NVDA Options History — June 2015 In June 2015, NVDA traded between $0.50 and $0.56. ATM implied volatility averaged 26.6%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 2.3% (HV 20d: 28.9%). Max pain ranged from $0.50 to $0.55. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.78.
Notable Days 2015-06-19 : Highest Volume — 1,969,640 contracts2015-06-29 : Largest IV spike — 11.4% change2015-06-29 : Highest IV Rank — 30.4%2015-06-29 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $0.54 $0.50 $0.56 $0.56 $0.50 Max Pain $0.54 $0.50 $0.55 $0.50 $0.55 ATM IV 26.6% 23.8% 29.4% 25.3% 29.4% Expected Move 7.7% 6.8% 9.1% 7.3% 8.9% HV 20d 28.9% 23.1% 37.9% 37.3% 24.7% HV 60d 29.6% 27.5% 31.1% 30.2% 27.9% IV Rank 18.8% 7.5% 30.4% 13.8% 30.3% IV Percentile 42.6% 14.7% 57.5% 38.9% 57.1% Term Structure 0.3% -1.0% 4.1% 0.8% 4.1% VWIV 27.1% 23.5% 32.7% 25.9% 30.6% Skew 25d 2.3% 1.7% 4.2% 1.8% 2.9% Skew 10d 4.9% 3.4% 6.9% 3.6% 6.0% Call IV 25d 26.3% 24.1% 28.8% 25.4% 28.8% Put IV 25d 28.6% 26.3% 32.4% 27.2% 31.7% Bid-Ask Spread % 13.41 10.12 19.12 14.00 10.84 Gamma HHI 0.15 0.11 0.31 0.16 0.11 Net GEX 839.1K -2.5M 3.8M 3.8M 1.0M Net DEX -27.2M -98.7M 43.3M -98.7M 29.8M Net VEX -513.5K -549.0K -474.0K -482.2K -484.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.78 0.35 4.23 0.35 1.24 Total Volume 905,329.091 356,160 1,969,640 932,240 843,240 Total OI 8,481,820 6,973,800 9,631,560 7,655,520 7,643,840
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 2015-06-01 $0.56 $0.50 25.3% 7.3% 37.3% 13.8% 25.9% 1.8% 0.8% 3.8M -98.7M -482.2K 0.35 14.00 N/A N/A 690,600 241,640 3,871,040 3,784,480 2015-06-02 $0.55 $0.50 26.0% 7.6% 37.9% 16.5% 26.8% 2.2% -0.6% 3.7M -82.6M -515.2K 4.23 18.25 N/A N/A 68,040 288,120 4,337,240 3,862,840 2015-06-03 $0.54 $0.53 25.5% 7.5% 37.0% 14.2% 26.2% 1.9% -0.2% 2.5M -67.8M -518.3K 0.45 11.71 N/A N/A 582,280 263,440 4,352,880 4,019,720 2015-06-04 $0.55 $0.53 26.4% 7.4% 37.5% 18.0% 26.0% 2.1% -0.6% 3.3M -81.1M -526.3K 0.75 13.58 N/A N/A 465,960 351,760 4,409,840 4,084,840 2015-06-05 $0.56 $0.53 28.2% 8.0% 37.0% 25.3% 28.2% 1.9% -0.9% 2.5M -91.4M -544.3K 1.45 13.03 N/A N/A 437,200 634,280 4,483,120 4,206,960 2015-06-08 $0.54 $0.55 28.4% 8.0% 25.5% 26.3% 27.7% 2.1% -0.7% 1.6M -64.6M -539.3K 1.51 12.64 N/A N/A 239,200 360,120 4,314,160 4,336,680 2015-06-09 $0.55 $0.55 27.5% 7.9% 25.1% 22.5% 27.5% 1.9% 0.3% 1.2M -66.1M -549.0K 1.40 10.13 N/A N/A 190,840 266,400 4,361,600 4,476,720 2015-06-10 $0.54 $0.55 27.8% 8.1% 26.1% 23.9% 29.2% 2.2% 0.2% 535.2K -46.2M -528.0K 3.25 11.33 N/A N/A 243,440 791,560 4,371,880 4,505,080 2015-06-11 $0.54 $0.55 26.5% 7.6% 26.2% 18.3% 26.9% 2.0% 0.0% -623.1K -33.5M -547.9K 2.24 12.08 N/A N/A 263,520 591,160 4,438,440 5,067,800 2015-06-12 $0.53 $0.55 27.3% 7.8% 27.5% 21.8% 27.5% 1.9% 0.2% -310.4K -1.4M -509.8K 2.33 13.66 N/A N/A 276,000 642,080 4,411,680 5,032,920 2015-06-15 $0.53 $0.55 28.0% 8.0% 27.5% 24.4% 28.0% 2.3% -0.3% -201.1K 167.1K -488.8K 2.11 10.12 N/A N/A 265,560 560,280 4,251,200 4,906,920 2015-06-16 $0.53 $0.55 27.2% 7.8% 27.9% 21.3% 27.5% 2.7% -0.7% -607.3K -12.2M -493.6K 1.53 12.33 N/A N/A 301,000 460,520 4,313,920 4,941,120 2015-06-17 $0.54 $0.55 26.0% 7.5% 27.9% 16.4% 26.3% 2.1% 0.8% -836.1K -26.4M -503.1K 2.71 19.12 N/A N/A 236,240 640,000 4,393,760 4,948,920 2015-06-18 $0.55 $0.55 25.4% 7.3% 28.4% 14.2% 24.1% 1.9% -0.2% -2.5M -46.9M -514.2K 1.94 15.50 N/A N/A 287,840 557,960 4,430,080 5,094,800 2015-06-19 $0.55 $0.55 23.8% 6.8% 28.1% 7.5% 24.7% 1.7% -0.5% 496.9K -29.9M -503.6K 0.82 12.19 N/A N/A 1,082,040 887,600 4,446,080 5,185,480 2015-06-22 $0.54 $0.55 24.9% 7.2% 28.3% 12.2% 23.5% 2.1% 0.2% 539.4K -27.0M -535.9K 2.01 13.10 N/A N/A 469,480 943,760 4,169,600 2,804,200 2015-06-23 $0.53 $0.55 25.1% 7.3% 29.9% 12.8% 27.4% 2.7% 0.7% -514.9K 15.9M -513.3K 2.26 15.91 N/A N/A 278,400 629,600 4,282,680 3,154,080 2015-06-24 $0.53 $0.55 24.9% 7.2% 23.5% 11.9% 26.3% 3.2% -0.1% 408.0K 36.4M -509.1K 2.23 13.83 N/A N/A 277,360 618,160 4,391,240 3,399,160 2015-06-25 $0.53 $0.55 25.3% 7.2% 23.1% 13.7% 25.2% 2.9% -1.0% -233.0K 24.2M -522.4K 1.74 15.39 N/A N/A 281,240 489,920 4,442,760 3,383,040 2015-06-26 $0.52 $0.55 26.4% 7.8% 24.0% 18.2% 27.2% 2.0% 0.3% 1.6M 43.3M -492.8K 0.99 10.23 N/A N/A 565,800 560,880 4,469,800 3,386,200 2015-06-29 $0.50 $0.55 29.4% 9.1% 25.3% 30.4% 32.7% 4.2% 3.8% 1.2M 27.5M -474.0K 1.62 16.06 N/A N/A 303,040 489,680 4,633,600 2,797,640 2015-06-30 $0.50 $0.55 29.4% 8.9% 24.7% 30.3% 30.6% 2.9% 4.1% 1.0M 29.8M -484.9K 1.24 10.84 N/A N/A 377,080 466,160 4,703,200 2,940,640
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