NVDA Options History — March 2014

In March 2014, NVDA traded between $0.44 and $0.47. ATM implied volatility averaged 27.6%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 4.3% (HV 20d: 23.3%). 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 0.31.

Notable Days

2014-03-05: Highest Volume — 2,007,040 contracts
2014-03-24: Largest IV spike — 4.9% change
2014-03-13: Highest IV Rank — 15.5%
2014-03-25: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.46	$0.44	$0.47	$0.46	$0.45
Max Pain	$0.38	$0.38	$0.38	$0.38	$0.38
ATM IV	27.6%	26.7%	28.7%	28.1%	26.7%
Expected Move	8.6%	8.4%	8.9%	8.5%	8.5%
HV 20d	23.3%	19.3%	26.9%	25.8%	21.1%
HV 60d	24.2%	23.1%	24.9%	24.4%	24.8%
IV Rank	13.0%	11.1%	15.5%	14.1%	11.2%
IV Percentile	52.8%	41.7%	62.7%	57.1%	42.1%
Term Structure	0.1%	-1.2%	4.3%	-0.3%	4.3%
VWIV	29.8%	24.5%	33.1%	29.4%	30.2%
Skew 25d	0.1%	-1.1%	1.3%	1.2%	-0.3%
Skew 10d	0.3%	-1.6%	4.8%	4.8%	-0.4%
Call IV 25d	28.3%	27.3%	29.7%	28.3%	27.4%
Put IV 25d	28.4%	27.1%	30.2%	29.5%	27.1%
Bid-Ask Spread %	10.28	5.37	36.93	7.08	6.89
Gamma HHI	0.19	0.17	0.22	0.19	0.21
Net GEX	8.5M	5.7M	11.9M	5.7M	8.6M
Net DEX	-171.1M	-221.1M	-133.4M	-143.3M	-140.3M
Net VEX	-825.4K	-879.2K	-715.5K	-715.5K	-769.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.06	0.71	0.12	0.25
Total Volume	726,459.048	241,480	2,007,040	1,196,280	275,880
Total OI	12,133,984.762	9,917,720	13,269,760	9,917,720	11,139,160

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
2014-03-03	$0.46	$0.38	28.1%	8.5%	25.8%	14.1%	29.4%	1.2%	-0.3%	5.7M	-143.3M	-715.5K	0.12	7.08	N/A	N/A	1,065,560	130,720	6,958,760	2,958,960
2014-03-04	$0.46	$0.38	27.0%	8.6%	24.6%	11.8%	30.2%	1.1%	-0.2%	6.6M	-169.7M	-748.1K	0.36	5.37	N/A	N/A	232,040	84,480	7,445,360	2,988,800
2014-03-05	$0.47	$0.38	28.2%	8.4%	24.6%	14.4%	30.9%	-0.0%	0.2%	6.7M	-181.6M	-757.8K	0.13	6.51	N/A	N/A	1,781,320	225,720	7,510,760	3,040,640
2014-03-06	$0.46	$0.38	28.0%	8.4%	25.1%	13.9%	27.1%	0.4%	0.4%	7.8M	-179.6M	-873.2K	0.29	9.33	N/A	N/A	403,840	116,920	9,017,600	3,172,320
2014-03-07	$0.46	$0.38	27.7%	8.6%	25.3%	13.2%	28.9%	0.1%	0.2%	7.7M	-174.7M	-871.6K	0.59	9.37	N/A	N/A	152,120	89,360	9,102,040	3,239,400
2014-03-10	$0.45	$0.38	28.3%	8.7%	26.4%	14.7%	30.2%	0.2%	-1.0%	7.3M	-156.7M	-849.8K	0.06	6.90	N/A	N/A	1,056,600	65,120	8,982,360	3,138,560
2014-03-11	$0.46	$0.38	27.8%	8.7%	26.4%	13.6%	30.2%	0.3%	-0.8%	8.2M	-178.8M	-879.2K	0.21	7.87	N/A	N/A	321,200	68,680	9,324,400	3,146,360
2014-03-12	$0.46	$0.38	27.6%	8.7%	25.9%	13.0%	0.0%	0.5%	-0.3%	8.5M	-182.3M	-875.1K	0.30	10.68	N/A	N/A	254,560	76,720	9,422,440	3,177,840
2014-03-13	$0.44	$0.38	28.7%	8.7%	26.9%	15.5%	29.7%	1.3%	-0.6%	7.2M	-133.4M	-839.0K	0.36	5.85	N/A	N/A	283,440	100,920	9,562,560	3,171,640
2014-03-14	$0.45	$0.38	28.3%	8.7%	24.8%	14.5%	30.3%	0.9%	-1.2%	7.5M	-137.6M	-838.2K	0.71	10.40	N/A	N/A	161,640	114,640	9,550,000	3,203,240
2014-03-17	$0.45	$0.38	27.6%	8.6%	22.1%	13.1%	33.1%	0.4%	0.3%	7.8M	-140.4M	-810.8K	0.09	6.23	N/A	N/A	460,920	39,760	9,351,560	3,042,560
2014-03-18	$0.46	$0.38	26.7%	8.6%	23.6%	11.3%	30.0%	-0.6%	0.8%	9.1M	-183.5M	-847.1K	0.18	5.85	N/A	N/A	555,000	99,240	9,742,040	3,069,400
2014-03-19	$0.46	$0.38	27.2%	8.4%	23.9%	12.3%	24.5%	0.0%	-0.1%	10.2M	-220.8M	-862.1K	0.11	13.08	N/A	N/A	822,760	94,480	9,970,880	3,117,600
2014-03-20	$0.46	$0.38	26.7%	8.5%	20.4%	11.2%	31.3%	-0.1%	0.4%	10.5M	-221.1M	-857.8K	0.57	8.54	N/A	N/A	177,760	100,720	10,025,240	3,156,320
2014-03-21	$0.46	$0.38	26.8%	8.4%	20.2%	11.4%	30.9%	-0.2%	0.2%	9.5M	-216.8M	-851.3K	0.37	10.41	N/A	N/A	769,400	284,360	10,069,360	3,200,400
2014-03-24	$0.46	$0.38	28.1%	8.7%	19.5%	14.2%	28.9%	-1.1%	-0.2%	10.2M	-195.3M	-837.9K	0.24	12.17	N/A	N/A	863,840	209,800	9,489,120	2,019,480
2014-03-25	$0.46	$0.38	27.6%	8.9%	19.3%	13.1%	31.2%	0.3%	-0.6%	11.9M	-201.6M	-838.9K	0.26	36.93	N/A	N/A	607,640	159,880	9,929,080	2,133,280
2014-03-26	$0.45	$0.38	27.7%	8.8%	20.9%	13.4%	29.5%	-0.9%	0.2%	10.5M	-159.3M	-819.9K	0.39	21.01	N/A	N/A	1,268,960	494,880	10,021,440	2,226,720
2014-03-27	$0.44	$0.38	27.3%	8.7%	21.0%	12.4%	29.9%	-0.1%	-0.3%	8.6M	-133.5M	-796.9K	0.52	7.20	N/A	N/A	575,520	299,000	10,082,800	2,438,720
2014-03-28	$0.45	$0.38	26.7%	8.6%	21.1%	11.1%	30.0%	-0.6%	-0.0%	8.5M	-142.0M	-793.5K	0.39	8.07	N/A	N/A	223,640	86,600	10,033,680	2,440,800
2014-03-31	$0.45	$0.38	26.7%	8.5%	21.1%	11.2%	30.2%	-0.3%	4.3%	8.6M	-140.3M	-769.9K	0.25	6.89	N/A	N/A	220,960	54,920	9,056,160	2,083,000