NVDA Options History — November 2011 In November 2011, NVDA traded between $0.35 and $0.39. ATM implied volatility averaged 62.7%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 6.3% (HV 20d: 56.4%). Max pain ranged from $0.35 to $0.40. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.69.
Notable Days 2011-11-11 : Highest Volume — 4,262,440 contracts2011-11-09 : Largest IV drop — 17.6% change2011-11-08 : Highest IV Rank — 57.8%2011-11-01 : Largest Expected Move — 20.0%Monthly Statistics Metric Avg Min Max Open Close Price $0.37 $0.35 $0.39 $0.35 $0.39 Max Pain $0.38 $0.35 $0.40 $0.35 $0.38 ATM IV 62.7% 47.9% 89.2% 76.1% 47.9% Expected Move 16.4% 13.6% 20.0% 20.0% 13.6% HV 20d 56.4% 53.2% 61.1% 58.5% 53.3% HV 60d 59.4% 56.0% 65.4% 65.4% 58.2% IV Rank 29.7% 13.8% 57.8% 43.9% 13.8% IV Percentile 66.8% 32.1% 97.2% 96.0% 32.1% Term Structure -0.1% -7.8% 2.6% -7.8% 2.6% VWIV 57.0% 49.3% 69.5% 69.5% 49.3% Skew 25d 7.8% 4.8% 11.0% 7.8% 5.0% Skew 10d 14.9% 8.6% 21.4% 14.8% 11.8% Call IV 25d 54.5% 47.1% 67.3% 67.0% 47.1% Put IV 25d 62.3% 52.1% 75.5% 74.8% 52.1% Bid-Ask Spread % 4.09 3.22 7.81 5.06 3.28 Gamma HHI 0.14 0.10 0.50 0.10 0.14 Net GEX 1.3M -1.9M 7.5M 641.1K 2.6M Net DEX -1.6M -55.6M 52.7M 16.5M -55.6M Net VEX -839.9K -944.0K -734.3K -872.3K -779.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.69 0.20 1.97 0.48 0.33 Total Volume 1,245,961.905 443,000 4,262,440 831,640 1,014,120 Total OI 19,082,405.714 17,342,040 21,826,520 18,158,080 18,312,840
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 2011-11-01 $0.35 $0.35 76.1% 20.0% 58.5% 43.9% 69.5% 7.8% -7.8% 641.1K 16.5M -872.3K 0.48 5.06 N/A N/A 560,840 270,800 10,211,360 7,946,720 2011-11-02 $0.35 $0.35 73.6% 19.8% 57.8% 41.3% 69.3% 8.3% -7.6% 583.9K 26.7M -834.4K 0.72 5.41 N/A N/A 739,040 531,520 10,408,000 7,920,160 2011-11-03 $0.37 $0.35 71.7% 17.7% 59.8% 39.2% 63.5% 8.9% -5.2% 1.4M -13.9M -899.3K 1.31 3.96 N/A N/A 596,120 782,640 10,578,920 8,015,240 2011-11-04 $0.37 $0.38 76.6% 16.5% 59.6% 44.4% 58.6% 9.9% -1.1% 1.3M -23.5M -934.4K 0.62 4.17 N/A N/A 549,200 342,320 10,657,880 8,269,360 2011-11-07 $0.37 $0.38 86.1% 16.1% 57.6% 54.5% 55.7% 9.2% -0.6% 1.3M -14.1M -903.5K 0.71 3.42 N/A N/A 482,000 343,080 10,588,200 8,358,520 2011-11-08 $0.38 $0.38 89.2% 15.2% 58.0% 57.8% 51.3% 8.5% 0.5% 1.7M -34.8M -910.4K 1.97 4.02 N/A N/A 517,640 1,021,760 10,769,120 8,512,720 2011-11-09 $0.36 $0.40 73.5% 17.4% 61.1% 41.1% 58.3% 11.0% -1.3% 202.3K 24.4M -889.1K 0.71 4.07 N/A N/A 741,240 527,080 10,812,080 9,205,640 2011-11-10 $0.36 $0.40 63.0% 18.1% 57.4% 29.9% 61.6% 10.9% -2.0% 451.6K 12.1M -922.5K 0.65 7.81 N/A N/A 1,841,760 1,201,360 11,189,720 9,474,200 2011-11-11 $0.37 $0.40 54.6% 15.7% 58.5% 21.0% 54.7% 8.3% 0.7% 7.5M -21.6M -944.0K 0.95 3.59 N/A N/A 2,185,400 2,077,040 11,847,680 9,978,840 2011-11-14 $0.37 $0.38 55.5% 15.9% 56.1% 21.9% 56.0% 8.0% 0.9% 927.3K -1.3M -864.5K 0.45 3.98 N/A N/A 533,960 241,280 10,948,960 8,937,720 2011-11-15 $0.37 $0.38 53.6% 15.4% 54.7% 19.9% 52.5% 8.0% 1.5% 1.6M -17.8M -862.5K 0.22 3.51 N/A N/A 499,680 110,720 11,128,840 8,819,960 2011-11-16 $0.36 $0.38 54.5% 15.6% 54.7% 20.9% 55.6% 8.2% 1.2% 1.2M 3.3M -828.0K 0.58 3.66 N/A N/A 280,120 162,880 11,207,200 8,815,920 2011-11-17 $0.35 $0.38 57.9% 16.6% 53.2% 24.6% 57.4% 8.4% 1.3% 93.3K 36.8M -771.6K 0.97 5.40 N/A N/A 523,040 506,640 11,208,400 8,787,360 2011-11-18 $0.35 $0.38 53.8% 15.4% 53.2% 20.1% 53.3% 7.3% 2.5% -1.9M 52.7M -734.3K 0.82 3.89 N/A N/A 640,240 527,520 11,277,200 8,922,280 2011-11-21 $0.37 $0.38 54.3% 15.6% 54.5% 20.6% 55.4% 6.7% 1.7% 887.7K -747.8K -787.1K 0.31 3.61 N/A N/A 1,072,200 334,840 9,750,920 7,591,120 2011-11-22 $0.38 $0.38 53.3% 15.3% 53.8% 19.6% 53.0% 5.6% 2.2% 1.6M -29.0M -828.8K 0.27 3.24 N/A N/A 1,156,160 316,920 10,027,680 7,682,240 2011-11-23 $0.36 $0.38 58.0% 16.6% 56.0% 24.7% 57.0% 4.8% 1.3% 1.2M 4.3M -793.9K 0.75 3.59 N/A N/A 423,920 317,520 10,262,800 7,765,480 2011-11-25 $0.35 $0.38 58.3% 16.6% 54.4% 24.9% 59.3% 5.9% 2.0% 1.1M 26.5M -743.9K 0.89 3.22 N/A N/A 279,160 248,160 10,469,080 7,812,320 2011-11-28 $0.37 $0.38 52.8% 15.4% 57.6% 19.0% 53.0% 6.7% 2.0% 1.4M -10.8M -773.8K 0.20 3.60 N/A N/A 913,160 182,760 10,347,400 7,747,480 2011-11-29 $0.37 $0.38 53.1% 15.2% 54.5% 19.4% 53.3% 6.7% 2.6% 1.6M -13.8M -760.7K 0.52 3.43 N/A N/A 374,880 194,480 10,407,040 7,755,920 2011-11-30 $0.39 $0.38 47.9% 13.6% 53.3% 13.8% 49.3% 5.0% 2.6% 2.6M -55.6M -779.1K 0.33 3.28 N/A N/A 761,880 252,240 10,516,600 7,796,240
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