NVDA Options History — September 2015 In September 2015, NVDA traded between $0.54 and $0.62. ATM implied volatility averaged 35.2%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 6.5% (HV 20d: 41.7%). Max pain ranged from $0.50 to $0.57. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.77.
Notable Days 2015-09-30 : Highest Volume — 1,512,960 contracts2015-09-02 : Largest IV drop — 10.3% change2015-09-01 : Highest IV Rank — 87.1%2015-09-01 : Largest Expected Move — 12.3%Monthly Statistics Metric Avg Min Max Open Close Price $0.57 $0.54 $0.62 $0.54 $0.62 Max Pain $0.55 $0.50 $0.57 $0.50 $0.57 ATM IV 35.2% 30.1% 42.4% 42.4% 37.1% Expected Move 10.1% 8.6% 12.3% 12.3% 11.3% HV 20d 41.7% 28.1% 58.7% 58.1% 28.1% HV 60d 38.3% 37.7% 38.8% 37.7% 38.5% IV Rank 55.4% 32.9% 87.1% 87.1% 63.8% IV Percentile 71.0% 47.6% 97.6% 97.6% 79.4% Term Structure 0.3% -1.9% 6.0% -1.6% 6.0% VWIV 35.8% 30.3% 46.5% 46.5% 40.6% Skew 25d 4.4% 0.5% 6.0% 0.5% 6.0% Skew 10d 10.0% 6.5% 13.4% 7.1% 12.2% Call IV 25d 34.3% 29.1% 44.7% 44.7% 34.8% Put IV 25d 38.8% 33.9% 45.2% 45.2% 40.8% Bid-Ask Spread % 11.63 7.54 16.37 16.37 12.67 Gamma HHI 0.15 0.11 0.22 0.12 0.13 Net GEX 3.2M 2.1M 4.1M 3.2M 2.6M Net DEX -91.7M -131.9M -59.8M -64.9M -111.0M Net VEX -484.7K -534.6K -452.5K -534.6K -487.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.77 0.38 2.87 1.55 2.46 Total Volume 742,493.333 171,040 1,512,960 928,520 1,512,960 Total OI 6,568,236.19 5,057,160 7,362,560 7,218,240 5,913,520
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 2015-09-01 $0.54 $0.50 42.4% 12.3% 58.1% 87.1% 46.5% 0.5% -1.6% 3.2M -64.9M -534.6K 1.55 16.37 N/A N/A 364,720 563,800 4,643,000 2,575,240 2015-09-02 $0.55 $0.50 38.0% 10.7% 58.7% 67.9% 40.1% 4.0% -0.7% 3.8M -84.5M -529.3K 2.08 11.15 N/A N/A 254,840 530,000 4,645,840 2,692,560 2015-09-03 $0.56 $0.55 35.4% 10.3% 58.7% 56.5% 35.6% 1.8% 0.3% 4.0M -88.7M -519.6K 2.39 10.09 N/A N/A 219,360 523,200 4,612,640 2,698,160 2015-09-04 $0.55 $0.55 37.3% 10.6% 42.0% 64.8% 36.0% 5.3% 0.4% 3.3M -70.4M -515.2K 2.06 9.76 N/A N/A 245,960 506,520 4,639,880 2,722,680 2015-09-08 $0.57 $0.55 36.2% 10.1% 42.6% 59.9% 35.3% 3.7% -1.6% 4.1M -103.3M -496.0K 0.49 9.99 N/A N/A 122,200 59,320 4,546,920 2,637,320 2015-09-09 $0.56 $0.55 37.4% 10.4% 43.1% 65.2% 37.8% 4.5% -1.6% 3.5M -85.9M -487.1K 2.29 11.64 N/A N/A 209,000 478,040 4,556,640 2,660,720 2015-09-10 $0.56 $0.55 36.1% 10.2% 43.5% 59.4% 38.1% 4.5% -0.3% 3.8M -97.6M -490.4K 1.51 12.81 N/A N/A 331,840 500,120 4,568,400 2,694,160 2015-09-11 $0.57 $0.55 36.3% 10.2% 43.5% 60.3% 34.9% 5.3% -1.9% 3.6M -102.4M -488.6K 1.25 10.97 N/A N/A 371,040 462,160 4,593,360 2,727,320 2015-09-14 $0.57 $0.55 35.9% 10.2% 43.5% 58.6% 35.2% 4.6% 0.6% 3.9M -102.9M -476.4K 1.84 7.54 N/A N/A 241,360 444,040 4,486,440 2,649,280 2015-09-15 $0.57 $0.55 33.7% 9.7% 43.7% 48.7% 34.2% 4.6% 0.4% 3.9M -113.1M -471.2K 0.38 9.87 N/A N/A 123,600 47,440 4,497,400 2,673,440 2015-09-16 $0.58 $0.55 32.5% 9.3% 43.6% 43.5% 33.3% 4.9% 0.4% 4.0M -120.9M -464.8K 2.32 11.27 N/A N/A 177,600 411,760 4,527,040 2,675,240 2015-09-17 $0.58 $0.55 31.8% 9.2% 43.6% 40.2% 30.6% 5.4% -1.8% 3.9M -129.3M -455.9K 1.03 15.88 N/A N/A 426,160 439,200 4,544,680 2,676,880 2015-09-18 $0.58 $0.55 31.4% 9.0% 41.5% 38.5% 32.0% 5.7% -0.6% 2.3M -131.9M -460.5K 1.58 12.97 N/A N/A 293,720 465,120 4,621,000 2,686,680 2015-09-21 $0.59 $0.55 30.1% 8.6% 39.7% 32.9% 30.3% 4.9% 0.6% 2.6M -76.6M -452.5K 1.90 9.90 N/A N/A 225,040 427,280 3,036,720 2,020,440 2015-09-22 $0.57 $0.55 32.8% 9.4% 39.7% 44.7% 32.2% 3.6% -0.3% 2.1M -59.8M -458.1K 1.18 9.54 N/A N/A 340,960 400,920 3,068,360 2,072,120 2015-09-23 $0.58 $0.55 32.2% 9.2% 38.4% 42.1% 31.9% 4.8% 0.0% 2.4M -66.3M -457.3K 1.50 8.16 N/A N/A 256,080 384,200 3,196,640 2,092,240 2015-09-24 $0.59 $0.55 33.1% 9.5% 32.5% 46.1% 33.9% 4.8% -0.3% 2.7M -78.3M -459.8K 2.87 13.89 N/A N/A 175,400 503,080 3,233,320 2,111,880 2015-09-25 $0.59 $0.55 34.5% 9.9% 30.3% 52.4% 35.6% 4.0% -0.6% 2.2M -82.0M -477.3K 1.23 12.39 N/A N/A 485,640 595,240 3,263,960 2,234,600 2015-09-28 $0.58 $0.56 37.3% 11.0% 30.6% 64.6% 39.8% 5.1% 3.4% 2.2M -75.1M -489.8K 2.72 13.71 N/A N/A 224,960 611,120 3,346,280 2,255,920 2015-09-29 $0.59 $0.57 37.6% 11.0% 30.5% 65.9% 38.7% 5.4% 5.8% 2.1M -80.3M -506.4K 2.49 13.60 N/A N/A 182,520 454,840 3,398,280 2,435,760 2015-09-30 $0.62 $0.57 37.1% 11.3% 28.1% 63.8% 40.6% 6.0% 6.0% 2.6M -111.0M -487.6K 2.46 12.67 N/A N/A 437,000 1,075,960 3,444,560 2,468,960
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