NVDA Options History — July 2015 In July 2015, NVDA traded between $0.48 and $0.51. ATM implied volatility averaged 38.2%, placing in the 65.8% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 15.8% (HV 20d: 22.4%). Max pain ranged from $0.53 to $0.55. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.90.
Notable Days 2015-07-10 : Highest Volume — 2,251,200 contracts2015-07-06 : Largest IV spike — 15.1% change2015-07-09 : Highest IV Rank — 77.1%2015-07-27 : Largest Expected Move — 12.2%Monthly Statistics Metric Avg Min Max Open Close Price $0.50 $0.48 $0.51 $0.51 $0.50 Max Pain $0.53 $0.53 $0.55 $0.55 $0.53 ATM IV 38.2% 32.1% 41.0% 32.1% 37.0% Expected Move 11.0% 9.4% 12.2% 9.4% 11.7% HV 20d 22.4% 20.8% 25.3% 25.3% 20.9% HV 60d 28.0% 27.6% 28.5% 28.0% 28.1% IV Rank 65.8% 41.4% 77.1% 41.4% 60.8% IV Percentile 88.3% 66.7% 95.2% 66.7% 82.9% Term Structure -0.9% -2.9% 5.0% 4.1% -1.6% VWIV 42.0% 33.3% 58.6% 34.1% 45.3% Skew 25d 3.4% 0.8% 5.1% 2.4% 3.8% Skew 10d 7.1% 2.1% 16.3% 3.7% 6.4% Call IV 25d 38.0% 30.9% 41.2% 30.9% 37.1% Put IV 25d 41.4% 33.3% 45.3% 33.3% 40.9% Bid-Ask Spread % 15.74 9.86 33.13 15.83 12.71 Gamma HHI 0.11 0.09 0.17 0.12 0.11 Net GEX 505.5K -645.7K 1.8M 1.2M 907.6K Net DEX 22.5M -4.2M 58.0M 19.5M 8.3M Net VEX -499.6K -543.9K -470.4K -519.1K -492.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.90 0.75 4.19 0.81 1.86 Total Volume 1,205,783.636 628,880 2,251,200 1,093,080 708,760 Total OI 10,482,118.182 7,863,400 12,481,680 7,863,400 11,779,160
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 2015-07-01 $0.51 $0.55 32.1% 9.4% 25.3% 41.4% 34.1% 2.4% 4.1% 1.2M 19.5M -519.1K 0.81 15.83 N/A N/A 605,000 488,080 4,827,080 3,036,320 2015-07-02 $0.51 $0.55 32.7% 9.8% 24.3% 43.7% 35.5% 2.1% 5.0% 1.7M 14.8M -543.9K 1.48 15.30 N/A N/A 419,160 619,440 5,020,760 3,167,000 2015-07-06 $0.50 $0.53 37.7% 10.4% 24.0% 63.8% 37.4% 3.2% -2.0% 1.1M 25.9M -505.6K 0.93 11.93 N/A N/A 482,800 447,000 4,850,160 3,199,480 2015-07-07 $0.49 $0.53 39.3% 10.9% 23.6% 70.3% 33.3% 3.5% -2.0% 748.2K 40.7M -493.4K 1.97 16.18 N/A N/A 438,800 865,680 4,968,640 3,354,480 2015-07-08 $0.49 $0.53 40.5% 10.9% 23.3% 75.1% 34.7% 4.0% -1.3% 150.6K 48.1M -503.5K 1.67 18.28 N/A N/A 343,040 572,920 5,132,240 3,705,920 2015-07-09 $0.49 $0.53 41.0% 11.4% 22.9% 77.1% 45.1% 2.9% -1.4% 33.0K 58.0M -481.6K 4.19 24.56 N/A N/A 407,520 1,706,520 5,166,360 3,727,600 2015-07-10 $0.49 $0.53 40.1% 11.0% 23.5% 73.4% 50.2% 2.7% -1.3% 448.5K 47.6M -536.8K 2.40 9.86 N/A N/A 661,200 1,590,000 5,291,280 4,764,240 2015-07-13 $0.50 $0.53 39.2% 10.7% 22.3% 70.1% 44.1% 3.2% -1.3% 1.3M 23.2M -495.1K 3.22 12.20 N/A N/A 423,480 1,364,160 5,345,400 5,227,760 2015-07-14 $0.50 $0.53 36.5% 10.6% 22.3% 58.9% 58.6% 1.1% 2.9% 523.3K 31.1M -496.1K 3.76 10.05 N/A N/A 412,800 1,551,080 5,278,720 5,391,240 2015-07-15 $0.49 $0.53 38.4% 10.7% 21.6% 66.7% 41.8% 4.3% -0.2% -5.9K 36.8M -477.2K 1.21 11.22 N/A N/A 506,200 610,080 5,320,960 6,462,880 2015-07-16 $0.50 $0.53 38.9% 10.7% 22.6% 68.7% 39.2% 0.8% -2.0% 1.8M 12.6M -501.8K 0.99 12.49 N/A N/A 708,080 704,120 5,430,480 6,594,240 2015-07-17 $0.50 $0.53 38.5% 10.9% 21.5% 67.2% 38.1% 3.4% -1.0% 1.4M 16.7M -504.2K 1.19 16.46 N/A N/A 735,840 877,920 5,664,880 6,816,800 2015-07-20 $0.49 $0.53 38.2% 10.8% 22.0% 65.8% 37.8% 4.5% -1.4% 373.9K 11.0M -472.5K 1.05 33.13 N/A N/A 376,200 395,440 4,811,000 5,709,120 2015-07-21 $0.49 $0.53 38.0% 10.8% 22.2% 65.1% 39.4% 4.1% -2.2% 770.3K 6.0M -488.9K 0.75 31.18 N/A N/A 555,640 416,240 4,936,520 5,747,200 2015-07-22 $0.49 $0.53 38.2% 11.0% 21.5% 66.0% 42.9% 4.8% -2.4% 18.8K 21.1M -470.4K 0.95 13.93 N/A N/A 425,560 402,800 5,091,520 5,813,720 2015-07-23 $0.49 $0.53 38.4% 11.1% 22.2% 66.5% 43.0% 3.8% -2.9% 334.3K 10.4M -495.9K 0.86 14.12 N/A N/A 414,600 356,080 5,260,920 5,919,880 2015-07-24 $0.49 $0.53 40.0% 11.7% 21.9% 73.3% 42.7% 4.9% -2.6% 319.8K 19.5M -492.6K 2.80 12.12 N/A N/A 354,680 993,320 5,348,200 5,964,240 2015-07-27 $0.48 $0.53 40.7% 12.2% 21.1% 75.9% 49.3% 5.1% -1.8% -645.7K 32.2M -489.9K 3.80 11.15 N/A N/A 257,520 977,560 5,096,080 6,312,840 2015-07-28 $0.49 $0.53 39.6% 12.1% 20.8% 71.6% 45.8% 4.0% -1.0% -406.5K 13.4M -509.0K 2.09 12.17 N/A N/A 286,880 600,360 5,147,800 6,452,160 2015-07-29 $0.50 $0.53 37.5% 11.5% 21.4% 63.1% 41.3% 3.6% -1.5% -465.2K 2.7M -514.0K 2.23 16.38 N/A N/A 258,920 576,880 5,206,320 6,533,120 2015-07-30 $0.50 $0.53 37.6% 11.7% 20.9% 63.5% 43.9% 3.5% -1.7% -455.7K -4.2M -507.0K 1.68 15.07 N/A N/A 234,920 393,960 5,275,160 6,456,720 2015-07-31 $0.50 $0.53 37.0% 11.7% 20.9% 60.8% 45.3% 3.8% -1.6% 907.6K 8.3M -492.8K 1.86 12.71 N/A N/A 247,720 461,040 5,311,600 6,467,560
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