NVDA Options History — November 2012

In November 2012, NVDA traded between $0.28 and $0.33. ATM implied volatility averaged 46.3%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 7.3% (HV 20d: 38.9%). Max pain ranged from $0.33 to $0.33. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.96.

Notable Days

2012-11-08: Highest Volume — 2,471,480 contracts
2012-11-09: Largest IV drop — 48.5% change
2012-11-06: Highest IV Rank — 88.4%
2012-11-02: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.30	$0.28	$0.33	$0.31	$0.30
Max Pain	$0.33	$0.33	$0.33	$0.33	$0.33
ATM IV	46.3%	30.0%	98.7%	69.2%	30.9%
Expected Move	10.8%	8.6%	16.2%	14.9%	8.7%
HV 20d	38.9%	33.4%	41.9%	39.5%	33.4%
HV 60d	32.8%	31.0%	34.0%	31.1%	32.2%
IV Rank	27.8%	9.0%	88.4%	54.2%	10.0%
IV Percentile	39.8%	3.2%	99.6%	95.2%	4.8%
Term Structure	0.8%	-13.9%	4.4%	-10.6%	3.5%
VWIV	38.3%	30.0%	55.9%	52.7%	30.8%
Skew 25d	0.5%	-0.8%	2.1%	1.2%	0.7%
Skew 10d	-0.6%	-3.9%	7.3%	1.4%	-2.3%
Call IV 25d	38.8%	30.8%	56.7%	53.4%	31.7%
Put IV 25d	39.3%	31.6%	57.8%	54.6%	32.4%
Bid-Ask Spread %	13.10	6.80	49.88	10.36	17.31
Gamma HHI	0.14	0.10	0.19	0.14	0.17
Net GEX	742.2K	-286.7K	2.6M	1.7M	-286.7K
Net DEX	11.8M	-39.7M	50.1M	-12.3M	27.7M
Net VEX	-432.6K	-567.4K	-336.0K	-516.9K	-411.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.18	3.82	0.50	0.52
Total Volume	738,643.81	240,000	2,471,480	601,080	240,000
Total OI	14,638,211.429	12,772,560	16,484,000	14,157,800	15,092,760

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
2012-11-01	$0.31	$0.33	69.2%	14.9%	39.5%	54.2%	52.7%	1.2%	-10.6%	1.7M	-12.3M	-516.9K	0.50	10.36	N/A	N/A	399,800	201,280	10,170,320	3,987,480
2012-11-02	$0.31	$0.33	73.1%	16.2%	39.4%	58.8%	55.9%	1.1%	-13.9%	2.3M	-13.7M	-529.0K	0.52	10.70	N/A	N/A	292,960	152,200	10,335,320	4,072,440
2012-11-05	$0.33	$0.33	90.0%	12.3%	39.1%	78.3%	43.7%	0.3%	-0.9%	2.5M	-39.7M	-567.4K	0.54	9.05	N/A	N/A	520,720	282,200	10,410,600	4,121,560
2012-11-06	$0.33	$0.33	98.7%	12.2%	38.3%	88.4%	43.3%	-0.4%	-0.7%	2.6M	-39.2M	-557.5K	1.84	9.01	N/A	N/A	428,560	787,960	10,535,280	4,154,720
2012-11-07	$0.32	$0.33	64.2%	12.3%	39.7%	48.5%	43.9%	0.1%	-0.3%	1.6M	-12.3M	-529.9K	0.29	10.82	N/A	N/A	513,920	148,800	10,737,400	4,611,080
2012-11-08	$0.32	$0.33	70.1%	13.1%	39.1%	55.3%	47.1%	2.1%	-0.7%	2.5M	-27.5M	-544.2K	1.33	49.88	N/A	N/A	1,061,080	1,410,400	10,943,280	4,245,480
2012-11-09	$0.30	$0.33	36.1%	10.5%	41.1%	16.1%	37.5%	0.2%	1.2%	1.1M	16.0M	-437.8K	1.31	6.80	N/A	N/A	756,560	987,680	11,411,160	5,072,840
2012-11-12	$0.30	$0.33	39.3%	10.7%	41.6%	19.7%	37.8%	0.4%	1.4%	182.9K	31.4M	-390.0K	0.89	11.11	N/A	N/A	361,880	322,720	10,873,480	4,390,920
2012-11-13	$0.30	$0.33	35.7%	10.5%	41.6%	15.6%	37.5%	0.5%	1.2%	-104.6K	35.9M	-395.0K	0.59	8.98	N/A	N/A	326,080	193,040	11,027,200	4,531,680
2012-11-14	$0.29	$0.33	35.5%	10.4%	41.8%	15.4%	38.4%	0.2%	2.6%	-200.1K	45.5M	-368.0K	0.97	14.08	N/A	N/A	174,120	168,720	11,048,880	4,573,360
2012-11-15	$0.29	$0.33	36.7%	10.5%	40.1%	16.7%	37.7%	0.8%	3.1%	-112.4K	43.3M	-365.7K	0.43	10.71	N/A	N/A	375,280	161,440	10,953,560	4,559,920
2012-11-16	$0.28	$0.33	36.7%	10.5%	40.3%	16.7%	37.6%	-0.8%	2.5%	-51.5K	50.1M	-336.0K	0.76	8.51	N/A	N/A	469,360	355,760	10,966,040	4,516,840
2012-11-19	$0.29	$0.33	33.2%	9.5%	41.9%	12.7%	33.9%	0.4%	4.4%	258.0K	24.6M	-353.8K	0.44	13.03	N/A	N/A	450,720	199,960	9,164,120	3,608,440
2012-11-20	$0.29	$0.33	34.1%	9.8%	36.9%	13.8%	34.3%	0.7%	3.3%	-44.6K	30.2M	-336.5K	0.18	7.29	N/A	N/A	334,240	61,120	9,280,960	3,638,040
2012-11-21	$0.30	$0.33	30.8%	8.8%	38.3%	9.9%	31.5%	-0.1%	4.2%	455.6K	17.7M	-380.6K	3.34	12.19	N/A	N/A	282,920	945,880	9,516,200	3,659,960
2012-11-23	$0.30	$0.33	31.3%	9.0%	36.8%	10.5%	31.9%	0.7%	3.8%	82.1K	21.0M	-413.6K	0.52	7.02	N/A	N/A	223,280	116,520	9,611,360	4,467,080
2012-11-26	$0.30	$0.33	31.9%	9.2%	37.1%	11.2%	32.9%	1.1%	3.8%	171.4K	14.3M	-412.8K	0.48	12.05	N/A	N/A	168,080	80,720	9,622,960	4,475,200
2012-11-27	$0.30	$0.33	32.1%	9.2%	37.2%	11.4%	32.4%	0.7%	2.5%	294.0K	11.2M	-415.9K	0.70	16.29	N/A	N/A	209,840	146,680	9,716,160	4,506,320
2012-11-28	$0.31	$0.33	31.9%	9.2%	37.1%	11.2%	32.7%	-0.3%	3.3%	406.5K	7.5M	-419.6K	0.25	15.42	N/A	N/A	225,960	56,200	9,767,840	4,576,240
2012-11-29	$0.30	$0.33	30.0%	8.6%	37.6%	9.0%	30.0%	0.8%	3.8%	287.2K	15.1M	-402.2K	3.82	14.54	N/A	N/A	190,160	726,720	9,865,360	4,582,600
2012-11-30	$0.30	$0.33	30.9%	8.7%	33.4%	10.0%	30.8%	0.7%	3.5%	-286.7K	27.7M	-411.9K	0.52	17.31	N/A	N/A	158,120	81,880	9,917,560	5,175,200