NVDA Options History — September 2014

In September 2014, NVDA traded between $0.46 and $0.50. ATM implied volatility averaged 23.9%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.9% (HV 20d: 20.0%). Max pain ranged from $0.45 to $0.45. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.87.

Notable Days

2014-09-19: Highest Volume — 643,600 contracts
2014-09-29: Largest IV spike — 5.2% change
2014-09-15: Highest IV Rank — 14.4%
2014-09-30: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.48	$0.46	$0.50	$0.49	$0.46
Max Pain	$0.45	$0.45	$0.45	$0.45	$0.45
ATM IV	23.9%	22.7%	25.1%	23.3%	25.0%
Expected Move	8.2%	8.0%	8.4%	8.2%	8.4%
HV 20d	20.0%	14.6%	32.6%	32.5%	18.1%
HV 60d	26.5%	26.1%	26.8%	26.1%	26.7%
IV Rank	9.7%	5.0%	14.4%	7.3%	13.9%
IV Percentile	26.7%	7.9%	43.7%	15.5%	43.3%
Term Structure	1.1%	-0.2%	8.7%	0.2%	8.0%
VWIV	28.6%	27.9%	29.5%	28.3%	28.6%
Skew 25d	1.5%	0.2%	2.6%	2.1%	2.6%
Skew 10d	3.7%	1.8%	6.0%	5.5%	5.9%
Call IV 25d	23.9%	22.8%	25.5%	23.0%	24.5%
Put IV 25d	25.5%	24.5%	27.1%	25.1%	27.1%
Bid-Ask Spread %	9.92	8.36	13.59	10.27	9.62
Gamma HHI	0.21	0.15	0.30	0.20	0.17
Net GEX	2.2M	-226.3K	4.5M	4.3M	845.6K
Net DEX	-64.7M	-127.9M	-11.0M	-99.1M	-11.0M
Net VEX	-564.8K	-600.5K	-535.6K	-563.2K	-535.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.23	2.61	2.61	0.85
Total Volume	305,268.571	133,040	643,600	282,800	163,680
Total OI	8,908,472.381	7,394,160	9,805,840	8,779,400	8,118,880

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
2014-09-02	$0.49	$0.45	23.3%	8.2%	32.5%	7.3%	28.3%	2.1%	0.2%	4.3M	-99.1M	-563.2K	2.61	10.27	N/A	N/A	78,400	204,400	4,994,720	3,784,680
2014-09-03	$0.49	$0.45	22.7%	8.0%	32.5%	5.0%	28.5%	1.5%	0.5%	4.5M	-106.8M	-564.7K	0.68	10.79	N/A	N/A	114,000	77,400	5,009,440	3,872,440
2014-09-04	$0.50	$0.45	23.5%	8.1%	32.6%	7.9%	28.7%	1.3%	-0.1%	3.8M	-127.9M	-561.2K	2.04	13.59	N/A	N/A	202,840	414,360	5,058,600	3,899,760
2014-09-05	$0.50	$0.45	23.8%	8.1%	32.3%	9.2%	29.5%	1.8%	0.0%	3.1M	-117.4M	-600.5K	0.42	10.78	N/A	N/A	350,160	146,720	5,092,760	4,190,160
2014-09-08	$0.49	$0.45	24.4%	8.1%	14.6%	11.8%	28.4%	1.4%	0.2%	3.5M	-104.2M	-583.3K	0.64	8.98	N/A	N/A	204,520	131,880	5,081,240	4,145,040
2014-09-09	$0.49	$0.45	23.9%	8.1%	15.3%	9.6%	29.1%	0.2%	0.2%	3.3M	-90.6M	-583.6K	0.89	8.71	N/A	N/A	132,280	117,960	5,197,560	4,192,160
2014-09-10	$0.49	$0.45	23.9%	8.1%	15.3%	9.8%	28.4%	1.4%	-0.2%	3.7M	-94.3M	-586.6K	0.61	8.86	N/A	N/A	204,360	125,400	5,290,240	4,280,520
2014-09-11	$0.49	$0.45	24.0%	8.2%	15.8%	10.2%	28.4%	1.2%	-0.2%	3.2M	-80.0M	-590.0K	0.74	9.32	N/A	N/A	93,040	68,720	5,395,960	4,328,440
2014-09-12	$0.48	$0.45	24.1%	8.2%	16.2%	10.6%	28.9%	0.6%	0.7%	2.3M	-64.2M	-580.9K	0.46	9.08	N/A	N/A	145,440	67,440	5,412,320	4,371,320
2014-09-15	$0.47	$0.45	25.1%	8.2%	16.4%	14.4%	28.4%	1.4%	0.2%	2.0M	-50.2M	-565.5K	0.96	10.01	N/A	N/A	170,960	164,600	5,288,640	4,193,400
2014-09-16	$0.48	$0.45	24.6%	8.2%	16.5%	12.3%	28.8%	1.7%	0.2%	1.6M	-65.1M	-565.6K	0.23	8.36	N/A	N/A	291,200	65,840	5,347,720	4,293,000
2014-09-17	$0.48	$0.45	24.3%	8.2%	16.5%	11.1%	29.0%	1.3%	0.2%	1.6M	-65.4M	-565.5K	0.53	10.90	N/A	N/A	89,360	47,600	5,344,520	4,343,840
2014-09-18	$0.49	$0.45	23.5%	8.2%	17.2%	8.0%	28.8%	2.0%	0.5%	2.3M	-83.4M	-558.3K	0.41	10.51	N/A	N/A	220,640	91,160	5,297,720	4,305,040
2014-09-19	$0.48	$0.45	23.7%	8.2%	18.2%	8.8%	28.4%	1.5%	-0.1%	803.5K	-64.7M	-557.9K	0.58	11.95	N/A	N/A	406,280	237,320	5,447,840	4,358,000
2014-09-22	$0.47	$0.45	24.1%	8.1%	18.6%	10.6%	28.5%	1.5%	0.2%	1.5M	-33.0M	-547.8K	0.51	9.46	N/A	N/A	279,680	143,880	4,295,480	3,098,680
2014-09-23	$0.47	$0.45	23.5%	8.1%	18.6%	8.3%	28.3%	2.2%	0.8%	1.5M	-28.7M	-554.0K	1.69	9.41	N/A	N/A	131,840	223,280	4,487,560	3,182,320
2014-09-24	$0.47	$0.45	23.6%	8.1%	17.5%	8.3%	27.9%	1.3%	0.6%	1.5M	-32.1M	-561.3K	0.64	9.51	N/A	N/A	80,880	52,160	4,568,440	3,360,080
2014-09-25	$0.46	$0.45	24.0%	8.2%	18.6%	9.9%	29.1%	1.3%	1.4%	694.8K	-13.2M	-549.9K	0.82	9.38	N/A	N/A	151,080	123,440	4,631,080	3,375,640
2014-09-26	$0.46	$0.45	23.0%	8.1%	18.3%	6.2%	28.4%	1.9%	1.0%	-226.3K	-12.7M	-546.4K	1.20	9.54	N/A	N/A	110,280	132,720	4,675,000	3,443,800
2014-09-29	$0.46	$0.45	24.2%	8.2%	18.2%	11.0%	28.7%	1.7%	8.7%	967.5K	-14.5M	-539.0K	0.67	9.31	N/A	N/A	91,880	61,560	4,628,760	3,395,120
2014-09-30	$0.46	$0.45	25.0%	8.4%	18.1%	13.9%	28.6%	2.6%	8.0%	845.6K	-11.0M	-535.6K	0.85	9.62	N/A	N/A	88,280	75,400	4,686,560	3,432,320