NVDA Options History — August 2011 In August 2011, NVDA traded between $0.29 and $0.37. ATM implied volatility averaged 75.4%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 2.8% (HV 20d: 72.6%). Max pain ranged from $0.38 to $0.40. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.53.
Notable Days 2011-08-12 : Highest Volume — 5,923,320 contracts2011-08-04 : Largest IV spike — 43.6% change2011-08-08 : Highest IV Rank — 100.0%2011-08-11 : Largest Expected Move — 24.9%Monthly Statistics Metric Avg Min Max Open Close Price $0.33 $0.29 $0.37 $0.36 $0.33 Max Pain $0.38 $0.38 $0.40 $0.38 $0.38 ATM IV 75.4% 56.2% 128.8% 56.2% 72.0% Expected Move 19.4% 15.8% 24.9% 17.2% 15.8% HV 20d 72.6% 40.5% 89.8% 40.7% 88.4% HV 60d 51.5% 42.4% 58.0% 43.1% 58.0% IV Rank 45.0% 26.1% 100.0% 27.5% 39.5% IV Percentile 93.7% 83.3% 100.0% 83.3% 95.6% Term Structure -6.4% -18.7% 1.6% -7.8% 1.6% VWIV 68.3% 56.2% 86.9% 60.9% 56.2% Skew 25d 4.9% -2.9% 8.9% 2.7% 6.2% Skew 10d 8.7% -8.2% 21.1% 4.1% 10.8% Call IV 25d 67.3% 55.8% 84.9% 60.5% 55.8% Put IV 25d 72.2% 61.2% 92.2% 63.2% 61.9% Bid-Ask Spread % 5.04 3.16 10.64 3.65 3.16 Gamma HHI 0.12 0.08 0.57 0.10 0.11 Net GEX 709.5K -767.8K 5.8M 1.2M 1.2M Net DEX 101.5M 25.2M 182.9M 42.0M 71.9M Net VEX -1.0M -1.3M -832.5K -1.2M -955.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.18 1.76 0.26 0.21 Total Volume 1,760,800 436,160 5,923,320 1,672,000 1,458,520 Total OI 24,291,803.478 20,959,520 27,459,880 22,642,720 22,475,920
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 2011-08-01 $0.36 $0.38 56.2% 17.2% 40.7% 27.5% 60.9% 2.7% -7.8% 1.2M 42.0M -1.2M 0.26 3.65 N/A N/A 1,324,240 347,760 12,819,280 9,823,440 2011-08-02 $0.36 $0.38 68.2% 19.0% 40.5% 42.9% 68.0% -2.9% -6.8% 1.2M 35.1M -1.3M 0.60 5.59 N/A N/A 3,453,360 2,079,360 13,188,280 9,979,360 2011-08-03 $0.37 $0.38 62.7% 18.4% 41.9% 35.8% 64.6% -1.2% -6.9% 1.0M 25.2M -1.3M 0.64 5.67 N/A N/A 615,960 391,600 13,717,400 11,012,360 2011-08-04 $0.34 $0.38 90.0% 21.0% 54.1% 71.0% 75.8% -2.8% -8.6% -219.1K 109.6M -1.2M 0.36 7.08 N/A N/A 1,136,640 409,000 13,879,280 11,051,160 2011-08-05 $0.32 $0.40 90.2% 19.3% 54.8% 71.3% 66.8% 3.3% -7.4% -128.8K 136.5M -1.1M 0.33 4.96 N/A N/A 1,073,200 358,760 13,873,600 11,086,720 2011-08-08 $0.30 $0.40 128.8% 23.9% 60.0% 100.0% 84.2% 1.9% -14.6% -20.2K 147.7M -948.6K 0.99 6.64 N/A N/A 855,040 845,480 13,956,440 10,887,080 2011-08-09 $0.32 $0.40 125.0% 22.4% 68.3% 95.9% 80.1% 7.0% -13.9% 182.2K 118.5M -1.1M 1.76 10.64 N/A N/A 759,160 1,337,840 14,195,040 11,096,240 2011-08-10 $0.31 $0.40 107.3% 24.2% 69.7% 77.1% 84.6% 6.4% -15.2% 15.8K 132.5M -1.0M 0.50 6.48 N/A N/A 841,040 417,520 14,258,520 11,323,560 2011-08-11 $0.34 $0.40 87.0% 24.9% 75.8% 55.5% 86.9% 7.3% -18.7% 466.1K 75.3M -1.2M 0.57 7.25 N/A N/A 2,778,280 1,596,240 14,414,600 11,502,440 2011-08-12 $0.32 $0.40 66.4% 19.0% 76.9% 33.6% 65.3% 7.4% -7.0% -767.8K 159.7M -964.5K 0.40 5.19 N/A N/A 4,242,680 1,680,640 14,978,080 12,285,120 2011-08-15 $0.33 $0.40 59.4% 17.0% 78.0% 26.1% 61.0% 5.1% -1.9% 121.4K 122.0M -1.0M 0.18 4.41 N/A N/A 1,612,280 297,120 14,922,040 11,416,120 2011-08-16 $0.32 $0.38 62.0% 17.8% 77.7% 28.9% 62.9% 4.6% -4.6% 139.2K 142.0M -955.3K 0.25 4.59 N/A N/A 732,960 180,520 15,153,440 11,424,440 2011-08-17 $0.32 $0.38 59.6% 17.1% 77.7% 26.3% 60.5% 5.1% -2.9% 48.0K 156.8M -913.9K 0.33 3.62 N/A N/A 688,600 226,560 15,293,160 11,481,520 2011-08-18 $0.30 $0.38 69.3% 19.9% 78.6% 36.7% 72.1% 5.9% -6.3% -116.3K 178.6M -834.8K 0.63 4.23 N/A N/A 967,080 609,520 15,520,200 11,476,000 2011-08-19 $0.29 $0.38 74.9% 21.5% 77.8% 42.6% 73.6% 6.2% -10.4% -676 182.9M -834.0K 0.95 4.28 N/A N/A 439,840 418,760 15,804,800 11,655,080 2011-08-22 $0.30 $0.38 68.2% 19.5% 78.5% 35.4% 70.9% 6.9% -2.9% 302.0K 101.3M -832.5K 0.43 3.71 N/A N/A 534,200 231,680 12,142,280 8,817,240 2011-08-23 $0.33 $0.38 64.8% 18.6% 87.9% 31.8% 63.4% 8.8% -3.0% 1.0M 67.2M -975.6K 0.38 4.96 N/A N/A 1,131,200 435,360 12,346,760 8,901,800 2011-08-24 $0.33 $0.38 64.7% 18.6% 87.1% 31.8% 63.6% 8.2% -3.7% 1.1M 66.6M -974.3K 0.73 4.43 N/A N/A 583,920 425,880 12,532,560 9,119,880 2011-08-25 $0.31 $0.38 67.4% 19.3% 88.3% 34.6% 66.9% 8.9% -2.5% 845.5K 87.5M -923.0K 0.36 3.59 N/A N/A 320,280 115,880 12,791,840 9,374,040 2011-08-26 $0.33 $0.38 60.5% 18.0% 89.8% 27.2% 63.5% 8.9% -2.1% 5.8M 69.5M -972.5K 0.52 4.88 N/A N/A 595,800 308,600 12,904,600 9,413,920 2011-08-29 $0.33 $0.38 67.4% 16.7% 88.2% 34.6% 59.9% 5.4% 0.6% 1.2M 63.7M -984.8K 0.33 3.68 N/A N/A 516,200 171,040 12,798,680 9,285,120 2011-08-30 $0.34 $0.38 62.9% 16.5% 88.7% 29.8% 58.2% 2.8% -1.5% 1.6M 42.9M -1.0M 0.36 3.28 N/A N/A 698,560 254,240 13,030,160 9,301,880 2011-08-31 $0.33 $0.38 72.0% 15.8% 88.4% 39.5% 56.2% 6.2% 1.6% 1.2M 71.9M -955.2K 0.21 3.16 N/A N/A 1,203,880 254,640 13,069,440 9,406,480
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