NVDA Options History — July 2013

In July 2013, NVDA traded between $0.35 and $0.37. ATM implied volatility averaged 30.4%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 12.9% (HV 20d: 17.5%). Max pain ranged from $0.35 to $0.38. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.99.

Notable Days

2013-07-19: Highest Volume — 747,920 contracts
2013-07-26: Largest IV drop — 28.4% change
2013-07-25: Highest IV Rank — 15.0%
2013-07-31: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.36	$0.35	$0.37	$0.35	$0.36
Max Pain	$0.37	$0.35	$0.38	$0.35	$0.38
ATM IV	30.4%	25.2%	35.2%	28.6%	32.7%
Expected Move	9.4%	7.8%	11.1%	8.0%	11.1%
HV 20d	17.5%	11.9%	23.1%	23.1%	13.2%
HV 60d	22.9%	21.4%	24.6%	24.6%	21.7%
IV Rank	9.4%	3.4%	15.0%	7.4%	12.1%
IV Percentile	31.3%	7.9%	57.9%	20.2%	45.2%
Term Structure	-2.5%	-8.8%	5.9%	5.6%	-8.8%
VWIV	32.9%	28.4%	38.4%	28.6%	38.4%
Skew 25d	1.4%	-1.7%	2.7%	0.2%	2.7%
Skew 10d	1.4%	-5.6%	4.6%	-3.5%	4.6%
Call IV 25d	33.0%	29.3%	37.8%	29.3%	37.8%
Put IV 25d	34.5%	28.7%	40.5%	29.5%	40.5%
Bid-Ask Spread %	7.61	2.59	15.06	5.03	15.06
Gamma HHI	0.32	0.20	0.49	0.29	0.21
Net GEX	1.6M	643.6K	2.8M	1.6M	1.6M
Net DEX	-42.6M	-63.1M	-27.0M	-36.8M	-41.8M
Net VEX	-507.7K	-539.3K	-476.7K	-539.3K	-495.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.27	3.93	0.47	0.65
Total Volume	291,623.636	116,040	747,920	207,640	116,040
Total OI	9,138,385.455	8,438,520	9,595,240	8,920,960	9,300,880

Daily Data (22 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
2013-07-01	$0.35	$0.35	28.6%	8.0%	23.1%	7.4%	28.6%	0.2%	5.6%	1.6M	-36.8M	-539.3K	0.47	5.03	N/A	N/A	141,720	65,920	5,583,400	3,337,560
2013-07-02	$0.35	$0.35	27.1%	7.8%	23.1%	5.7%	29.1%	-1.7%	5.9%	1.6M	-35.9M	-535.5K	1.63	6.29	N/A	N/A	86,040	140,360	5,649,880	3,362,160
2013-07-03	$0.35	$0.35	27.3%	7.9%	21.9%	5.9%	28.4%	-0.7%	5.9%	1.5M	-37.9M	-532.7K	0.79	5.82	N/A	N/A	67,200	53,000	5,650,040	3,412,760
2013-07-05	$0.36	$0.38	26.0%	9.4%	21.9%	4.4%	33.0%	1.2%	-1.6%	1.6M	-42.5M	-530.9K	0.58	5.04	N/A	N/A	180,240	105,440	5,696,960	3,406,440
2013-07-08	$0.35	$0.38	30.7%	9.5%	21.3%	9.7%	33.5%	1.3%	-1.8%	1.4M	-38.1M	-519.8K	0.90	4.69	N/A	N/A	89,640	80,280	5,636,720	3,397,200
2013-07-09	$0.36	$0.38	31.4%	9.3%	21.4%	10.7%	32.6%	1.5%	-1.6%	1.5M	-41.0M	-516.7K	0.94	4.31	N/A	N/A	76,560	71,760	5,661,040	3,429,000
2013-07-10	$0.36	$0.38	26.9%	9.3%	20.8%	5.4%	32.2%	1.1%	-1.9%	1.9M	-50.4M	-511.4K	0.53	7.50	N/A	N/A	187,840	98,840	5,708,760	3,451,240
2013-07-11	$0.37	$0.38	31.0%	8.9%	21.0%	10.1%	31.2%	1.3%	-1.5%	2.5M	-60.2M	-523.0K	0.59	5.65	N/A	N/A	147,920	86,720	5,779,120	3,488,680
2013-07-12	$0.37	$0.38	31.4%	9.0%	19.6%	10.7%	31.9%	1.4%	-2.1%	2.5M	-59.3M	-519.3K	0.72	5.79	N/A	N/A	157,840	114,320	5,805,440	3,516,680
2013-07-15	$0.37	$0.38	31.4%	9.0%	19.6%	10.6%	31.8%	1.5%	-2.4%	2.3M	-57.3M	-510.4K	0.52	6.37	N/A	N/A	240,720	124,040	5,788,000	3,470,720
2013-07-16	$0.37	$0.38	31.1%	8.9%	19.4%	10.3%	31.4%	1.5%	-2.7%	2.8M	-63.1M	-512.6K	2.34	8.73	N/A	N/A	118,680	277,280	5,897,840	3,475,640
2013-07-17	$0.37	$0.38	31.2%	8.9%	19.3%	10.4%	31.3%	1.6%	-2.8%	2.4M	-57.1M	-520.6K	0.93	9.25	N/A	N/A	69,040	64,160	5,935,400	3,658,560
2013-07-18	$0.36	$0.38	30.9%	8.9%	16.0%	10.0%	31.7%	2.1%	-2.6%	1.8M	-51.7M	-493.4K	0.27	5.74	N/A	N/A	248,880	66,360	5,838,960	3,624,960
2013-07-19	$0.36	$0.38	32.7%	9.4%	14.8%	12.1%	32.8%	2.2%	-2.8%	1.4M	-37.4M	-490.7K	0.65	2.59	N/A	N/A	454,360	293,560	5,944,400	3,650,840
2013-07-22	$0.36	$0.38	32.4%	9.3%	14.8%	11.7%	32.6%	1.2%	-3.3%	1.3M	-35.6M	-476.7K	0.71	7.66	N/A	N/A	153,920	109,960	5,096,760	3,341,760
2013-07-23	$0.36	$0.38	33.6%	9.6%	12.7%	13.2%	33.5%	1.7%	-4.8%	1.1M	-32.6M	-477.2K	3.93	6.97	N/A	N/A	95,880	377,080	5,136,320	3,421,960
2013-07-24	$0.36	$0.38	33.8%	9.7%	12.5%	13.4%	33.7%	2.5%	-4.9%	760.0K	-29.5M	-486.7K	1.74	9.39	N/A	N/A	73,160	127,200	5,200,720	3,680,360
2013-07-25	$0.36	$0.38	35.2%	10.1%	12.3%	15.0%	35.0%	2.6%	-5.2%	695.5K	-30.5M	-492.0K	0.87	10.53	N/A	N/A	269,400	235,200	5,214,760	3,761,720
2013-07-26	$0.35	$0.38	25.2%	10.5%	11.9%	3.4%	36.5%	2.1%	-6.1%	643.6K	-27.0M	-497.1K	0.50	12.45	N/A	N/A	297,960	148,840	5,333,480	3,915,520
2013-07-29	$0.35	$0.38	28.3%	10.7%	12.0%	7.0%	37.4%	2.0%	-7.1%	988.9K	-30.2M	-488.7K	1.16	9.68	N/A	N/A	139,880	161,800	5,325,240	3,779,520
2013-07-30	$0.36	$0.38	29.8%	11.0%	13.2%	8.8%	37.9%	2.4%	-7.9%	1.4M	-41.6M	-498.2K	0.38	12.88	N/A	N/A	145,440	55,240	5,370,760	3,906,320
2013-07-31	$0.36	$0.38	32.7%	11.1%	13.2%	12.1%	38.4%	2.7%	-8.8%	1.6M	-41.8M	-495.9K	0.65	15.06	N/A	N/A	70,160	45,880	5,385,960	3,914,920