NVDA Options History — July 2011

In July 2011, NVDA traded between $0.34 and $0.40. ATM implied volatility averaged 48.1%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 15.7% (HV 20d: 32.3%). Max pain ranged from $0.38 to $0.42. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.67.

Notable Days

2011-07-07: Highest Volume — 1,818,040 contracts
2011-07-05: Largest IV spike — 24.4% change
2011-07-28: Highest IV Rank — 27.7%
2011-07-29: Largest Expected Move — 16.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.37	$0.34	$0.40	$0.40	$0.35
Max Pain	$0.38	$0.38	$0.42	$0.42	$0.38
ATM IV	48.1%	35.4%	56.4%	35.4%	55.2%
Expected Move	14.2%	10.4%	16.6%	10.4%	16.6%
HV 20d	32.3%	28.6%	36.9%	29.7%	35.5%
HV 60d	41.6%	40.7%	42.6%	42.6%	41.5%
IV Rank	17.0%	0.7%	27.7%	0.7%	26.2%
IV Percentile	58.4%	1.2%	84.1%	1.2%	80.6%
Term Structure	-2.2%	-5.3%	8.1%	8.1%	-4.9%
VWIV	49.7%	37.7%	59.0%	37.7%	59.0%
Skew 25d	5.4%	2.5%	6.9%	5.1%	2.5%
Skew 10d	10.6%	6.1%	14.6%	10.6%	6.1%
Call IV 25d	48.1%	35.2%	58.5%	35.2%	58.5%
Put IV 25d	53.5%	40.3%	61.0%	40.3%	61.0%
Bid-Ask Spread %	3.82	3.05	4.80	4.80	3.80
Gamma HHI	0.16	0.11	0.36	0.11	0.12
Net GEX	992.8K	-499.2K	5.1M	1.9M	190.5K
Net DEX	59.7M	-34.8M	120.8M	-34.8M	97.0M
Net VEX	-1.2M	-1.4M	-1.0M	-1.4M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.26	1.65	0.63	0.60
Total Volume	1,032,988	537,000	1,818,040	573,200	1,196,760
Total OI	22,025,618	20,491,600	23,726,920	21,487,480	22,271,120

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
2011-07-01	$0.40	$0.42	35.4%	10.4%	29.7%	0.7%	37.7%	5.1%	8.1%	1.9M	-34.8M	-1.4M	0.63	4.80	N/A	N/A	351,840	221,360	12,412,560	9,074,920
2011-07-05	$0.40	$0.38	44.1%	13.0%	29.4%	11.9%	45.7%	6.9%	-1.4%	1.6M	-4.9M	-1.3M	0.50	4.32	N/A	N/A	478,240	238,680	12,214,960	9,041,120
2011-07-06	$0.39	$0.38	38.1%	12.8%	29.4%	4.2%	45.8%	6.3%	-1.2%	1.4M	10.1M	-1.3M	0.48	3.43	N/A	N/A	391,480	186,520	12,409,600	9,161,280
2011-07-07	$0.39	$0.38	40.9%	13.5%	28.6%	7.8%	47.4%	5.5%	-2.9%	1.3M	7.0M	-1.3M	0.66	4.07	N/A	N/A	1,096,640	721,400	12,446,040	9,231,840
2011-07-08	$0.39	$0.38	46.5%	14.2%	29.0%	15.0%	49.2%	6.2%	-2.9%	724.8K	35.1M	-1.3M	0.95	3.50	N/A	N/A	678,200	642,560	12,869,480	9,672,920
2011-07-11	$0.37	$0.38	50.0%	14.2%	30.7%	19.6%	49.4%	6.4%	-3.1%	354.7K	71.3M	-1.2M	0.42	3.91	N/A	N/A	683,520	288,560	13,046,720	9,748,560
2011-07-12	$0.37	$0.38	47.1%	14.0%	30.8%	15.8%	49.6%	6.4%	-2.5%	337.8K	80.2M	-1.2M	0.44	4.57	N/A	N/A	848,080	376,760	13,327,960	9,733,240
2011-07-13	$0.37	$0.38	40.5%	13.7%	30.3%	7.2%	48.2%	6.0%	-1.8%	508.1K	85.0M	-1.2M	1.65	3.32	N/A	N/A	255,040	422,000	13,418,120	9,866,880
2011-07-14	$0.35	$0.38	50.3%	14.4%	32.1%	19.9%	48.9%	6.6%	-1.9%	103.7K	119.5M	-1.1M	1.08	3.97	N/A	N/A	562,680	609,640	13,433,120	9,839,480
2011-07-15	$0.35	$0.38	49.9%	14.3%	30.7%	19.4%	49.2%	5.9%	-2.0%	-499.2K	120.8M	-1.1M	0.61	3.79	N/A	N/A	667,440	409,280	13,628,240	10,098,680
2011-07-18	$0.34	$0.38	50.9%	14.6%	30.6%	20.7%	50.6%	4.7%	-2.0%	411.7K	94.4M	-1.0M	0.48	4.00	N/A	N/A	657,840	314,040	11,791,960	8,699,640
2011-07-19	$0.36	$0.38	48.0%	13.8%	33.2%	16.9%	47.0%	6.0%	-1.0%	922.1K	73.7M	-1.1M	0.59	3.05	N/A	N/A	530,960	315,800	12,087,440	8,786,600
2011-07-20	$0.35	$0.38	48.3%	13.8%	31.8%	17.3%	48.5%	5.6%	-0.9%	773.8K	84.2M	-1.1M	0.59	3.66	N/A	N/A	337,080	199,920	12,301,760	8,915,560
2011-07-21	$0.37	$0.38	49.4%	14.2%	36.6%	18.7%	50.8%	5.6%	-2.2%	1.8M	36.4M	-1.2M	0.35	3.54	N/A	N/A	1,203,520	424,840	12,424,400	8,967,720
2011-07-22	$0.38	$0.38	48.6%	13.9%	35.7%	17.8%	49.1%	4.6%	-1.9%	5.1M	17.6M	-1.3M	0.28	3.72	N/A	N/A	623,000	174,760	12,549,120	9,228,320
2011-07-25	$0.37	$0.38	52.8%	15.1%	34.7%	23.1%	53.3%	5.0%	-4.1%	1.6M	35.3M	-1.2M	0.26	4.04	N/A	N/A	777,200	204,520	12,501,480	9,203,600
2011-07-26	$0.36	$0.38	54.4%	15.6%	35.0%	25.2%	53.7%	4.9%	-4.8%	960.1K	65.8M	-1.1M	0.70	3.79	N/A	N/A	469,720	330,000	12,308,800	9,261,400
2011-07-27	$0.35	$0.38	54.4%	15.6%	36.9%	25.2%	54.4%	4.2%	-4.8%	548.5K	97.2M	-1.0M	1.54	3.94	N/A	N/A	547,560	844,080	12,538,080	9,407,680
2011-07-28	$0.35	$0.38	56.4%	16.2%	36.1%	27.7%	57.0%	3.2%	-5.3%	-20.7K	103.7M	-1.1M	0.63	3.27	N/A	N/A	844,000	534,240	12,612,040	9,979,920
2011-07-29	$0.35	$0.38	55.2%	16.6%	35.5%	26.2%	59.0%	2.5%	-4.9%	190.5K	97.0M	-1.1M	0.60	3.80	N/A	N/A	747,960	448,800	12,518,160	9,752,960