NVDA Options History — March 2012 In March 2012, NVDA traded between $0.36 and $0.39. ATM implied volatility averaged 32.1%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 8.1% (HV 20d: 24.0%). Max pain ranged from $0.38 to $0.40. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.44.
Notable Days 2012-03-28 : Highest Volume — 1,789,160 contracts2012-03-07 : Largest IV drop — 17.3% change2012-03-06 : Highest IV Rank — 10.1%2012-03-06 : Largest Expected Move — 10.7%Monthly Statistics Metric Avg Min Max Open Close Price $0.37 $0.36 $0.39 $0.38 $0.39 Max Pain $0.38 $0.38 $0.40 $0.38 $0.38 ATM IV 32.1% 28.5% 41.3% 32.9% 32.6% Expected Move 9.4% 8.2% 10.7% 9.6% 9.3% HV 20d 24.0% 21.3% 29.4% 29.4% 23.0% HV 60d 29.9% 26.7% 33.2% 32.7% 26.9% IV Rank 2.6% 0.0% 10.1% 1.5% 4.1% IV Percentile 2.9% 0.0% 15.9% 1.6% 7.5% Term Structure 6.1% 2.8% 9.3% 2.8% 9.3% VWIV 32.9% 29.1% 37.9% 33.5% 32.5% Skew 25d 2.1% -0.1% 3.5% 2.4% -0.1% Skew 10d 4.0% -1.7% 7.6% 1.9% -1.7% Call IV 25d 32.5% 28.9% 36.9% 33.0% 33.4% Put IV 25d 34.6% 30.6% 40.3% 35.4% 33.3% Bid-Ask Spread % 4.03 2.38 6.97 5.13 5.00 Gamma HHI 0.20 0.16 0.26 0.23 0.18 Net GEX 1.4M 311.9K 3.2M 1.7M 2.8M Net DEX -10.1M -58.0M 18.0M -23.4M -58.0M Net VEX -528.7K -664.0K -470.5K -557.6K -664.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.44 0.09 1.13 0.26 0.24 Total Volume 654,807.273 295,280 1,789,160 617,800 1,508,720 Total OI 10,036,563.636 7,411,760 11,657,560 10,980,480 10,191,240
Daily Data (22 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 2012-03-01 $0.38 $0.38 32.9% 9.6% 29.4% 1.5% 33.5% 2.4% 2.8% 1.7M -23.4M -557.6K 0.26 5.13 N/A N/A 488,680 129,120 6,568,480 4,412,000 2012-03-02 $0.38 $0.38 33.3% 9.3% 26.5% 1.9% 33.2% 0.3% 4.4% 2.0M -31.5M -565.0K 0.94 2.38 N/A N/A 323,960 305,520 6,627,920 4,454,280 2012-03-05 $0.37 $0.40 39.0% 10.6% 27.8% 7.8% 37.3% 3.4% 4.7% 1.2M -8.8M -527.7K 0.42 3.58 N/A N/A 523,240 217,200 6,520,760 4,390,760 2012-03-06 $0.37 $0.38 41.3% 10.7% 27.8% 10.1% 37.9% 3.4% 4.0% 1.0M -3.3M -530.1K 0.84 6.97 N/A N/A 515,240 432,280 6,744,920 4,439,920 2012-03-07 $0.37 $0.38 34.2% 10.5% 28.0% 2.8% 37.3% 2.9% 4.2% 1.0M -3.4M -520.7K 0.65 3.17 N/A N/A 374,000 242,240 6,644,680 4,502,800 2012-03-08 $0.37 $0.38 30.9% 10.2% 24.1% 0.0% 35.5% 3.1% 4.4% 1.2M -6.0M -521.8K 0.52 3.88 N/A N/A 244,680 127,600 6,705,960 4,536,240 2012-03-09 $0.37 $0.38 29.1% 9.6% 24.1% 0.0% 33.9% 3.0% 5.6% 1.4M -763.2K -511.5K 0.61 4.10 N/A N/A 183,720 111,560 6,750,040 4,544,400 2012-03-12 $0.36 $0.38 32.1% 9.6% 23.3% 3.0% 34.2% 3.0% 5.6% 1.0M 6.1M -493.7K 0.52 3.83 N/A N/A 266,160 138,080 6,684,800 4,497,880 2012-03-13 $0.37 $0.38 29.8% 9.4% 23.1% 0.7% 33.1% 3.5% 6.0% 1.4M 285.2K -495.3K 0.57 5.14 N/A N/A 262,040 148,560 6,729,960 4,504,720 2012-03-14 $0.36 $0.38 32.6% 9.9% 24.3% 3.5% 33.5% 3.0% 5.7% 311.9K 18.0M -470.5K 0.39 4.06 N/A N/A 456,560 178,440 6,776,680 4,536,920 2012-03-15 $0.36 $0.38 32.3% 9.3% 25.4% 3.2% 33.0% 3.0% 6.2% 1.1M 7.4M -493.5K 0.22 3.89 N/A N/A 322,760 70,160 7,017,280 4,547,600 2012-03-16 $0.36 $0.38 31.2% 8.9% 24.1% 2.0% 31.8% 2.4% 6.8% 1.0M 7.7M -489.7K 0.33 3.97 N/A N/A 444,040 146,400 7,108,680 4,548,880 2012-03-19 $0.37 $0.38 30.4% 8.7% 21.3% 1.3% 30.9% 1.7% 6.8% 763.9K -2.7M -491.1K 0.18 3.09 N/A N/A 409,080 73,040 4,480,520 2,931,240 2012-03-20 $0.36 $0.38 31.8% 9.1% 21.4% 2.7% 31.6% 2.6% 6.2% 783.2K 1.7M -480.3K 0.48 6.04 N/A N/A 278,040 133,040 4,697,080 2,963,360 2012-03-21 $0.36 $0.38 30.6% 8.8% 21.7% 1.5% 30.1% 1.8% 6.4% 793.6K -433.2K -489.1K 0.28 3.64 N/A N/A 408,440 116,160 4,817,840 3,047,160 2012-03-22 $0.36 $0.38 31.1% 8.9% 21.4% 2.0% 30.9% 1.7% 6.7% 995.9K -1.4M -496.3K 0.29 3.36 N/A N/A 311,160 90,640 5,041,720 3,118,680 2012-03-23 $0.36 $0.38 28.5% 8.2% 21.8% 0.0% 29.2% 1.8% 7.5% 1.1M -5.4M -515.5K 1.13 3.16 N/A N/A 159,560 179,680 5,183,880 3,163,040 2012-03-26 $0.37 $0.38 28.8% 8.3% 21.6% 0.3% 29.1% 1.7% 6.5% 1.3M -9.2M -520.6K 0.09 3.71 N/A N/A 377,680 35,520 5,157,000 3,208,200 2012-03-27 $0.37 $0.38 29.7% 8.5% 21.7% 1.1% 30.2% 0.7% 8.1% 1.8M -17.4M -536.0K 0.16 3.35 N/A N/A 1,160,440 186,480 5,306,120 3,213,240 2012-03-28 $0.38 $0.38 32.3% 9.3% 22.9% 3.7% 32.7% 0.5% 8.3% 2.9M -43.0M -614.5K 0.28 3.53 N/A N/A 1,401,960 387,200 6,077,080 3,347,840 2012-03-29 $0.38 $0.38 31.6% 9.1% 22.9% 3.1% 32.4% -0.0% 9.0% 3.2M -48.7M -646.9K 0.18 3.74 N/A N/A 454,520 82,160 6,539,920 3,522,680 2012-03-30 $0.39 $0.38 32.6% 9.3% 23.0% 4.1% 32.5% -0.1% 9.3% 2.8M -58.0M -664.0K 0.24 5.00 N/A N/A 1,215,280 293,440 6,629,360 3,561,880
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