NVDA Options History — May 2012

In May 2012, NVDA traded between $0.30 and $0.33. ATM implied volatility averaged 50.3%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 16.9% (HV 20d: 33.4%). Max pain ranged from $0.33 to $0.35. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.34.

Notable Days

2012-05-10: Highest Volume — 2,314,240 contracts
2012-05-03: Largest IV spike — 51.2% change
2012-05-08: Highest IV Rank — 69.5%
2012-05-03: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.31	$0.30	$0.33	$0.33	$0.31
Max Pain	$0.33	$0.33	$0.35	$0.33	$0.33
ATM IV	50.3%	37.9%	98.3%	37.9%	44.6%
Expected Move	12.6%	11.2%	14.3%	13.8%	12.3%
HV 20d	33.4%	26.0%	40.2%	26.8%	38.6%
HV 60d	27.5%	24.7%	30.5%	25.1%	29.9%
IV Rank	21.7%	9.3%	69.5%	9.3%	16.1%
IV Percentile	46.8%	17.1%	98.4%	17.1%	42.9%
Term Structure	-0.3%	-7.5%	3.4%	-5.3%	1.7%
VWIV	45.4%	40.1%	51.4%	49.4%	42.2%
Skew 25d	-0.4%	-3.9%	2.8%	-3.9%	2.6%
Skew 10d	-1.3%	-7.5%	7.1%	-7.5%	3.5%
Call IV 25d	46.1%	40.7%	53.2%	52.5%	42.4%
Put IV 25d	45.7%	40.7%	52.1%	48.6%	45.0%
Bid-Ask Spread %	4.27	2.81	11.20	5.55	3.45
Gamma HHI	0.17	0.13	0.22	0.14	0.20
Net GEX	1.4M	338.3K	2.4M	1.8M	1.3M
Net DEX	13.5M	-26.1M	38.5M	4.1M	11.3M
Net VEX	-456.4K	-504.4K	-413.4K	-504.4K	-433.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.09	0.85	0.13	0.27
Total Volume	804,320	203,480	2,314,240	2,035,880	272,400
Total OI	12,646,194.545	11,128,920	14,652,080	11,881,400	11,887,360

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
2012-05-01	$0.33	$0.33	37.9%	13.8%	26.8%	9.3%	49.4%	-3.9%	-5.3%	1.8M	4.1M	-504.4K	0.13	5.55	N/A	N/A	1,796,080	239,800	8,117,280	3,764,120
2012-05-02	$0.32	$0.35	40.6%	13.8%	27.7%	12.0%	50.9%	-0.6%	-6.4%	1.6M	19.6M	-479.8K	0.16	3.61	N/A	N/A	634,760	98,920	8,486,880	3,881,400
2012-05-03	$0.32	$0.33	61.4%	14.3%	26.8%	32.7%	51.4%	-1.1%	-7.5%	1.3M	29.5M	-444.5K	0.30	3.93	N/A	N/A	460,520	136,840	8,389,840	3,897,360
2012-05-04	$0.31	$0.35	67.0%	12.5%	27.8%	38.4%	46.6%	-0.7%	-1.0%	990.7K	38.5M	-413.4K	0.34	4.32	N/A	N/A	544,920	183,200	8,495,320	3,933,040
2012-05-07	$0.31	$0.35	86.7%	13.2%	29.2%	58.0%	47.9%	-0.7%	-2.6%	1.2M	28.0M	-435.4K	0.17	3.59	N/A	N/A	517,360	88,320	8,446,680	3,908,320
2012-05-08	$0.31	$0.35	98.3%	13.3%	29.0%	69.5%	47.2%	-0.9%	-2.2%	1.3M	26.0M	-439.1K	0.32	3.76	N/A	N/A	692,800	224,960	8,559,720	3,929,080
2012-05-09	$0.31	$0.35	61.8%	13.1%	28.4%	33.2%	47.5%	-1.8%	-2.4%	1.5M	24.0M	-447.2K	0.09	3.48	N/A	N/A	1,041,680	94,240	8,749,920	4,045,720
2012-05-10	$0.31	$0.35	48.5%	13.9%	26.0%	19.9%	49.2%	-2.7%	-3.9%	1.7M	17.1M	-456.9K	0.56	11.20	N/A	N/A	1,478,800	835,440	9,330,680	4,077,840
2012-05-11	$0.33	$0.33	40.1%	11.5%	34.1%	11.6%	41.8%	-2.5%	2.2%	2.4M	-26.1M	-500.5K	0.29	2.81	N/A	N/A	1,666,760	489,840	9,911,640	4,601,440
2012-05-14	$0.33	$0.33	43.4%	12.4%	34.0%	14.9%	46.6%	-2.5%	0.6%	2.0M	-3.8M	-492.5K	0.34	3.97	N/A	N/A	569,520	191,200	9,287,920	4,382,600
2012-05-15	$0.33	$0.33	44.1%	12.7%	34.0%	15.6%	47.0%	-2.6%	1.2%	2.0M	443.6K	-485.2K	0.23	3.36	N/A	N/A	601,840	137,280	9,480,440	4,337,200
2012-05-16	$0.32	$0.33	43.7%	12.5%	34.4%	15.1%	44.4%	-1.9%	2.3%	1.7M	13.4M	-467.2K	0.19	3.71	N/A	N/A	922,360	177,600	9,729,680	4,378,920
2012-05-17	$0.32	$0.33	44.3%	12.7%	34.1%	15.7%	45.8%	-2.0%	2.3%	1.9M	6.4M	-492.0K	0.34	3.96	N/A	N/A	288,200	99,280	10,267,640	4,384,440
2012-05-18	$0.30	$0.33	45.3%	13.0%	37.0%	16.7%	46.9%	-0.6%	3.4%	338.3K	26.1M	-447.1K	0.85	3.98	N/A	N/A	369,560	315,920	10,244,800	4,384,640
2012-05-21	$0.31	$0.33	41.7%	12.0%	37.7%	13.2%	42.6%	1.8%	2.0%	1.1M	13.9M	-440.8K	0.27	3.96	N/A	N/A	246,440	66,760	7,704,600	3,424,320
2012-05-22	$0.30	$0.33	41.0%	11.8%	36.4%	12.5%	42.5%	2.5%	2.3%	1.0M	19.0M	-424.6K	0.45	5.76	N/A	N/A	308,640	138,240	7,839,800	3,449,640
2012-05-23	$0.31	$0.33	40.8%	11.7%	36.8%	12.3%	42.3%	1.2%	1.5%	1.4M	8.7M	-448.7K	0.78	4.49	N/A	N/A	302,680	235,920	7,968,920	3,506,480
2012-05-24	$0.30	$0.33	41.7%	11.9%	37.8%	13.1%	42.9%	2.0%	2.0%	1.1M	19.6M	-436.7K	0.44	3.17	N/A	N/A	245,760	107,600	8,027,080	3,663,880
2012-05-25	$0.31	$0.33	39.4%	11.7%	39.0%	10.8%	40.3%	2.8%	1.9%	1.0M	14.2M	-440.0K	0.20	4.18	N/A	N/A	268,120	52,560	8,059,240	3,704,480
2012-05-29	$0.32	$0.33	44.9%	11.2%	40.2%	16.3%	40.1%	1.7%	1.6%	1.5M	2.6M	-457.1K	0.32	3.99	N/A	N/A	264,800	83,640	8,078,320	3,658,720
2012-05-30	$0.31	$0.33	50.1%	12.0%	39.7%	21.5%	43.0%	1.1%	1.0%	1.5M	4.3M	-455.0K	0.55	3.75	N/A	N/A	131,040	72,440	8,192,040	3,646,840
2012-05-31	$0.31	$0.33	44.6%	12.3%	38.6%	16.1%	42.2%	2.6%	1.7%	1.3M	11.3M	-433.4K	0.27	3.45	N/A	N/A	215,240	57,160	8,232,480	3,654,880