NVDA Options History — October 2012

In October 2012, NVDA traded between $0.30 and $0.34. ATM implied volatility averaged 38.7%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 9.4% (HV 20d: 29.2%). Max pain ranged from $0.33 to $0.35. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.49.

Notable Days

2012-10-01: Highest Volume — 1,688,360 contracts
2012-10-26: Largest IV drop — 27.5% change
2012-10-24: Highest IV Rank — 31.4%
2012-10-31: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.32	$0.30	$0.34	$0.33	$0.30
Max Pain	$0.33	$0.33	$0.35	$0.35	$0.33
ATM IV	38.7%	29.0%	49.4%	36.6%	40.1%
Expected Move	11.7%	8.7%	14.7%	9.1%	14.7%
HV 20d	29.2%	23.3%	35.9%	30.2%	35.2%
HV 60d	29.1%	27.2%	30.3%	29.0%	29.8%
IV Rank	19.0%	7.8%	31.4%	16.6%	20.6%
IV Percentile	37.5%	1.2%	82.5%	26.6%	45.2%
Term Structure	-1.8%	-9.5%	8.1%	8.1%	-9.5%
VWIV	41.6%	30.9%	52.3%	32.3%	52.3%
Skew 25d	-0.1%	-2.0%	1.2%	-1.3%	-0.8%
Skew 10d	-1.5%	-5.7%	2.2%	-5.0%	-1.1%
Call IV 25d	42.3%	31.8%	53.8%	34.6%	53.8%
Put IV 25d	42.2%	31.8%	53.0%	33.3%	53.0%
Bid-Ask Spread %	7.39	4.56	14.86	11.34	5.77
Gamma HHI	0.16	0.13	0.19	0.17	0.13
Net GEX	1.6M	426.5K	3.6M	2.4M	842.4K
Net DEX	-7.8M	-54.7M	25.8M	-28.3M	14.6M
Net VEX	-549.8K	-682.3K	-444.9K	-592.9K	-451.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.18	1.54	0.49	0.29
Total Volume	535,653.333	135,800	1,688,360	1,688,360	409,960
Total OI	14,204,632.381	12,904,800	14,946,960	12,904,800	13,921,160

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
2012-10-01	$0.33	$0.35	36.6%	9.1%	30.2%	16.6%	32.3%	-1.3%	8.1%	2.4M	-28.3M	-592.9K	0.49	11.34	N/A	N/A	1,135,960	552,400	9,738,960	3,165,840
2012-10-02	$0.33	$0.35	34.2%	9.0%	23.3%	13.9%	32.6%	-0.4%	7.8%	2.5M	-29.8M	-632.0K	0.29	10.78	N/A	N/A	105,280	30,520	10,358,120	3,504,840
2012-10-03	$0.33	$0.35	32.3%	8.7%	23.5%	11.6%	30.9%	-0.9%	7.9%	2.3M	-24.2M	-608.1K	0.70	9.65	N/A	N/A	395,880	275,840	10,395,640	3,520,120
2012-10-04	$0.34	$0.35	30.9%	9.0%	26.1%	10.0%	31.4%	0.0%	7.6%	3.6M	-54.7M	-682.3K	0.30	14.86	N/A	N/A	497,880	151,720	10,565,480	3,725,200
2012-10-05	$0.33	$0.33	29.0%	10.9%	26.1%	7.8%	39.1%	0.3%	-0.8%	2.8M	-35.1M	-649.4K	0.89	5.52	N/A	N/A	202,920	181,120	10,705,760	3,824,080
2012-10-08	$0.33	$0.33	34.5%	11.3%	26.1%	14.2%	39.5%	0.5%	-1.9%	2.5M	-25.5M	-620.2K	0.18	4.56	N/A	N/A	226,440	40,000	10,667,480	3,830,600
2012-10-09	$0.32	$0.33	34.4%	11.3%	26.7%	14.0%	39.7%	0.6%	-1.5%	1.9M	-9.2M	-575.3K	0.33	6.17	N/A	N/A	326,440	107,320	10,735,120	3,839,560
2012-10-10	$0.32	$0.33	31.8%	11.6%	26.7%	11.1%	43.3%	0.8%	-2.5%	1.6M	-182.5K	-559.8K	0.24	5.42	N/A	N/A	337,720	80,200	10,860,480	3,870,440
2012-10-11	$0.32	$0.33	39.0%	11.2%	26.7%	19.3%	39.4%	1.2%	-1.5%	1.4M	396.0K	-549.9K	0.62	7.22	N/A	N/A	131,600	80,960	10,839,320	3,899,360
2012-10-12	$0.32	$0.33	38.8%	11.1%	26.1%	19.2%	41.1%	0.8%	-1.6%	1.4M	3.9M	-534.7K	0.32	5.53	N/A	N/A	286,200	91,160	10,861,360	3,892,240
2012-10-15	$0.32	$0.33	38.6%	11.1%	25.3%	18.9%	40.5%	0.9%	-1.4%	1.3M	20.8K	-529.1K	0.24	7.24	N/A	N/A	274,680	66,440	10,813,440	3,851,680
2012-10-16	$0.33	$0.33	38.6%	11.1%	27.4%	19.0%	38.8%	0.3%	-1.8%	2.1M	-23.3M	-569.0K	0.76	5.40	N/A	N/A	215,560	164,160	10,910,120	3,872,720
2012-10-17	$0.33	$0.33	39.1%	11.2%	27.0%	19.4%	41.3%	-0.7%	-2.7%	1.6M	-16.5M	-554.9K	0.84	6.13	N/A	N/A	260,400	217,560	10,940,320	3,904,160
2012-10-18	$0.32	$0.33	39.4%	11.3%	27.4%	19.9%	40.1%	-0.6%	-2.9%	1.3M	-3.6M	-529.6K	0.38	9.20	N/A	N/A	281,080	107,920	10,875,200	3,975,680
2012-10-19	$0.30	$0.33	45.2%	13.0%	33.9%	26.6%	46.0%	-0.1%	-5.7%	777.1K	25.8M	-444.9K	1.54	8.41	N/A	N/A	645,600	995,120	10,984,040	3,962,920
2012-10-22	$0.30	$0.33	46.0%	13.2%	33.9%	27.5%	46.8%	0.3%	-6.7%	555.2K	19.6M	-445.2K	0.33	6.08	N/A	N/A	386,520	126,680	9,185,520	3,796,520
2012-10-23	$0.31	$0.33	49.3%	14.1%	35.9%	31.3%	49.5%	-0.1%	-7.7%	1.1M	877.4K	-515.9K	0.43	5.46	N/A	N/A	434,720	187,760	9,380,000	3,870,680
2012-10-24	$0.30	$0.33	49.4%	14.2%	35.7%	31.4%	49.9%	-0.1%	-7.1%	1.0M	6.5M	-501.7K	0.40	7.70	N/A	N/A	506,640	201,920	9,577,920	3,918,920
2012-10-25	$0.30	$0.33	49.0%	14.0%	35.5%	30.9%	49.4%	-0.5%	-7.4%	1.0M	4.8M	-511.5K	0.32	5.60	N/A	N/A	182,600	57,960	9,863,880	3,974,200
2012-10-26	$0.30	$0.33	35.5%	13.8%	35.4%	15.4%	50.4%	-2.0%	-7.0%	426.5K	9.7M	-487.3K	0.34	7.24	N/A	N/A	214,440	73,440	9,927,520	3,990,680
2012-10-31	$0.30	$0.33	40.1%	14.7%	35.2%	20.6%	52.3%	-0.8%	-9.5%	842.4K	14.6M	-451.5K	0.29	5.77	N/A	N/A	318,360	91,600	9,963,760	3,957,400