NVDA Options History — June 2012

In June 2012, NVDA traded between $0.29 and $0.35. ATM implied volatility averaged 39.9%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 2.8% (HV 20d: 42.7%). Max pain ranged from $0.30 to $0.33. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.34.

Notable Days

2012-06-11: Highest Volume — 1,979,640 contracts
2012-06-29: Largest IV drop — 20.7% change
2012-06-04: Highest IV Rank — 21.1%
2012-06-04: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.31	$0.29	$0.35	$0.30	$0.35
Max Pain	$0.30	$0.30	$0.33	$0.33	$0.30
ATM IV	39.9%	31.1%	49.7%	45.2%	31.1%
Expected Move	11.5%	9.5%	13.3%	12.7%	9.5%
HV 20d	42.7%	37.4%	46.6%	40.3%	45.8%
HV 60d	34.7%	30.6%	39.0%	30.6%	39.0%
IV Rank	11.3%	2.6%	21.1%	16.6%	2.6%
IV Percentile	24.5%	3.6%	57.5%	45.2%	3.6%
Term Structure	4.6%	1.7%	7.2%	1.7%	7.2%
VWIV	40.0%	34.6%	46.7%	45.7%	34.6%
Skew 25d	3.9%	1.6%	6.5%	1.6%	3.7%
Skew 10d	7.8%	3.0%	13.7%	4.2%	5.6%
Call IV 25d	39.1%	33.3%	47.3%	47.3%	33.3%
Put IV 25d	43.0%	37.0%	51.8%	48.9%	37.0%
Bid-Ask Spread %	5.67	3.82	17.15	3.98	4.59
Gamma HHI	0.21	0.13	0.31	0.16	0.20
Net GEX	1.6M	890.2K	2.4M	1.0M	2.3M
Net DEX	-8.9M	-71.6M	28.5M	21.8M	-71.6M
Net VEX	-453.0K	-531.1K	-389.0K	-415.2K	-531.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.15	0.97	0.20	0.24
Total Volume	720,407.619	185,080	1,979,640	477,440	879,200
Total OI	10,971,005.714	7,904,680	13,615,280	11,954,960	9,690,360

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
2012-06-01	$0.30	$0.33	45.2%	12.7%	40.3%	16.6%	45.7%	1.6%	1.7%	1.0M	21.8M	-415.2K	0.20	3.98	N/A	N/A	397,320	80,120	8,282,400	3,672,560
2012-06-04	$0.29	$0.33	49.7%	13.3%	39.6%	21.1%	46.7%	6.5%	2.3%	890.2K	28.5M	-392.9K	0.25	17.15	N/A	N/A	429,880	105,560	8,454,480	3,653,720
2012-06-05	$0.30	$0.30	48.4%	12.6%	40.6%	19.8%	44.2%	6.2%	2.9%	1.2M	20.3M	-404.2K	0.43	7.43	N/A	N/A	129,560	55,520	8,603,800	3,673,880
2012-06-06	$0.31	$0.30	40.6%	12.1%	41.7%	12.0%	40.8%	5.7%	3.5%	1.5M	10.7M	-422.7K	0.32	7.50	N/A	N/A	286,840	90,480	8,625,120	3,685,120
2012-06-07	$0.30	$0.30	39.0%	11.9%	44.1%	10.4%	41.7%	5.4%	3.6%	1.1M	25.8M	-389.0K	0.17	6.05	N/A	N/A	335,280	57,440	8,667,880	3,705,440
2012-06-08	$0.30	$0.30	39.1%	11.9%	44.8%	10.5%	41.3%	4.8%	3.5%	1.4M	17.9M	-400.5K	0.20	5.73	N/A	N/A	419,560	84,040	8,859,600	3,717,960
2012-06-11	$0.31	$0.30	42.5%	12.1%	38.5%	14.0%	41.9%	2.9%	4.1%	1.5M	12.4M	-411.3K	0.17	6.97	N/A	N/A	1,690,800	288,840	8,841,520	3,701,240
2012-06-12	$0.31	$0.30	40.4%	11.5%	39.4%	11.8%	40.8%	3.7%	4.8%	2.2M	-1.5M	-440.4K	0.25	5.28	N/A	N/A	447,240	113,880	9,372,200	3,761,360
2012-06-13	$0.30	$0.30	38.4%	12.3%	40.3%	9.8%	42.6%	4.1%	4.1%	1.6M	12.0M	-427.1K	0.70	5.11	N/A	N/A	405,640	284,920	9,442,280	3,800,600
2012-06-14	$0.30	$0.30	42.4%	12.2%	39.9%	13.8%	42.3%	3.6%	4.2%	1.7M	17.1M	-423.2K	0.97	5.13	N/A	N/A	205,280	199,040	9,634,240	3,939,040
2012-06-15	$0.31	$0.30	40.9%	11.7%	40.8%	12.3%	39.9%	4.8%	4.4%	891.2K	3.1M	-431.2K	0.49	4.23	N/A	N/A	495,600	240,680	9,653,000	3,962,280
2012-06-18	$0.31	$0.30	38.1%	10.9%	37.4%	9.5%	36.9%	3.5%	5.6%	964.9K	-8.4M	-435.6K	0.35	4.44	N/A	N/A	685,280	237,120	5,154,800	2,749,880
2012-06-19	$0.33	$0.30	36.2%	10.4%	43.5%	7.7%	36.0%	2.8%	5.5%	1.7M	-36.1M	-483.4K	0.20	3.91	N/A	N/A	1,386,000	276,000	5,489,720	2,875,880
2012-06-20	$0.34	$0.30	36.3%	10.4%	43.3%	7.7%	35.9%	2.1%	6.6%	2.0M	-48.5M	-515.8K	0.28	4.41	N/A	N/A	729,840	203,720	5,876,920	2,961,520
2012-06-21	$0.32	$0.30	37.5%	10.7%	46.3%	8.9%	37.4%	2.8%	5.3%	1.9M	-25.2M	-493.9K	0.41	3.82	N/A	N/A	510,200	207,000	6,099,240	3,039,640
2012-06-22	$0.33	$0.30	36.8%	10.5%	45.2%	8.2%	36.5%	3.2%	5.3%	1.7M	-32.2M	-501.6K	0.25	5.01	N/A	N/A	497,880	126,520	6,202,360	3,024,720
2012-06-25	$0.31	$0.30	39.4%	11.3%	46.2%	10.8%	39.8%	3.3%	5.1%	1.5M	-17.6M	-471.9K	0.50	4.90	N/A	N/A	450,280	226,080	6,051,560	3,000,080
2012-06-26	$0.32	$0.30	38.6%	11.1%	45.5%	10.1%	39.0%	3.3%	5.4%	1.8M	-24.2M	-486.8K	0.30	4.79	N/A	N/A	235,680	70,440	6,270,720	3,102,120
2012-06-27	$0.33	$0.30	37.7%	10.8%	46.6%	9.2%	38.2%	3.8%	6.3%	2.2M	-41.3M	-508.6K	0.15	4.41	N/A	N/A	524,440	78,840	6,341,400	3,115,920
2012-06-28	$0.33	$0.30	39.2%	11.2%	46.3%	10.7%	38.8%	3.7%	5.9%	2.4M	-48.9M	-526.3K	0.32	4.26	N/A	N/A	727,560	232,960	6,499,640	3,134,920
2012-06-29	$0.35	$0.30	31.1%	9.5%	45.8%	2.6%	34.6%	3.7%	7.2%	2.3M	-71.6M	-531.1K	0.24	4.59	N/A	N/A	706,360	172,840	6,528,760	3,161,600