NVDA Options History — October 2015 In October 2015, NVDA traded between $0.59 and $0.72. ATM implied volatility averaged 42.6%, placing in the 77.5% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 8.6% (HV 20d: 33.9%). Max pain ranged from $0.57 to $0.63. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.00.
Notable Days 2015-10-14 : Highest Volume — 1,974,840 contracts2015-10-12 : Largest IV drop — 20.2% change2015-10-09 : Highest IV Rank — 100.0%2015-10-29 : Largest Expected Move — 14.2%Monthly Statistics Metric Avg Min Max Open Close Price $0.68 $0.59 $0.72 $0.59 $0.71 Max Pain $0.60 $0.57 $0.63 $0.57 $0.63 ATM IV 42.6% 38.6% 49.5% 39.9% 42.9% Expected Move 12.3% 10.9% 14.2% 12.0% 13.8% HV 20d 33.9% 26.4% 37.0% 32.8% 26.4% HV 60d 41.1% 39.9% 42.2% 39.9% 42.2% IV Rank 77.5% 59.2% 100.0% 76.3% 75.3% IV Percentile 95.2% 84.9% 100.0% 91.7% 95.2% Term Structure -1.4% -7.3% 4.3% 3.7% -2.0% VWIV 43.4% 38.0% 50.8% 42.2% 49.1% Skew 25d 1.4% -43.0% 6.6% 4.0% 2.3% Skew 10d 8.8% 2.0% 30.0% 6.9% 6.5% Call IV 25d 43.5% 36.5% 83.5% 38.4% 43.6% Put IV 25d 44.9% 40.5% 47.5% 42.5% 45.9% Bid-Ask Spread % 29.39 9.21 87.45 59.36 16.62 Gamma HHI 0.14 0.09 0.65 0.11 0.16 Net GEX 4.1M -13.2M 6.6M 954.2K 5.9M Net DEX -204.3M -275.9M -66.1M -66.1M -240.6M Net VEX -623.2K -712.0K -487.6K -529.5K -674.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.00 0.41 3.44 3.44 1.62 Total Volume 1,064,216.364 654,560 1,974,840 1,190,480 817,080 Total OI 8,587,845.455 6,535,480 10,162,360 6,535,480 9,164,000
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 2015-10-01 $0.59 $0.57 39.9% 12.0% 32.8% 76.3% 42.2% 4.0% 3.7% 954.2K -66.1M -529.5K 3.44 59.36 N/A N/A 268,080 922,400 3,604,680 2,930,800 2015-10-02 $0.62 $0.57 39.9% 11.3% 37.0% 76.0% 39.9% 4.1% 4.3% 1.7M -111.8M -521.0K 1.11 57.70 N/A N/A 525,040 583,760 3,661,000 3,021,440 2015-10-05 $0.64 $0.57 39.6% 11.2% 36.5% 75.0% 38.8% 5.6% -1.7% 2.6M -135.3M -487.6K 0.41 10.89 N/A N/A 653,640 268,480 3,703,120 3,027,600 2015-10-06 $0.64 $0.57 39.7% 11.0% 34.9% 75.2% 38.5% 5.1% 0.0% 3.0M -158.1M -522.8K 1.25 9.47 N/A N/A 644,120 805,080 4,199,200 3,234,400 2015-10-07 $0.65 $0.57 39.7% 10.9% 33.3% 75.5% 38.0% 4.0% -0.3% 3.3M -174.6M -545.1K 2.39 11.40 N/A N/A 290,840 693,920 4,555,720 3,390,680 2015-10-08 $0.66 $0.57 42.5% 11.1% 33.2% 87.5% 38.7% 6.6% -2.2% 3.5M -186.2M -535.3K 3.23 9.97 N/A N/A 365,840 1,179,840 4,616,200 3,498,920 2015-10-09 $0.65 $0.60 49.5% 11.6% 33.9% 100.0% 39.5% -43.0% -7.3% -13.2M -155.2M -554.2K 3.24 87.45 N/A N/A 340,400 1,103,720 4,722,480 3,951,400 2015-10-12 $0.66 $0.60 39.5% 10.9% 33.9% 62.7% 39.4% 4.8% -1.9% 4.2M -185.9M -517.2K 0.47 9.21 N/A N/A 1,171,800 551,360 4,556,000 3,237,480 2015-10-13 $0.66 $0.60 39.5% 11.1% 33.9% 62.8% 38.5% 4.3% -0.7% 5.3M -203.5M -590.0K 2.61 11.70 N/A N/A 199,600 521,680 5,535,880 3,250,840 2015-10-14 $0.68 $0.60 38.6% 11.7% 35.3% 59.2% 41.0% 6.2% 3.7% 5.3M -241.0M -594.2K 0.65 18.30 N/A N/A 1,196,160 778,680 5,581,720 3,320,520 2015-10-15 $0.68 $0.60 42.8% 11.9% 35.3% 75.0% 42.4% 4.4% -1.3% 6.6M -254.1M -688.2K 1.63 19.56 N/A N/A 378,000 615,920 6,401,000 3,575,840 2015-10-16 $0.70 $0.60 42.7% 12.0% 35.2% 74.7% 42.7% 2.4% -0.5% 6.0M -275.9M -699.0K 1.02 51.44 N/A N/A 680,040 693,880 6,513,040 3,649,320 2015-10-19 $0.70 $0.63 43.0% 12.2% 35.4% 75.9% 42.7% 2.4% -3.5% 6.6M -229.4M -692.7K 2.42 41.82 N/A N/A 216,440 522,960 5,933,720 3,050,960 2015-10-20 $0.69 $0.63 44.8% 12.8% 33.4% 82.4% 46.1% 2.3% -4.2% 6.4M -216.2M -692.3K 3.11 24.99 N/A N/A 231,120 719,560 5,971,160 3,076,200 2015-10-21 $0.69 $0.63 44.5% 12.8% 33.8% 81.5% 45.6% 1.7% -2.5% 6.2M -207.7M -712.0K 2.64 49.06 N/A N/A 219,800 579,840 6,007,400 3,287,720 2015-10-22 $0.71 $0.63 44.4% 12.8% 34.9% 80.9% 45.7% 2.1% -2.4% 6.3M -249.2M -703.8K 2.06 22.98 N/A N/A 286,160 589,760 5,961,920 3,303,480 2015-10-23 $0.71 $0.63 44.1% 12.9% 34.9% 79.9% 45.8% 2.1% -3.3% 5.6M -260.0M -698.5K 2.07 47.02 N/A N/A 265,080 547,720 6,037,440 3,380,520 2015-10-26 $0.71 $0.63 45.0% 13.8% 34.5% 83.3% 48.9% 2.0% -2.4% 5.7M -242.6M -690.2K 1.87 19.66 N/A N/A 284,120 530,240 5,862,000 2,968,880 2015-10-27 $0.71 $0.63 44.6% 13.9% 34.7% 81.6% 50.2% 2.2% -1.9% 5.9M -239.7M -699.9K 2.35 22.55 N/A N/A 204,280 479,240 5,961,200 3,049,800 2015-10-28 $0.72 $0.63 44.7% 13.9% 32.7% 82.2% 49.3% 2.9% -2.4% 5.9M -252.0M -683.3K 2.69 23.71 N/A N/A 177,240 477,320 5,989,800 3,070,280 2015-10-29 $0.69 $0.63 44.4% 14.2% 30.0% 81.1% 50.8% 2.5% -2.1% 6.1M -209.9M -678.9K 1.80 21.76 N/A N/A 296,960 535,560 6,021,800 3,095,040 2015-10-30 $0.71 $0.63 42.9% 13.8% 26.4% 75.3% 49.1% 2.3% -2.0% 5.9M -240.6M -674.9K 1.62 16.62 N/A N/A 311,400 505,680 6,010,720 3,153,280
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