NVDA Options History — October 2014 In October 2014, NVDA traded between $0.42 and $0.49. ATM implied volatility averaged 37.8%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 9.5% (HV 20d: 28.3%). Max pain ranged from $0.42 to $0.45. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.98.
Notable Days 2014-10-10 : Highest Volume — 2,100,680 contracts2014-10-10 : Largest IV spike — 20.4% change2014-10-13 : Highest IV Rank — 94.8%2014-10-15 : Largest Expected Move — 10.0%Monthly Statistics Metric Avg Min Max Open Close Price $0.45 $0.42 $0.49 $0.46 $0.49 Max Pain $0.44 $0.42 $0.45 $0.45 $0.42 ATM IV 37.8% 25.6% 45.3% 25.6% 41.7% Expected Move 9.0% 8.4% 10.0% 8.5% 8.9% HV 20d 28.3% 15.8% 39.0% 17.7% 39.0% HV 60d 28.5% 25.9% 31.1% 26.7% 31.1% IV Rank 65.1% 16.4% 94.8% 16.4% 80.4% IV Percentile 90.3% 46.4% 99.6% 46.4% 96.8% Term Structure -0.7% -4.5% 8.7% 8.1% -2.9% VWIV 31.5% 29.0% 35.0% 29.2% 30.7% Skew 25d 2.5% -0.6% 7.8% 1.4% 2.7% Skew 10d 5.6% -5.3% 14.3% 1.7% 10.5% Call IV 25d 37.1% 25.1% 43.6% 25.1% 41.0% Put IV 25d 39.6% 26.5% 47.7% 26.5% 43.7% Bid-Ask Spread % 10.78 7.18 16.35 9.97 11.80 Gamma HHI 0.19 0.14 0.48 0.18 0.18 Net GEX 1.4M -774.9K 6.4M 560.8K 2.3M Net DEX -10.9M -93.6M 49.5M -3.1M -93.6M Net VEX -528.5K -570.0K -445.3K -537.7K -565.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.98 0.17 2.35 1.40 0.88 Total Volume 619,088.696 111,120 2,100,680 266,240 1,533,320 Total OI 8,771,448.696 7,831,720 10,042,360 8,202,280 9,052,160
Daily Data (23 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 2014-10-01 $0.46 $0.45 25.6% 8.5% 17.7% 16.4% 29.2% 1.4% 8.1% 560.8K -3.1M -537.7K 1.40 9.97 N/A N/A 110,720 155,520 4,729,320 3,472,960 2014-10-02 $0.45 $0.45 28.1% 8.6% 15.8% 26.4% 29.8% 2.4% 8.7% 319.0K 1.9M -531.9K 0.45 7.22 N/A N/A 237,800 107,520 4,781,840 3,558,280 2014-10-03 $0.46 $0.45 29.3% 8.4% 16.0% 31.0% 29.0% 1.0% 8.1% 706.6K -2.3M -532.1K 0.36 8.58 N/A N/A 159,560 57,280 4,940,760 3,584,520 2014-10-06 $0.45 $0.45 34.2% 8.4% 15.9% 50.6% 29.5% 2.8% -3.2% 561.5K 1.5M -517.5K 0.17 7.18 N/A N/A 278,960 46,640 4,707,920 3,512,320 2014-10-07 $0.45 $0.45 35.4% 8.5% 15.8% 55.4% 0.0% 2.7% -1.6% 497.0K 9.2M -502.3K 0.98 8.01 N/A N/A 291,640 284,760 4,852,560 3,537,480 2014-10-08 $0.46 $0.45 38.3% 8.5% 17.6% 67.0% 29.5% -0.6% -4.5% 1.1M -6.7M -528.9K 2.00 8.22 N/A N/A 218,440 437,440 4,991,040 3,620,880 2014-10-09 $0.45 $0.45 36.7% 8.6% 18.4% 60.8% 29.7% 2.6% -2.4% 569.6K 10.4M -508.2K 0.89 8.34 N/A N/A 137,000 121,880 5,028,720 3,622,280 2014-10-10 $0.42 $0.45 44.2% 9.5% 27.2% 90.6% 33.2% -0.4% -2.8% -268.7K 49.5M -445.3K 1.26 16.35 N/A N/A 928,080 1,172,600 5,058,880 3,655,880 2014-10-13 $0.42 $0.45 45.3% 9.8% 27.1% 94.8% 33.8% 0.9% -2.1% -774.9K 46.8M -518.4K 1.07 13.29 N/A N/A 238,360 254,600 5,589,080 4,326,360 2014-10-14 $0.44 $0.45 42.4% 9.5% 32.3% 83.2% 34.3% 6.4% -2.7% 187.0K 7.4M -570.0K 2.35 12.83 N/A N/A 249,160 585,200 5,694,280 4,348,080 2014-10-15 $0.44 $0.45 43.1% 10.0% 32.2% 86.2% 35.0% 7.8% -1.5% 691.7K 11.1M -556.3K 1.26 13.90 N/A N/A 259,640 328,440 5,809,080 4,169,680 2014-10-16 $0.44 $0.45 43.7% 9.8% 31.4% 88.4% 33.5% 3.1% -3.2% 628.0K 9.3M -537.7K 1.12 10.67 N/A N/A 160,840 179,560 5,651,200 4,079,680 2014-10-17 $0.44 $0.45 40.3% 9.3% 31.0% 75.1% 31.8% 4.5% -1.7% -86.4K 16.1M -490.7K 0.72 11.02 N/A N/A 263,160 189,240 5,382,320 3,862,680 2014-10-20 $0.44 $0.45 38.5% 9.0% 31.3% 67.5% 31.2% 2.7% -0.6% 1.1M 6.6M -476.9K 0.51 10.69 N/A N/A 127,040 65,200 4,690,360 3,141,360 2014-10-21 $0.46 $0.45 39.2% 9.0% 34.4% 70.4% 31.3% 2.3% -0.5% 1.9M -24.6M -521.1K 0.28 11.63 N/A N/A 898,280 255,280 4,776,240 3,177,200 2014-10-22 $0.45 $0.45 39.0% 9.2% 34.7% 69.8% 32.0% 0.4% -2.2% 2.3M -14.6M -521.4K 0.57 11.25 N/A N/A 585,040 335,280 5,074,000 3,240,080 2014-10-23 $0.46 $0.42 38.2% 9.1% 34.9% 66.4% 32.0% 2.1% -1.2% 3.2M -34.1M -551.2K 0.89 10.57 N/A N/A 387,720 344,920 5,353,320 3,362,360 2014-10-24 $0.46 $0.42 37.2% 9.1% 35.1% 62.6% 32.4% 2.7% -1.4% 6.4M -42.2M -552.6K 0.90 10.43 N/A N/A 390,800 353,160 5,352,440 3,426,080 2014-10-27 $0.46 $0.42 37.8% 9.0% 35.1% 64.9% 31.0% 2.2% -1.2% 2.2M -39.3M -545.2K 0.94 10.07 N/A N/A 57,160 53,960 5,180,880 3,308,680 2014-10-28 $0.47 $0.42 36.5% 8.8% 36.1% 59.7% 30.5% 1.9% -1.1% 2.8M -61.6M -551.7K 0.88 10.99 N/A N/A 143,000 125,120 5,213,600 3,345,640 2014-10-29 $0.47 $0.42 36.5% 8.8% 35.9% 59.9% 32.1% 2.7% -1.2% 2.6M -53.5M -549.1K 0.83 12.35 N/A N/A 240,720 200,120 5,256,080 3,456,360 2014-10-30 $0.47 $0.42 38.9% 8.8% 36.0% 69.5% 31.4% 2.6% -2.3% 2.5M -45.9M -542.7K 1.91 12.70 N/A N/A 236,400 452,480 5,285,960 3,482,440 2014-10-31 $0.49 $0.42 41.7% 8.9% 39.0% 80.4% 30.7% 2.7% -2.9% 2.3M -93.6M -565.6K 0.88 11.80 N/A N/A 815,600 717,720 5,328,400 3,723,760
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