NVDA Options History — June 2014

In June 2014, NVDA traded between $0.46 and $0.49. ATM implied volatility averaged 24.3%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 7.8% (HV 20d: 16.5%). Max pain ranged from $0.42 to $0.42. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.32.

Notable Days

2014-06-23: Highest Volume — 1,105,920 contracts
2014-06-24: Largest IV drop — 2.7% change
2014-06-16: Highest IV Rank — 24.6%
2014-06-24: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.48	$0.46	$0.49	$0.47	$0.46
Max Pain	$0.42	$0.42	$0.42	$0.42	$0.42
ATM IV	24.3%	23.3%	25.3%	24.5%	23.3%
Expected Move	8.1%	8.0%	8.4%	8.0%	8.0%
HV 20d	16.5%	8.9%	23.9%	23.9%	15.1%
HV 60d	22.8%	21.4%	24.2%	24.2%	21.4%
IV Rank	17.9%	11.4%	24.6%	19.2%	11.6%
IV Percentile	23.4%	11.9%	34.1%	24.6%	12.3%
Term Structure	0.4%	-0.5%	4.1%	-0.3%	4.1%
VWIV	28.5%	27.3%	29.8%	27.7%	29.0%
Skew 25d	-0.1%	-1.9%	0.6%	0.5%	-0.3%
Skew 10d	-0.3%	-2.5%	1.3%	0.7%	-0.2%
Call IV 25d	25.4%	23.8%	26.9%	24.9%	24.2%
Put IV 25d	25.2%	23.6%	26.5%	25.3%	23.9%
Bid-Ask Spread %	9.15	6.14	13.40	7.13	9.70
Gamma HHI	0.32	0.25	0.71	0.25	0.27
Net GEX	10.7M	3.8M	24.2M	10.6M	4.1M
Net DEX	-164.6M	-258.5M	-48.8M	-167.3M	-57.6M
Net VEX	-513.6K	-566.0K	-457.4K	-509.4K	-508.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.04	1.24	0.48	0.24
Total Volume	491,108.571	108,200	1,105,920	127,840	327,960
Total OI	10,039,792.381	6,035,560	12,288,120	10,079,160	7,004,280

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
2014-06-02	$0.47	$0.42	24.5%	8.0%	23.9%	19.2%	27.7%	0.5%	-0.3%	10.6M	-167.3M	-509.4K	0.48	7.13	N/A	N/A	86,400	41,440	7,595,600	2,483,560
2014-06-03	$0.47	$0.42	24.8%	8.0%	23.7%	21.2%	27.3%	0.2%	0.1%	10.8M	-161.5M	-498.1K	0.05	7.59	N/A	N/A	988,560	52,320	7,625,720	2,498,680
2014-06-04	$0.47	$0.42	24.3%	8.0%	22.3%	18.0%	29.4%	-0.1%	-0.2%	11.3M	-175.3M	-516.7K	0.29	10.39	N/A	N/A	216,920	62,080	8,059,480	2,515,120
2014-06-05	$0.47	$0.42	24.2%	8.0%	22.3%	17.2%	27.8%	0.4%	0.2%	12.3M	-184.6M	-515.4K	0.25	8.87	N/A	N/A	86,640	21,560	8,204,200	2,502,440
2014-06-06	$0.48	$0.42	23.6%	8.0%	22.0%	13.8%	27.8%	0.5%	-0.1%	16.9M	-188.0M	-500.7K	0.32	6.99	N/A	N/A	225,160	71,160	8,206,120	2,510,800
2014-06-09	$0.48	$0.42	24.3%	8.0%	19.7%	17.7%	28.3%	-1.9%	0.6%	11.1M	-181.8M	-482.6K	0.04	9.54	N/A	N/A	987,720	43,320	7,826,600	2,511,880
2014-06-10	$0.48	$0.42	24.6%	8.2%	17.1%	19.6%	29.8%	0.6%	0.5%	11.6M	-210.7M	-545.8K	0.45	9.87	N/A	N/A	460,920	206,120	8,648,040	2,528,680
2014-06-11	$0.48	$0.42	24.8%	8.1%	16.2%	20.9%	29.3%	0.1%	-0.1%	11.9M	-237.0M	-554.1K	0.30	13.40	N/A	N/A	421,400	128,320	8,885,680	2,674,360
2014-06-12	$0.49	$0.42	24.3%	8.1%	15.5%	17.7%	29.2%	-0.2%	1.0%	12.5M	-248.6M	-566.0K	0.14	11.26	N/A	N/A	610,280	85,840	8,986,560	2,710,120
2014-06-13	$0.49	$0.42	24.7%	8.1%	15.2%	20.5%	28.1%	-0.5%	0.3%	13.6M	-254.0M	-562.7K	0.17	6.81	N/A	N/A	495,200	82,400	9,281,200	2,766,920
2014-06-16	$0.49	$0.42	25.3%	8.1%	15.2%	24.6%	28.9%	-0.5%	-0.5%	12.8M	-241.8M	-545.4K	0.27	6.14	N/A	N/A	319,040	85,840	9,217,200	2,734,000
2014-06-17	$0.49	$0.42	25.3%	8.1%	11.3%	24.1%	29.5%	-0.3%	-0.2%	12.3M	-258.5M	-534.5K	0.19	8.82	N/A	N/A	208,600	40,200	9,236,280	2,776,200
2014-06-18	$0.49	$0.42	24.9%	8.1%	8.9%	21.8%	27.9%	0.6%	0.1%	12.9M	-251.6M	-528.6K	0.22	6.33	N/A	N/A	400,320	86,440	9,246,680	2,787,440
2014-06-19	$0.48	$0.42	24.4%	8.0%	13.0%	18.4%	27.8%	-0.2%	0.3%	13.8M	-206.7M	-496.8K	0.69	9.43	N/A	N/A	327,920	227,160	9,359,400	2,820,640
2014-06-20	$0.47	$0.42	23.8%	8.1%	13.8%	14.8%	28.4%	-0.5%	0.3%	24.2M	-166.8M	-480.1K	0.24	10.23	N/A	N/A	466,920	114,040	9,395,440	2,892,680
2014-06-23	$0.47	$0.42	24.3%	8.1%	14.3%	17.8%	29.0%	0.1%	-0.2%	4.0M	-55.1M	-457.4K	0.23	10.25	N/A	N/A	901,240	204,680	4,613,320	1,422,240
2014-06-24	$0.46	$0.42	23.6%	8.4%	13.9%	13.6%	28.0%	0.1%	0.4%	4.2M	-51.1M	-480.2K	0.52	10.11	N/A	N/A	128,760	67,000	5,247,480	1,598,640
2014-06-25	$0.47	$0.42	23.9%	8.0%	14.1%	15.7%	29.0%	-0.5%	0.5%	4.7M	-59.2M	-494.8K	0.13	9.68	N/A	N/A	333,680	44,720	5,276,320	1,643,320
2014-06-26	$0.46	$0.42	23.9%	8.3%	14.7%	15.5%	28.1%	-0.9%	0.4%	4.1M	-50.9M	-496.9K	1.24	9.50	N/A	N/A	177,240	220,200	5,471,440	1,661,960
2014-06-27	$0.46	$0.42	23.3%	8.3%	14.7%	11.4%	27.6%	-0.2%	0.1%	3.8M	-48.8M	-510.6K	0.22	10.22	N/A	N/A	211,320	46,240	5,596,360	1,812,560
2014-06-30	$0.46	$0.42	23.3%	8.0%	15.1%	11.6%	29.0%	-0.3%	4.1%	4.1M	-57.6M	-508.4K	0.24	9.70	N/A	N/A	264,760	63,200	5,277,240	1,727,040