NVDA Options History — July 2012

In July 2012, NVDA traded between $0.31 and $0.34. ATM implied volatility averaged 41.6%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 0.5% (HV 20d: 42.1%). 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 3 of 21 days. Put/call ratio averaged 0.37.

Notable Days

2012-07-18: Highest Volume — 1,361,520 contracts
2012-07-12: Largest IV spike — 27.0% change
2012-07-24: Highest IV Rank — 19.4%
2012-07-31: Largest Expected Move — 15.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.33	$0.31	$0.34	$0.34	$0.34
Max Pain	$0.31	$0.30	$0.33	$0.30	$0.33
ATM IV	41.6%	33.7%	48.0%	36.2%	46.9%
Expected Move	12.5%	9.6%	15.5%	10.5%	15.5%
HV 20d	42.1%	34.3%	46.4%	46.4%	34.3%
HV 60d	40.0%	39.2%	41.0%	39.4%	40.2%
IV Rank	13.0%	5.2%	19.4%	7.7%	18.3%
IV Percentile	34.6%	10.3%	56.3%	15.1%	56.0%
Term Structure	-2.2%	-11.9%	7.6%	6.0%	-11.9%
VWIV	43.6%	34.1%	54.3%	36.3%	54.3%
Skew 25d	3.8%	0.8%	6.4%	3.3%	4.3%
Skew 10d	8.0%	2.1%	14.6%	5.2%	8.5%
Call IV 25d	42.7%	33.4%	53.6%	35.0%	53.6%
Put IV 25d	46.5%	34.9%	57.9%	38.3%	57.9%
Bid-Ask Spread %	4.60	3.69	5.79	4.46	3.72
Gamma HHI	0.23	0.16	0.35	0.22	0.24
Net GEX	1.9M	1.3M	3.2M	2.2M	1.4M
Net DEX	-29.4M	-68.6M	641.9K	-50.4M	-36.9M
Net VEX	-477.0K	-530.6K	-428.1K	-519.1K	-479.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.13	0.90	0.25	0.18
Total Volume	604,390.476	234,560	1,361,520	770,360	840,360
Total OI	10,153,297.143	9,139,240	11,348,480	9,862,800	9,412,400

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
2012-07-02	$0.34	$0.30	36.2%	10.5%	46.4%	7.7%	36.3%	3.3%	6.0%	2.2M	-50.4M	-519.1K	0.25	4.46	N/A	N/A	617,080	153,280	6,550,840	3,311,960
2012-07-03	$0.34	$0.30	33.7%	9.6%	46.2%	5.2%	35.4%	2.4%	6.9%	2.7M	-68.6M	-530.6K	0.13	4.46	N/A	N/A	236,440	31,600	6,724,360	3,287,720
2012-07-05	$0.34	$0.30	34.3%	9.6%	46.0%	5.8%	34.1%	1.2%	7.6%	2.6M	-59.2M	-515.3K	0.21	4.71	N/A	N/A	226,720	47,120	6,641,440	3,299,120
2012-07-06	$0.34	$0.30	36.2%	12.2%	43.7%	7.7%	41.6%	3.6%	-0.9%	2.3M	-48.0M	-506.4K	0.41	5.73	N/A	N/A	295,280	122,280	6,691,440	3,295,680
2012-07-09	$0.33	$0.30	39.5%	12.3%	43.9%	11.0%	41.8%	2.6%	-1.3%	2.2M	-40.7M	-494.0K	0.21	3.69	N/A	N/A	486,080	103,200	6,741,720	3,337,360
2012-07-10	$0.32	$0.30	41.4%	12.3%	45.5%	12.8%	42.9%	3.2%	-1.7%	1.8M	-22.4M	-475.6K	0.90	3.82	N/A	N/A	349,320	315,920	6,858,120	3,404,160
2012-07-11	$0.32	$0.30	35.5%	12.2%	45.4%	7.0%	42.6%	4.0%	-1.4%	1.6M	-11.5M	-469.5K	0.38	4.03	N/A	N/A	272,760	102,440	6,995,800	3,566,640
2012-07-12	$0.31	$0.30	45.1%	12.9%	44.8%	16.5%	44.2%	4.1%	-2.6%	1.4M	-1.2M	-446.2K	0.35	4.06	N/A	N/A	379,720	132,000	6,990,560	3,577,760
2012-07-13	$0.31	$0.30	42.6%	12.2%	44.7%	14.1%	43.3%	3.8%	-2.2%	1.6M	-8.5M	-452.8K	0.29	4.32	N/A	N/A	287,480	82,120	7,103,840	3,600,600
2012-07-16	$0.32	$0.30	43.4%	12.4%	44.1%	14.8%	43.8%	4.2%	-3.0%	1.6M	-10.5M	-449.6K	0.38	4.40	N/A	N/A	170,360	64,200	7,136,000	3,599,240
2012-07-17	$0.31	$0.30	44.1%	12.6%	44.6%	15.5%	43.8%	3.4%	-2.3%	1.3M	641.9K	-428.1K	0.13	4.87	N/A	N/A	699,360	92,200	7,176,800	3,626,400
2012-07-18	$0.33	$0.30	43.2%	12.4%	42.5%	14.6%	43.5%	0.8%	-2.6%	3.0M	-40.7M	-480.4K	0.30	5.04	N/A	N/A	1,047,080	314,440	7,499,120	3,655,280
2012-07-19	$0.33	$0.30	42.4%	12.2%	42.2%	13.8%	42.6%	1.5%	-2.6%	3.2M	-48.6M	-481.6K	0.38	4.73	N/A	N/A	351,760	133,000	7,533,600	3,725,640
2012-07-20	$0.32	$0.33	41.3%	11.9%	40.2%	12.8%	41.8%	2.9%	-1.9%	1.6M	-10.8M	-449.8K	0.55	5.79	N/A	N/A	662,520	362,200	7,599,320	3,749,160
2012-07-23	$0.32	$0.30	47.5%	13.6%	40.2%	18.9%	48.3%	4.8%	-4.3%	1.4M	-22.7M	-470.6K	0.34	5.12	N/A	N/A	762,360	262,200	6,000,840	3,138,400
2012-07-24	$0.32	$0.33	48.0%	13.8%	38.6%	19.4%	49.4%	6.4%	-4.2%	1.5M	-16.7M	-454.0K	0.51	4.35	N/A	N/A	168,080	85,400	6,064,400	3,106,080
2012-07-25	$0.33	$0.33	45.2%	13.0%	39.0%	16.6%	45.0%	5.6%	-3.2%	1.8M	-24.5M	-467.2K	0.27	5.68	N/A	N/A	334,600	91,000	6,103,600	3,125,720
2012-07-26	$0.33	$0.33	45.8%	13.1%	37.4%	17.2%	45.1%	6.2%	-5.0%	2.1M	-27.3M	-466.5K	0.63	5.36	N/A	N/A	547,280	344,760	6,213,640	3,149,960
2012-07-27	$0.34	$0.33	36.4%	13.8%	38.3%	7.9%	47.4%	6.2%	-7.0%	1.7M	-40.9M	-496.5K	0.64	4.48	N/A	N/A	475,600	305,720	6,458,560	3,378,960
2012-07-30	$0.33	$0.33	44.2%	14.1%	35.2%	15.7%	47.9%	4.7%	-8.2%	1.4M	-28.7M	-484.2K	0.34	3.82	N/A	N/A	251,080	85,800	6,294,000	3,493,000
2012-07-31	$0.34	$0.33	46.9%	15.5%	34.3%	18.3%	54.3%	4.3%	-11.9%	1.4M	-36.9M	-479.1K	0.18	3.72	N/A	N/A	714,200	126,160	6,104,280	3,308,120