196,480 10,447,320 7,108,640 2011-06-22 $0.39 $0.42 38.8% 11.1% 35.7% 5.0% 40.1% 6.2% 5.2% 1.6M 1.9M -1.2M 0.62 3.74 N/A N/A 470,440 292,800 10,626,440 7,113,040 2011-06-23 $0.41 $0.42 40.1% 11.5% 37.5% 6.6% 41.3% 5.1% 5.0% 2.2M -30.0M -1.3M 1.25 5.00 N/A N/A 423,240 528,320 10,922,400 7,275,360 2011-06-24 $0.39 $0.42 42.9% 11.6% 36.4% 10.2% 41.6% 6.1% 5.3% 1.3M 3.5M -1.3M 0.29 4.67 N/A N/A 603,520 175,960 11,021,160 7,653,440 2011-06-27 $0.39 $0.42 55.0% 12.7% 32.6% 25.8% 44.6% 6.4% 3.6% 1.5M 21.9M -1.2M 0.85 3.37 N/A N/A 592,600 505,240 11,159,280 7,653,200 2011-06-28 $0.39 $0.42 55.3% 12.4% 30.0% 26.2% 42.4% 5.1% 3.6% 1.6M 17.8M -1.2M 0.72 5.24 N/A N/A 590,760 427,840 11,363,640 7,939,760 2011-06-29 $0.39 $0.42 47.8% 11.2% 28.9% 16.5% 40.8% 4.2% 5.6% 1.9M 3.0M -1.3M 0.23 4.22 N/A N/A 1,379,600 321,120 11,689,800 8,259,080 2011-06-30 $0.40 $0.42 34.9% 10.7% 30.0% 0.0% 37.8% 5.3% 6.9% 3.1M -20.0M -1.3M 2.58 3.86 N/A N/A 381,200 982,880 12,293,680 8,404,920
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