NVDA Options History — December 2011

In December 2011, NVDA traded between $0.33 and $0.40. ATM implied volatility averaged 46.1%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 0.3% (HV 20d: 46.4%). Max pain ranged from $0.38 to $0.40. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2011-12-01: Highest Volume — 1,151,880 contracts
2011-12-30: Largest IV drop — 27.9% change
2011-12-05: Highest IV Rank — 19.9%
2011-12-08: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.36	$0.33	$0.40	$0.40	$0.35
Max Pain	$0.38	$0.38	$0.40	$0.38	$0.38
ATM IV	46.1%	32.8%	53.6%	44.4%	32.8%
Expected Move	13.6%	12.4%	15.0%	13.0%	12.9%
HV 20d	46.4%	38.0%	52.7%	52.7%	38.0%
HV 60d	54.9%	50.1%	56.1%	56.1%	50.1%
IV Rank	12.1%	0.0%	19.9%	10.2%	0.0%
IV Percentile	25.2%	0.0%	45.6%	21.4%	0.0%
Term Structure	4.4%	2.4%	7.1%	3.8%	7.1%
VWIV	47.8%	42.5%	53.0%	46.6%	45.3%
Skew 25d	5.7%	2.9%	8.3%	6.6%	3.5%
Skew 10d	10.9%	3.7%	16.3%	14.9%	4.6%
Call IV 25d	46.2%	41.3%	50.1%	44.5%	45.2%
Put IV 25d	51.9%	46.7%	58.1%	51.1%	48.7%
Bid-Ask Spread %	2.99	2.15	5.26	3.32	4.08
Gamma HHI	0.13	0.09	0.16	0.14	0.15
Net GEX	976.9K	-364.6K	2.8M	2.8M	917.8K
Net DEX	20.1M	-69.7M	79.4M	-69.7M	31.0M
Net VEX	-579.6K	-784.9K	-453.1K	-784.9K	-491.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.23	1.26	0.72	0.64
Total Volume	698,259.048	351,960	1,151,880	1,151,880	521,760
Total OI	17,028,207.619	14,316,520	19,014,120	18,235,200	15,631,840

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
2011-12-01	$0.40	$0.38	44.4%	13.0%	52.7%	10.2%	46.6%	6.6%	3.8%	2.8M	-69.7M	-784.9K	0.72	3.32	N/A	N/A	668,080	483,800	10,535,120	7,700,080
2011-12-02	$0.39	$0.38	42.4%	13.0%	49.1%	8.0%	48.0%	4.3%	4.1%	2.3M	-59.0M	-767.7K	0.33	3.47	N/A	N/A	768,880	255,880	10,583,880	7,848,840
2011-12-05	$0.39	$0.40	53.6%	14.6%	49.5%	19.9%	50.0%	7.4%	3.4%	2.0M	-32.0M	-726.6K	0.71	2.19	N/A	N/A	307,520	219,560	10,406,880	7,802,240
2011-12-06	$0.38	$0.40	51.3%	14.3%	49.8%	17.5%	48.8%	7.0%	3.1%	1.8M	-16.4M	-700.3K	0.94	2.32	N/A	N/A	381,160	359,360	10,473,120	7,804,640
2011-12-07	$0.38	$0.40	49.2%	14.7%	49.2%	15.2%	51.7%	7.8%	2.7%	1.6M	-13.4M	-701.9K	1.05	3.09	N/A	N/A	321,320	339,000	10,588,680	7,892,600
2011-12-08	$0.37	$0.40	51.6%	15.0%	46.9%	17.8%	53.0%	8.3%	2.4%	1.1M	15.4M	-670.3K	0.94	2.56	N/A	N/A	310,040	291,040	10,642,200	8,000,640
2011-12-09	$0.37	$0.40	42.2%	14.1%	47.0%	7.8%	49.7%	6.7%	3.5%	1.5M	8.9M	-659.0K	0.64	2.77	N/A	N/A	638,520	408,280	10,733,440	7,993,640
2011-12-12	$0.36	$0.40	46.9%	14.2%	46.2%	12.8%	50.1%	7.6%	3.5%	861.9K	30.0M	-603.4K	0.76	2.19	N/A	N/A	318,920	241,040	10,812,560	7,912,880
2011-12-13	$0.35	$0.40	48.6%	14.5%	46.7%	14.6%	49.5%	6.5%	2.9%	213.2K	53.0M	-564.5K	0.50	2.90	N/A	N/A	436,800	216,320	10,785,120	7,907,080
2011-12-14	$0.34	$0.40	48.6%	14.5%	48.2%	14.6%	50.7%	5.8%	3.2%	-364.6K	75.0M	-523.5K	0.49	2.15	N/A	N/A	465,920	229,760	10,911,720	7,913,560
2011-12-15	$0.34	$0.38	49.3%	14.1%	47.9%	15.3%	51.4%	5.1%	5.8%	-314.2K	79.4M	-510.0K	1.00	2.32	N/A	N/A	428,320	427,080	11,039,760	7,925,920
2011-12-16	$0.34	$0.38	47.0%	13.5%	46.4%	12.9%	47.8%	5.7%	4.9%	265.2K	77.3M	-499.2K	1.26	2.99	N/A	N/A	354,880	445,520	11,128,280	7,885,840
2011-12-19	$0.33	$0.38	49.6%	14.2%	47.2%	15.7%	48.0%	5.1%	3.5%	-30.0K	59.3M	-453.1K	0.40	2.82	N/A	N/A	405,600	161,960	8,296,200	6,020,320
2011-12-20	$0.35	$0.38	44.0%	12.6%	48.2%	9.8%	43.9%	5.4%	5.7%	560.3K	36.1M	-499.4K	0.23	3.17	N/A	N/A	470,200	109,080	8,468,640	6,072,840
2011-12-21	$0.34	$0.38	44.2%	12.7%	46.7%	9.9%	45.0%	5.1%	5.8%	617.8K	35.6M	-489.3K	0.46	2.93	N/A	N/A	289,440	134,160	8,615,280	5,934,720
2011-12-22	$0.36	$0.38	43.5%	12.5%	47.2%	9.2%	42.5%	6.0%	5.4%	1.3M	10.7M	-527.9K	1.05	2.66	N/A	N/A	531,560	557,240	8,741,200	5,996,120
2011-12-23	$0.35	$0.38	43.2%	12.4%	46.2%	8.9%	43.2%	4.5%	5.6%	956.8K	15.2M	-519.0K	0.56	2.58	N/A	N/A	391,600	219,400	8,930,920	6,157,960
2011-12-27	$0.35	$0.38	44.5%	12.7%	41.5%	10.2%	44.5%	4.5%	5.6%	868.0K	24.2M	-497.0K	0.65	3.29	N/A	N/A	213,440	138,520	8,964,120	6,071,360
2011-12-28	$0.34	$0.38	46.1%	13.2%	42.1%	11.9%	47.7%	2.9%	4.9%	595.3K	35.3M	-485.2K	0.30	5.26	N/A	N/A	477,400	145,600	9,017,800	6,123,920
2011-12-29	$0.35	$0.38	45.5%	13.0%	38.6%	11.3%	46.5%	3.9%	5.8%	923.3K	26.5M	-497.7K	0.27	3.73	N/A	N/A	455,280	124,200	9,158,840	6,161,560
2011-12-30	$0.35	$0.38	32.8%	12.9%	38.0%	0.0%	45.3%	3.5%	7.1%	917.8K	31.0M	-491.3K	0.64	4.08	N/A	N/A	318,440	203,320	9,431,000	6,200,840