NVDA Options History — September 2011

In September 2011, NVDA traded between $0.31 and $0.39. ATM implied volatility averaged 60.7%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded below realized volatility by 1.3% (HV 20d: 62.0%). Max pain ranged from $0.33 to $0.38. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.43.

Notable Days

2011-09-14: Highest Volume — 3,073,240 contracts
2011-09-06: Largest IV spike — 31.4% change
2011-09-12: Highest IV Rank — 38.4%
2011-09-12: Largest Expected Move — 19.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.35	$0.31	$0.39	$0.33	$0.31
Max Pain	$0.34	$0.33	$0.38	$0.38	$0.35
ATM IV	60.7%	52.5%	70.9%	52.6%	64.4%
Expected Move	17.4%	15.7%	19.2%	15.8%	18.3%
HV 20d	62.0%	49.5%	81.0%	81.0%	53.5%
HV 60d	61.0%	57.9%	63.3%	57.9%	63.3%
IV Rank	27.5%	18.8%	38.4%	18.9%	31.4%
IV Percentile	80.2%	61.9%	94.8%	64.3%	88.5%
Term Structure	1.8%	-2.3%	5.2%	2.7%	4.1%
VWIV	60.9%	55.1%	67.0%	57.1%	64.4%
Skew 25d	9.0%	4.8%	12.0%	4.8%	10.7%
Skew 10d	19.1%	9.3%	24.3%	9.3%	21.4%
Call IV 25d	57.5%	51.1%	62.9%	56.5%	62.9%
Put IV 25d	66.5%	58.3%	73.6%	61.2%	73.6%
Bid-Ask Spread %	3.98	3.08	5.25	3.29	4.41
Gamma HHI	0.13	0.09	0.26	0.13	0.10
Net GEX	1.9M	632.3K	4.1M	1.7M	1.0M
Net DEX	-8.1M	-114.3M	83.9M	60.3M	46.4M
Net VEX	-1.1M	-1.2M	-891.0K	-985.1K	-891.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.21	0.73	0.70	0.60
Total Volume	1,514,914.286	799,800	3,073,240	881,600	1,087,280
Total OI	21,566,876.19	17,461,280	25,103,560	23,351,200	19,566,680

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
2011-09-01	$0.33	$0.38	52.6%	15.8%	81.0%	18.9%	57.1%	4.8%	2.7%	1.7M	60.3M	-985.1K	0.70	3.29	N/A	N/A	518,840	362,760	13,834,160	9,517,040
2011-09-02	$0.32	$0.38	52.5%	17.8%	80.7%	18.8%	61.9%	8.0%	-2.3%	1.1M	83.9M	-937.9K	0.49	3.28	N/A	N/A	902,560	444,000	13,717,760	9,693,120
2011-09-06	$0.33	$0.33	69.0%	18.4%	74.9%	36.3%	62.8%	9.3%	-0.7%	1.3M	66.3M	-970.7K	0.46	5.25	N/A	N/A	620,000	284,560	13,723,000	9,508,480
2011-09-07	$0.36	$0.33	66.6%	17.6%	74.6%	33.8%	60.3%	8.6%	-1.3%	2.3M	4.2M	-1.1M	0.25	3.56	N/A	N/A	2,349,080	586,840	13,864,600	9,551,440
2011-09-08	$0.35	$0.33	63.1%	17.7%	72.2%	30.1%	63.9%	9.9%	-1.3%	2.5M	10.5M	-1.1M	0.21	3.68	N/A	N/A	1,593,560	340,920	14,096,760	9,679,440
2011-09-09	$0.35	$0.33	69.0%	18.7%	66.9%	36.3%	64.9%	10.9%	-1.7%	2.4M	12.5M	-1.1M	0.63	3.33	N/A	N/A	677,480	426,560	14,915,200	9,788,720
2011-09-12	$0.36	$0.33	70.9%	19.2%	65.4%	38.4%	67.0%	12.0%	-2.2%	2.9M	-7.4M	-1.1M	0.59	3.66	N/A	N/A	787,160	464,560	14,826,160	9,752,960
2011-09-13	$0.36	$0.33	60.7%	17.3%	64.6%	27.5%	63.1%	11.4%	0.2%	3.6M	-29.9M	-1.1M	0.35	3.87	N/A	N/A	805,520	282,240	14,988,600	9,976,440
2011-09-14	$0.38	$0.33	52.8%	17.0%	65.3%	19.1%	59.3%	9.0%	0.6%	4.1M	-91.9M	-1.2M	0.24	3.49	N/A	N/A	2,479,920	593,320	14,910,200	10,069,600
2011-09-15	$0.39	$0.33	54.7%	15.7%	64.8%	21.2%	55.1%	7.2%	3.4%	4.0M	-114.3M	-1.2M	0.28	3.08	N/A	N/A	1,171,000	332,280	15,086,440	10,017,120
2011-09-16	$0.39	$0.33	56.8%	16.3%	57.8%	23.4%	55.8%	7.4%	2.3%	1.8M	-109.3M	-1.2M	0.44	3.63	N/A	N/A	1,996,280	884,560	15,036,360	10,041,080
2011-09-19	$0.38	$0.33	58.0%	16.6%	58.0%	24.6%	58.8%	9.1%	3.0%	1.5M	-64.5M	-1.2M	0.60	4.12	N/A	N/A	711,560	428,480	10,142,240	7,319,040
2011-09-20	$0.37	$0.33	54.9%	15.8%	59.6%	21.4%	57.4%	7.0%	4.5%	1.3M	-42.9M	-1.1M	0.35	4.04	N/A	N/A	883,840	312,880	10,375,280	7,561,480
2011-09-21	$0.36	$0.33	57.9%	16.6%	49.5%	24.5%	56.3%	7.7%	3.7%	824.0K	-25.7M	-1.1M	0.73	4.34	N/A	N/A	462,440	337,360	10,436,920	7,690,760
2011-09-22	$0.34	$0.35	62.0%	17.8%	55.6%	28.8%	63.5%	11.2%	3.8%	632.3K	19.5M	-1.0M	0.52	4.45	N/A	N/A	1,170,320	612,800	10,571,920	7,814,840
2011-09-23	$0.34	$0.35	63.6%	18.2%	53.2%	30.6%	63.4%	8.6%	3.4%	1.2M	1.6M	-1.1M	0.44	4.18	N/A	N/A	1,326,320	586,760	10,914,920	7,899,360
2011-09-26	$0.35	$0.35	61.6%	17.7%	51.5%	28.4%	62.4%	8.8%	3.8%	1.4M	-10.4M	-1.1M	0.25	4.75	N/A	N/A	805,400	201,320	10,932,920	7,754,600
2011-09-27	$0.35	$0.35	58.3%	16.7%	50.7%	24.9%	58.7%	8.1%	5.2%	1.8M	-12.0M	-1.1M	0.36	4.27	N/A	N/A	934,400	337,000	11,177,880	7,746,400
2011-09-28	$0.34	$0.35	63.0%	18.1%	51.3%	30.0%	60.6%	9.7%	3.2%	1.4M	10.9M	-996.1K	0.27	3.81	N/A	N/A	1,145,720	309,200	11,269,440	7,780,760
2011-09-29	$0.33	$0.35	62.7%	18.0%	51.1%	29.6%	61.7%	10.2%	3.2%	1.2M	22.9M	-958.2K	0.29	5.11	N/A	N/A	969,960	286,160	11,579,880	7,774,400
2011-09-30	$0.31	$0.35	64.4%	18.3%	53.5%	31.4%	64.4%	10.7%	4.1%	1.0M	46.4M	-891.0K	0.60	4.41	N/A	N/A	678,160	409,120	11,738,120	7,828,560