NVDA Options History — October 2011

In October 2011, NVDA traded between $0.30 and $0.39. ATM implied volatility averaged 63.3%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 0.4% (HV 20d: 62.9%). Max pain ranged from $0.33 to $0.35. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.60.

Notable Days

2011-10-06: Highest Volume — 1,864,080 contracts
2011-10-31: Largest IV spike — 29.6% change
2011-10-03: Highest IV Rank — 53.5%
2011-10-03: Largest Expected Move — 20.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.36	$0.30	$0.39	$0.30	$0.37
Max Pain	$0.34	$0.33	$0.35	$0.33	$0.35
ATM IV	63.3%	45.8%	85.1%	85.1%	59.4%
Expected Move	18.1%	15.9%	20.8%	20.8%	17.9%
HV 20d	62.9%	56.3%	66.1%	56.3%	61.8%
HV 60d	67.8%	64.2%	69.4%	64.2%	66.8%
IV Rank	30.3%	11.6%	53.5%	53.5%	26.1%
IV Percentile	79.1%	31.7%	96.8%	96.8%	71.4%
Term Structure	-2.0%	-6.6%	5.0%	1.9%	-6.6%
VWIV	63.5%	56.5%	71.7%	71.7%	64.0%
Skew 25d	10.8%	7.0%	12.8%	11.2%	7.0%
Skew 10d	21.7%	12.4%	26.1%	20.3%	12.4%
Call IV 25d	58.7%	53.1%	69.7%	69.7%	60.4%
Put IV 25d	69.5%	62.0%	80.9%	80.9%	67.4%
Bid-Ask Spread %	3.72	2.88	5.00	4.81	5.00
Gamma HHI	0.12	0.09	0.17	0.11	0.10
Net GEX	1.6M	770.9K	2.5M	792.7K	1.1M
Net DEX	-37.6M	-117.6M	63.2M	63.2M	-17.3M
Net VEX	-1.0M	-1.1M	-815.1K	-815.1K	-922.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.24	1.25	0.24	0.74
Total Volume	1,146,958.095	594,880	1,864,080	1,442,800	628,000
Total OI	19,349,426.667	17,504,560	20,932,600	19,391,640	17,821,680

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
2011-10-03	$0.30	$0.33	85.1%	20.8%	56.3%	53.5%	71.7%	11.2%	1.9%	792.7K	63.2M	-815.1K	0.24	4.81	N/A	N/A	1,166,080	276,720	11,581,360	7,810,280
2011-10-04	$0.32	$0.33	77.8%	18.9%	64.8%	45.7%	66.3%	9.3%	3.7%	1.7M	20.4M	-944.2K	0.32	2.88	N/A	N/A	1,334,880	428,000	11,842,240	7,820,640
2011-10-05	$0.33	$0.33	69.7%	17.6%	59.4%	37.1%	61.6%	7.5%	5.0%	2.1M	-1.5M	-977.8K	0.56	3.35	N/A	N/A	700,680	393,200	11,924,680	7,940,880
2011-10-06	$0.35	$0.33	62.8%	17.7%	61.3%	29.8%	63.4%	7.2%	5.0%	2.4M	-33.8M	-1.0M	0.24	3.23	N/A	N/A	1,502,160	361,920	11,968,640	8,082,880
2011-10-07	$0.35	$0.33	60.9%	19.4%	61.2%	27.7%	69.2%	11.6%	-2.2%	1.6M	-38.2M	-1.1M	0.37	3.92	N/A	N/A	1,119,480	411,400	11,476,240	8,180,120
2011-10-10	$0.37	$0.33	64.1%	18.4%	62.5%	31.1%	65.0%	12.1%	-2.5%	2.0M	-59.1M	-1.1M	0.53	3.61	N/A	N/A	654,280	343,960	11,158,200	8,027,000
2011-10-11	$0.37	$0.33	61.4%	17.9%	62.2%	28.2%	65.2%	12.2%	-1.7%	1.9M	-45.6M	-1.0M	0.46	3.27	N/A	N/A	788,520	363,360	11,191,240	8,125,360
2011-10-12	$0.37	$0.35	54.4%	17.7%	59.3%	20.8%	62.2%	11.5%	-2.4%	2.1M	-47.8M	-1.0M	1.25	4.07	N/A	N/A	460,040	576,560	11,481,760	8,215,560
2011-10-13	$0.39	$0.35	62.4%	17.9%	62.7%	29.3%	62.3%	10.9%	-2.4%	2.3M	-99.1M	-1.1M	0.39	3.01	N/A	N/A	936,560	362,240	11,497,880	8,496,320
2011-10-14	$0.39	$0.35	58.7%	16.8%	63.0%	25.3%	59.6%	10.1%	-2.3%	2.5M	-117.6M	-1.1M	0.62	3.74	N/A	N/A	672,120	413,400	11,617,440	8,595,840
2011-10-17	$0.37	$0.35	64.6%	18.5%	65.2%	31.7%	66.7%	11.8%	-3.4%	1.8M	-57.0M	-1.0M	0.79	3.77	N/A	N/A	540,560	429,320	11,532,360	8,555,280
2011-10-18	$0.39	$0.35	63.3%	18.1%	65.7%	30.3%	63.2%	11.8%	-3.2%	2.2M	-95.2M	-1.1M	0.39	3.42	N/A	N/A	576,920	222,880	11,581,560	8,660,280
2011-10-19	$0.38	$0.35	64.0%	18.4%	65.8%	31.1%	65.0%	12.8%	-3.5%	1.7M	-73.1M	-1.0M	0.88	3.15	N/A	N/A	655,880	577,920	11,569,840	8,670,760
2011-10-20	$0.36	$0.35	68.4%	19.6%	63.5%	35.7%	66.4%	12.5%	-4.4%	878.3K	-10.4M	-978.4K	0.88	4.01	N/A	N/A	938,160	822,360	11,581,040	8,998,520
2011-10-21	$0.36	$0.35	65.6%	18.8%	63.2%	32.7%	63.0%	12.6%	-4.1%	770.9K	-17.0M	-971.0K	1.09	3.40	N/A	N/A	419,880	458,760	11,869,720	9,062,880
2011-10-24	$0.38	$0.35	59.3%	17.0%	64.4%	26.0%	57.7%	12.3%	-3.1%	1.1M	-31.9M	-983.1K	0.34	4.22	N/A	N/A	648,360	218,120	9,776,920	7,727,640
2011-10-25	$0.36	$0.35	63.1%	18.1%	66.1%	30.1%	60.9%	12.1%	-4.0%	860.3K	-4.2M	-937.7K	1.23	3.90	N/A	N/A	266,440	328,440	10,003,360	7,789,920
2011-10-26	$0.37	$0.35	60.4%	17.3%	65.0%	27.2%	66.6%	12.7%	-3.1%	1.0M	-14.2M	-947.4K	0.68	3.89	N/A	N/A	463,880	313,880	10,063,800	7,757,240
2011-10-27	$0.38	$0.35	58.1%	16.7%	65.4%	24.7%	56.5%	10.2%	-4.4%	1.6M	-44.5M	-983.3K	0.38	3.81	N/A	N/A	849,200	319,040	10,145,680	7,923,080
2011-10-28	$0.39	$0.35	45.8%	15.9%	62.5%	11.6%	56.8%	8.2%	-3.8%	1.7M	-66.2M	-992.4K	0.24	3.70	N/A	N/A	919,000	223,560	10,227,200	7,984,640
2011-10-31	$0.37	$0.35	59.4%	17.9%	61.8%	26.1%	64.0%	7.0%	-6.6%	1.1M	-17.3M	-922.2K	0.74	5.00	N/A	N/A	360,600	267,400	9,988,400	7,833,280