NVDA Options History — August 2012 In August 2012, NVDA traded between $0.33 and $0.37. ATM implied volatility averaged 46.0%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 18.9% (HV 20d: 27.1%). Max pain ranged from $0.33 to $0.35. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.34.
Notable Days 2012-08-09 : Highest Volume — 5,961,200 contracts2012-08-10 : Largest IV drop — 56.9% change2012-08-07 : Highest IV Rank — 80.0%2012-08-01 : Largest Expected Move — 15.3%Monthly Statistics Metric Avg Min Max Open Close Price $0.36 $0.33 $0.37 $0.33 $0.35 Max Pain $0.34 $0.33 $0.35 $0.33 $0.35 ATM IV 46.0% 22.2% 108.8% 45.7% 33.2% Expected Move 11.1% 9.3% 15.3% 15.3% 10.8% HV 20d 27.1% 21.9% 33.4% 33.2% 23.7% HV 60d 37.6% 34.1% 40.5% 40.1% 34.1% IV Rank 22.9% 0.0% 80.0% 17.1% 12.6% IV Percentile 36.0% 0.0% 99.2% 53.6% 11.1% Term Structure 0.5% -11.0% 5.0% -11.0% 2.6% VWIV 39.2% 33.2% 53.7% 53.7% 39.0% Skew 25d 1.2% -1.6% 5.1% 2.6% -0.3% Skew 10d 2.7% -1.9% 7.9% 7.5% -0.6% Call IV 25d 39.3% 32.9% 53.1% 53.1% 39.8% Put IV 25d 40.6% 34.6% 55.7% 55.7% 39.5% Bid-Ask Spread % 6.61 2.51 16.88 3.03 16.88 Gamma HHI 0.30 0.21 0.57 0.27 0.22 Net GEX 4.1M 1.7M 9.3M 1.7M 3.4M Net DEX -84.3M -137.9M -34.6M -34.6M -67.4M Net VEX -581.1K -687.6K -493.4K -495.5K -675.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.34 0.13 0.77 0.55 0.49 Total Volume 1,215,973.913 270,720 5,961,200 270,720 750,000 Total OI 12,658,417.391 10,217,600 15,431,600 10,217,600 13,608,400
Daily Data (23 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 2012-08-01 $0.33 $0.33 45.7% 15.3% 33.2% 17.1% 53.7% 2.6% -11.0% 1.7M -34.6M -495.5K 0.55 3.03 N/A N/A 174,920 95,800 6,671,560 3,546,040 2012-08-02 $0.34 $0.33 65.3% 15.1% 33.1% 36.6% 51.8% 3.6% -10.5% 1.9M -36.8M -493.4K 0.77 6.55 N/A N/A 366,600 281,000 6,706,160 3,572,200 2012-08-03 $0.34 $0.33 61.3% 14.1% 33.2% 32.7% 49.9% 5.1% -10.0% 2.4M -49.5M -496.5K 0.26 5.63 N/A N/A 750,720 196,840 6,806,040 3,665,720 2012-08-06 $0.35 $0.33 84.5% 11.6% 33.4% 55.9% 40.9% 3.3% 0.6% 2.9M -68.6M -507.7K 0.34 10.02 N/A N/A 711,640 238,720 7,143,920 3,556,960 2012-08-07 $0.35 $0.33 108.8% 12.5% 31.0% 80.0% 44.1% 1.4% -2.1% 3.0M -80.2M -522.2K 0.13 10.00 N/A N/A 2,052,040 273,680 7,498,000 3,677,560 2012-08-08 $0.36 $0.33 67.4% 12.3% 30.0% 40.3% 43.7% -0.6% -1.8% 3.7M -91.5M -533.5K 0.39 10.48 N/A N/A 1,219,960 477,160 8,130,440 3,756,160 2012-08-09 $0.37 $0.35 80.8% 13.1% 30.1% 65.1% 46.8% -1.6% -4.5% 3.9M -126.3M -555.8K 0.25 9.45 N/A N/A 4,772,800 1,188,400 8,659,480 3,905,960 2012-08-10 $0.37 $0.35 34.8% 10.3% 30.5% 7.9% 36.9% -0.3% 2.1% 6.6M -137.9M -532.4K 0.39 2.51 N/A N/A 2,824,400 1,091,720 11,083,800 4,347,800 2012-08-13 $0.37 $0.35 35.2% 9.6% 30.6% 8.3% 34.2% 1.2% 4.8% 7.6M -132.0M -533.0K 0.24 6.18 N/A N/A 881,840 208,880 10,155,200 4,149,600 2012-08-14 $0.36 $0.35 35.6% 10.0% 30.2% 8.8% 36.2% -0.3% 4.4% 6.8M -110.0M -532.8K 0.27 5.24 N/A N/A 640,600 175,440 10,221,160 4,194,680 2012-08-15 $0.36 $0.35 22.2% 9.7% 25.2% 0.0% 34.5% 1.1% 5.0% 6.4M -99.2M -530.7K 0.18 4.30 N/A N/A 560,320 102,800 10,490,600 4,203,080 2012-08-16 $0.37 $0.35 33.2% 9.5% 25.8% 12.7% 34.4% 1.6% 4.8% 9.3M -120.7M -536.7K 0.44 6.89 N/A N/A 641,960 284,760 10,469,200 4,043,040 2012-08-17 $0.37 $0.35 32.5% 9.3% 23.0% 11.9% 33.2% 1.7% 5.0% 4.0M -105.6M -554.9K 0.23 7.35 N/A N/A 574,400 130,160 10,743,920 4,238,000 2012-08-20 $0.37 $0.35 33.7% 9.7% 23.0% 13.2% 34.5% 1.8% 1.5% 3.1M -71.5M -563.4K 0.22 4.15 N/A N/A 1,149,240 256,320 7,393,480 3,419,280 2012-08-21 $0.37 $0.35 33.0% 9.4% 22.4% 12.4% 34.1% 1.6% 2.0% 3.6M -77.2M -617.5K 0.22 3.65 N/A N/A 590,240 131,440 8,149,040 3,534,360 2012-08-22 $0.37 $0.35 34.6% 9.9% 21.9% 14.3% 35.2% 1.1% 2.3% 3.8M -84.5M -660.9K 0.15 4.85 N/A N/A 697,840 103,920 8,418,760 3,591,160 2012-08-23 $0.36 $0.35 35.3% 10.1% 24.1% 15.1% 36.2% 0.7% 2.9% 3.1M -69.1M -664.9K 0.37 5.37 N/A N/A 474,880 175,880 8,844,640 3,651,760 2012-08-24 $0.36 $0.35 33.8% 9.7% 23.6% 13.4% 34.6% 1.2% 3.0% 4.0M -88.6M -682.7K 0.46 3.56 N/A N/A 368,000 168,680 9,061,440 3,741,320 2012-08-27 $0.36 $0.35 35.8% 10.3% 24.2% 15.7% 36.1% 1.4% 2.6% 3.5M -73.0M -654.3K 0.39 3.91 N/A N/A 386,360 150,480 8,880,080 3,684,480 2012-08-28 $0.36 $0.35 37.4% 10.7% 23.9% 17.6% 37.5% 0.9% 2.3% 3.4M -71.3M -662.5K 0.21 5.76 N/A N/A 585,160 123,840 9,096,600 3,758,760 2012-08-29 $0.36 $0.35 37.1% 10.6% 23.4% 17.2% 37.2% 0.9% 3.1% 3.8M -78.9M -687.6K 0.35 4.75 N/A N/A 269,760 93,760 9,458,560 3,779,880 2012-08-30 $0.35 $0.35 37.3% 10.7% 24.7% 17.4% 38.1% 0.5% 2.9% 3.3M -63.5M -671.3K 0.44 11.44 N/A N/A 397,840 176,200 9,607,440 3,827,880 2012-08-31 $0.35 $0.35 33.2% 10.8% 23.7% 12.6% 39.0% -0.3% 2.6% 3.4M -67.4M -675.4K 0.49 16.88 N/A N/A 502,040 247,960 9,777,640 3,830,760
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