NVDA Options History — July 2014 In July 2014, NVDA traded between $0.44 and $0.48. ATM implied volatility averaged 32.2%, placing in the 68.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 11.4% (HV 20d: 20.8%). Max pain ranged from $0.42 to $0.47. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.70.
Notable Days 2014-07-18 : Highest Volume — 1,700,880 contracts2014-07-07 : Largest IV spike — 13.7% change2014-07-28 : Highest IV Rank — 100.0%2014-07-29 : Largest Expected Move — 8.7%Monthly Statistics Metric Avg Min Max Open Close Price $0.46 $0.44 $0.48 $0.47 $0.44 Max Pain $0.44 $0.42 $0.47 $0.42 $0.45 ATM IV 32.2% 23.0% 37.4% 23.3% 37.4% Expected Move 8.3% 8.0% 8.7% 8.1% 8.6% HV 20d 20.8% 15.7% 26.7% 15.7% 26.7% HV 60d 20.3% 18.7% 21.9% 20.5% 21.9% IV Rank 68.3% 9.5% 100.0% 11.4% 100.0% IV Percentile 76.7% 8.7% 100.0% 11.9% 100.0% Term Structure -0.5% -4.3% 6.1% 6.0% -2.5% VWIV 29.3% 27.8% 32.3% 27.8% 30.9% Skew 25d 0.0% -2.0% 2.0% -0.2% -2.0% Skew 10d 0.6% -5.6% 6.7% -0.3% -5.6% Call IV 25d 33.3% 23.5% 40.2% 23.9% 40.2% Put IV 25d 33.4% 23.5% 39.6% 23.6% 38.2% Bid-Ask Spread % 13.36 8.53 29.93 12.88 28.89 Gamma HHI 0.26 0.20 0.35 0.27 0.24 Net GEX 4.1M 1.2M 7.4M 5.1M 1.4M Net DEX -52.8M -102.9M 2.3M -72.9M 286.5K Net VEX -534.9K -572.2K -507.3K -539.9K -533.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.20 3.03 0.27 3.03 Total Volume 461,621.818 114,440 1,700,880 307,640 626,280 Total OI 7,971,958.182 7,297,040 8,953,880 7,349,760 8,953,880
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 2014-07-01 $0.47 $0.42 23.3% 8.1% 15.7% 11.4% 27.8% -0.2% 6.0% 5.1M -72.9M -539.9K 0.27 12.88 N/A N/A 242,280 65,360 5,556,280 1,793,480 2014-07-02 $0.47 $0.42 23.0% 8.0% 15.7% 9.5% 27.9% 0.0% 4.8% 5.2M -68.6M -525.7K 0.67 10.28 N/A N/A 92,400 62,000 5,633,960 1,804,080 2014-07-03 $0.47 $0.42 24.0% 8.0% 16.0% 16.1% 29.2% 0.2% 6.1% 5.3M -76.6M -534.0K 0.22 10.97 N/A N/A 137,600 29,960 5,663,680 1,843,560 2014-07-07 $0.47 $0.42 27.3% 8.2% 16.2% 37.1% 28.9% -1.6% 2.2% 5.1M -68.6M -514.1K 0.52 9.47 N/A N/A 106,400 55,520 5,498,680 1,798,360 2014-07-08 $0.46 $0.42 28.9% 8.1% 16.3% 47.4% 29.5% 0.6% -0.2% 4.6M -60.4M -507.3K 0.43 10.75 N/A N/A 160,320 69,600 5,553,280 1,839,640 2014-07-09 $0.48 $0.42 29.5% 8.1% 19.6% 50.9% 28.3% -1.0% 0.5% 6.4M -91.0M -525.6K 0.47 17.03 N/A N/A 309,200 144,760 5,550,040 1,872,760 2014-07-10 $0.48 $0.42 30.6% 8.1% 19.1% 57.7% 28.7% 0.1% 0.4% 6.4M -84.3M -528.9K 0.66 10.15 N/A N/A 69,080 45,360 5,665,240 1,955,800 2014-07-11 $0.48 $0.42 30.2% 8.1% 18.9% 55.3% 29.1% -0.1% 0.1% 6.9M -88.7M -526.1K 0.24 11.52 N/A N/A 210,880 50,640 5,696,080 1,971,040 2014-07-14 $0.48 $0.42 31.2% 8.1% 19.5% 61.7% 28.9% 0.7% -1.0% 6.7M -97.1M -525.7K 0.32 9.08 N/A N/A 213,040 67,880 5,570,400 1,928,080 2014-07-15 $0.48 $0.42 32.5% 8.1% 19.6% 70.0% 28.4% 0.9% -1.0% 7.3M -102.9M -525.6K 1.65 9.93 N/A N/A 212,880 350,200 5,624,360 1,932,200 2014-07-16 $0.48 $0.42 32.1% 8.3% 19.4% 67.4% 28.9% 0.6% -1.4% 7.4M -99.3M -538.6K 0.45 8.71 N/A N/A 307,560 137,160 5,732,560 2,185,640 2014-07-17 $0.48 $0.42 35.1% 8.2% 19.4% 86.4% 29.3% 1.5% -4.3% 6.4M -91.7M -540.3K 1.38 12.93 N/A N/A 431,800 597,920 5,736,800 2,235,880 2014-07-18 $0.46 $0.42 35.8% 8.5% 24.0% 90.8% 30.4% -0.1% -1.6% 1.6M -30.4M -517.6K 1.26 14.75 N/A N/A 752,240 948,640 5,598,720 2,648,080 2014-07-21 $0.46 $0.00 35.7% 8.3% 23.8% 90.5% 29.3% 2.0% -2.4% 2.0M -32.4M -544.3K 0.38 10.19 N/A N/A 506,560 191,960 4,802,880 2,743,360 2014-07-22 $0.46 $0.45 35.5% 8.4% 23.6% 89.1% 29.1% -1.1% -2.1% 2.5M -32.7M -556.2K 1.06 8.53 N/A N/A 170,400 180,200 5,182,760 2,893,040 2014-07-23 $0.45 $0.47 35.3% 8.4% 24.1% 87.5% 29.2% -0.2% -1.8% 1.6M -9.9M -538.0K 0.40 9.25 N/A N/A 350,520 138,480 5,262,200 3,035,200 2014-07-24 $0.45 $0.47 35.3% 8.4% 23.8% 87.5% 29.0% 0.2% -3.0% 1.5M -9.7M -552.6K 0.27 8.73 N/A N/A 235,360 62,760 5,492,120 3,122,560 2014-07-25 $0.44 $0.47 35.6% 8.5% 24.1% 89.9% 32.3% -1.3% -2.6% 1.2M 2.3M -534.7K 0.22 8.89 N/A N/A 496,640 109,760 5,677,400 3,135,560 2014-07-28 $0.44 $0.45 37.2% 8.6% 24.1% 100.0% 29.8% 1.6% -1.6% 1.5M -5.6M -531.9K 0.20 17.49 N/A N/A 589,760 118,920 5,458,560 2,968,120 2014-07-29 $0.44 $0.45 37.3% 8.7% 23.9% 100.0% 30.5% -1.4% -2.6% 1.7M -13.1M -554.2K 0.86 23.66 N/A N/A 188,960 162,600 5,792,720 3,057,480 2014-07-30 $0.45 $0.45 36.8% 8.5% 24.4% 96.9% 29.7% 1.3% -1.9% 2.3M -28.1M -572.2K 0.49 29.93 N/A N/A 104,880 50,960 5,839,960 3,076,600 2014-07-31 $0.44 $0.45 37.4% 8.6% 26.7% 100.0% 30.9% -2.0% -2.5% 1.4M 286.5K -533.4K 3.03 28.89 N/A N/A 155,280 471,000 5,856,680 3,097,200
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