NVDA Options History — January 2014

In January 2014, NVDA traded between $0.38 and $0.41. ATM implied volatility averaged 27.5%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.0% (HV 20d: 23.4%). Max pain ranged from $0.38 to $0.38. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.44.

Notable Days

2014-01-07: Highest Volume — 782,440 contracts
2014-01-16: Largest IV spike — 27.7% change
2014-01-31: Highest IV Rank — 23.4%
2014-01-27: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.40	$0.38	$0.41	$0.40	$0.39
Max Pain	$0.38	$0.38	$0.38	$0.38	$0.38
ATM IV	27.5%	23.4%	32.4%	23.4%	32.4%
Expected Move	8.7%	8.3%	9.1%	8.6%	8.9%
HV 20d	23.4%	18.6%	26.2%	20.2%	26.0%
HV 60d	25.8%	24.1%	27.0%	24.1%	26.3%
IV Rank	12.8%	4.1%	23.4%	4.2%	23.4%
IV Percentile	45.0%	13.1%	82.1%	13.5%	82.1%
Term Structure	1.2%	-3.5%	5.9%	0.2%	-1.6%
VWIV	30.7%	28.6%	34.7%	30.1%	30.9%
Skew 25d	0.6%	-1.1%	1.5%	1.2%	1.5%
Skew 10d	1.3%	-2.7%	6.7%	3.6%	6.7%
Call IV 25d	28.1%	24.0%	32.3%	24.2%	32.2%
Put IV 25d	28.7%	24.5%	33.7%	25.4%	33.7%
Bid-Ask Spread %	16.37	7.68	29.53	15.27	15.52
Gamma HHI	0.53	0.37	0.75	0.57	0.46
Net GEX	2.3M	1.3M	4.9M	2.3M	1.5M
Net DEX	-24.1M	-70.1M	8.6M	-41.0M	-3.9M
Net VEX	-391.9K	-417.7K	-353.4K	-353.4K	-412.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.22	0.72	0.51	0.47
Total Volume	373,992.381	128,400	782,440	321,040	128,400
Total OI	8,790,830.476	6,559,960	10,729,400	9,236,880	7,334,080

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
2014-01-02	$0.40	$0.38	23.4%	8.6%	20.2%	4.2%	30.1%	1.2%	0.2%	2.3M	-41.0M	-353.4K	0.51	15.27	N/A	N/A	212,320	108,720	5,470,280	3,766,600
2014-01-03	$0.39	$0.38	23.8%	8.8%	20.0%	4.9%	30.5%	1.0%	-0.2%	1.8M	-31.6M	-363.5K	0.44	15.39	N/A	N/A	319,120	139,800	5,561,480	3,844,240
2014-01-06	$0.40	$0.38	23.9%	8.8%	19.7%	5.1%	29.7%	0.6%	5.0%	2.5M	-38.4M	-363.4K	0.41	10.50	N/A	N/A	228,880	94,520	5,509,240	3,868,680
2014-01-07	$0.40	$0.38	23.7%	8.4%	19.6%	4.9%	32.5%	0.4%	5.3%	3.0M	-53.9M	-368.8K	0.22	13.09	N/A	N/A	640,440	142,000	5,613,920	3,927,680
2014-01-08	$0.41	$0.38	23.6%	8.4%	18.6%	4.6%	29.5%	0.1%	5.0%	3.6M	-70.1M	-388.1K	0.23	10.51	N/A	N/A	626,560	142,440	5,951,040	4,014,960
2014-01-09	$0.39	$0.38	24.4%	8.9%	22.4%	6.3%	30.3%	0.2%	4.9%	2.6M	-32.3M	-389.2K	0.66	13.82	N/A	N/A	380,800	252,000	6,213,960	4,114,840
2014-01-10	$0.39	$0.38	23.4%	8.8%	22.1%	4.2%	34.7%	0.3%	5.2%	2.2M	-27.8M	-403.9K	0.37	10.64	N/A	N/A	155,120	57,240	6,360,520	4,316,160
2014-01-13	$0.38	$0.38	24.3%	8.8%	22.7%	5.9%	29.0%	1.0%	5.2%	1.3M	-1.6M	-392.7K	0.72	14.41	N/A	N/A	269,800	194,920	6,181,080	4,276,920
2014-01-14	$0.40	$0.38	24.0%	8.7%	24.9%	5.5%	30.9%	1.0%	5.9%	2.7M	-31.9M	-390.7K	0.25	14.53	N/A	N/A	216,640	54,720	6,185,240	4,347,880
2014-01-15	$0.40	$0.38	23.4%	8.5%	25.0%	4.1%	28.6%	0.3%	5.9%	3.9M	-43.4M	-409.0K	0.34	17.03	N/A	N/A	195,960	67,280	6,208,360	4,333,480
2014-01-16	$0.40	$0.38	29.8%	8.4%	25.0%	17.9%	30.4%	-1.1%	-0.1%	3.7M	-48.1M	-400.5K	0.41	7.68	N/A	N/A	332,400	137,760	6,234,800	4,368,040
2014-01-17	$0.40	$0.38	30.2%	8.7%	24.8%	18.7%	34.0%	-0.8%	-1.1%	4.9M	-42.3M	-417.7K	0.29	18.45	N/A	N/A	601,280	172,360	6,322,480	4,406,920
2014-01-21	$0.40	$0.38	29.9%	8.4%	24.8%	18.1%	30.2%	0.5%	-2.0%	1.6M	-17.4M	-395.2K	0.41	9.96	N/A	N/A	223,920	91,520	3,797,040	2,762,920
2014-01-22	$0.40	$0.38	29.7%	8.3%	23.9%	17.6%	29.2%	1.1%	-2.4%	1.8M	-18.3M	-401.5K	0.44	18.69	N/A	N/A	158,480	70,000	3,936,600	2,810,880
2014-01-23	$0.40	$0.38	29.6%	8.7%	23.9%	17.4%	31.5%	0.8%	-0.2%	2.1M	-16.2M	-399.7K	0.53	20.88	N/A	N/A	145,520	76,560	4,032,680	2,850,680
2014-01-24	$0.39	$0.38	30.8%	8.9%	25.7%	19.9%	32.1%	1.2%	-0.8%	1.4M	-41.1K	-387.2K	0.66	22.37	N/A	N/A	169,600	112,600	4,113,360	2,903,840
2014-01-27	$0.39	$0.38	31.5%	9.1%	25.6%	21.5%	32.0%	0.9%	-1.7%	1.4M	8.6M	-387.4K	0.58	23.90	N/A	N/A	227,120	132,040	4,069,880	2,917,600
2014-01-28	$0.39	$0.38	31.2%	8.9%	25.7%	20.9%	29.4%	0.7%	-3.5%	1.7M	1.1M	-408.9K	0.55	18.10	N/A	N/A	131,080	71,760	4,160,720	2,978,040
2014-01-29	$0.39	$0.38	31.9%	8.9%	25.4%	22.3%	29.3%	0.9%	-2.3%	1.5M	7.8M	-397.4K	0.44	29.53	N/A	N/A	123,040	53,880	4,236,240	3,022,360
2014-01-30	$0.39	$0.38	31.7%	8.9%	26.2%	21.9%	0.0%	0.9%	-1.4%	1.9M	-5.5M	-399.3K	0.36	23.40	N/A	N/A	143,840	51,400	4,249,200	3,032,520
2014-01-31	$0.39	$0.38	32.4%	8.9%	26.0%	23.4%	30.9%	1.5%	-1.6%	1.5M	-3.9M	-412.9K	0.47	15.52	N/A	N/A	87,320	41,080	4,276,320	3,057,760