NVDA Options History — March 2016

In March 2016, NVDA traded between $0.79 and $0.89. ATM implied volatility averaged 30.8%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 2.2% (HV 20d: 33.0%). Max pain ranged from $0.70 to $0.78. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.03.

Notable Days

2016-03-08: Highest Volume — 1,311,840 contracts
2016-03-18: Largest IV drop — 9.3% change
2016-03-15: Highest IV Rank — 25.3%
2016-03-15: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.83	$0.79	$0.89	$0.82	$0.89
Max Pain	$0.74	$0.70	$0.78	$0.72	$0.78
ATM IV	30.8%	28.7%	33.7%	30.5%	31.1%
Expected Move	9.0%	8.2%	9.7%	8.9%	9.0%
HV 20d	33.0%	19.3%	52.3%	52.3%	19.4%
HV 60d	39.8%	39.4%	40.8%	40.8%	39.6%
IV Rank	18.5%	13.8%	25.3%	17.8%	19.3%
IV Percentile	31.6%	18.3%	49.2%	30.6%	33.3%
Term Structure	0.8%	-0.7%	4.2%	-0.2%	4.2%
VWIV	32.8%	29.9%	39.0%	31.6%	30.5%
Skew 25d	4.5%	3.6%	5.2%	4.4%	4.6%
Skew 10d	10.4%	6.7%	14.8%	11.5%	10.7%
Call IV 25d	29.1%	27.4%	32.3%	28.7%	28.9%
Put IV 25d	33.5%	31.7%	36.8%	33.1%	33.5%
Bid-Ask Spread %	13.01	8.26	20.53	12.55	13.75
Gamma HHI	0.11	0.09	0.17	0.11	0.09
Net GEX	4.6M	2.6M	7.2M	4.2M	7.2M
Net DEX	-170.1M	-256.2M	-111.4M	-152.6M	-256.2M
Net VEX	-885.6K	-965.9K	-853.2K	-858.2K	-965.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.35	3.87	0.49	0.40
Total Volume	725,521.818	384,720	1,311,840	500,960	785,200
Total OI	7,527,005.455	6,609,240	8,595,240	6,609,240	8,248,600

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
2016-03-01	$0.82	$0.72	30.5%	8.9%	52.3%	17.8%	31.6%	4.4%	-0.2%	4.2M	-152.6M	-858.2K	0.49	12.55	N/A	N/A	335,360	165,600	3,811,520	2,797,720
2016-03-02	$0.82	$0.72	29.7%	8.8%	48.9%	16.0%	31.4%	4.4%	0.8%	4.5M	-160.0M	-855.5K	0.51	12.62	N/A	N/A	254,720	130,000	3,864,520	2,820,360
2016-03-03	$0.82	$0.70	30.3%	8.9%	49.2%	17.4%	33.0%	4.1%	0.3%	4.6M	-151.3M	-862.9K	0.54	11.67	N/A	N/A	277,960	149,640	3,877,320	2,841,920
2016-03-04	$0.81	$0.72	30.2%	8.8%	49.2%	17.2%	32.2%	3.6%	0.4%	5.7M	-151.5M	-859.0K	0.87	10.58	N/A	N/A	246,440	215,120	3,933,120	2,875,160
2016-03-07	$0.81	$0.72	31.1%	9.2%	41.6%	19.2%	32.6%	4.4%	0.9%	3.9M	-135.6M	-853.2K	2.43	11.04	N/A	N/A	259,920	631,720	3,848,280	2,818,040
2016-03-08	$0.79	$0.72	31.4%	9.5%	37.6%	20.1%	39.0%	4.4%	1.2%	2.9M	-116.7M	-872.4K	3.87	14.67	N/A	N/A	269,520	1,042,320	3,922,280	3,324,160
2016-03-09	$0.79	$0.72	32.3%	9.4%	38.0%	22.0%	33.5%	5.0%	0.7%	2.6M	-111.4M	-873.8K	1.35	10.77	N/A	N/A	262,000	353,720	3,961,400	3,690,280
2016-03-10	$0.79	$0.72	32.2%	9.4%	38.0%	21.7%	36.1%	4.4%	0.8%	2.6M	-111.8M	-868.9K	1.33	12.32	N/A	N/A	235,480	312,120	3,988,720	3,722,080
2016-03-11	$0.80	$0.72	30.9%	9.0%	37.7%	18.9%	34.4%	4.9%	0.9%	3.1M	-130.9M	-859.2K	0.95	8.26	N/A	N/A	330,400	313,200	4,034,520	3,770,080
2016-03-14	$0.81	$0.72	32.6%	9.4%	37.9%	22.8%	32.0%	4.9%	-0.3%	3.4M	-132.4M	-857.6K	0.77	9.44	N/A	N/A	375,800	290,280	3,997,880	3,710,880
2016-03-15	$0.80	$0.75	33.7%	9.7%	35.6%	25.3%	34.5%	4.5%	-0.7%	4.8M	-145.6M	-903.4K	1.24	11.63	N/A	N/A	275,720	341,440	4,533,600	3,816,000
2016-03-16	$0.83	$0.75	31.6%	9.0%	35.8%	20.4%	32.3%	4.5%	0.5%	6.3M	-189.6M	-902.1K	0.76	19.31	N/A	N/A	430,600	328,840	4,592,640	3,851,280
2016-03-17	$0.82	$0.75	31.6%	9.1%	23.5%	20.5%	32.4%	4.4%	0.4%	6.6M	-181.3M	-892.3K	1.34	13.11	N/A	N/A	235,320	315,200	4,603,040	3,875,440
2016-03-18	$0.85	$0.75	28.7%	8.2%	24.8%	13.8%	29.9%	4.2%	-0.1%	4.6M	-219.8M	-870.0K	0.56	13.02	N/A	N/A	827,600	465,360	4,648,880	3,946,360
2016-03-21	$0.85	$0.75	29.0%	8.3%	22.4%	14.6%	32.5%	4.6%	1.3%	3.7M	-160.8M	-882.2K	1.45	11.02	N/A	N/A	213,520	309,560	3,746,720	3,081,960
2016-03-22	$0.85	$0.75	28.7%	8.3%	22.5%	13.9%	31.6%	4.7%	0.3%	3.4M	-162.1M	-880.7K	1.39	9.28	N/A	N/A	253,840	352,520	3,820,640	3,237,960
2016-03-23	$0.86	$0.75	30.1%	8.8%	23.0%	17.1%	31.6%	4.0%	-0.0%	3.6M	-184.4M	-893.8K	0.59	20.53	N/A	N/A	657,240	390,080	3,877,680	3,355,240
2016-03-24	$0.86	$0.78	30.8%	8.9%	23.0%	18.6%	31.8%	4.2%	0.4%	6.1M	-197.1M	-915.7K	0.52	19.59	N/A	N/A	536,560	279,240	4,106,000	3,467,440
2016-03-28	$0.87	$0.78	30.2%	8.9%	22.9%	17.3%	31.8%	4.6%	1.3%	5.5M	-207.0M	-921.3K	0.40	13.17	N/A	N/A	582,120	234,160	4,222,720	3,307,000
2016-03-29	$0.88	$0.78	29.9%	8.6%	22.7%	16.5%	31.6%	5.2%	2.7%	6.6M	-236.3M	-918.4K	0.58	14.14	N/A	N/A	431,720	248,280	4,453,920	3,321,360
2016-03-30	$0.89	$0.78	30.3%	8.9%	19.3%	17.4%	34.9%	3.9%	3.0%	6.3M	-248.4M	-917.6K	0.35	13.78	N/A	N/A	755,040	261,000	4,476,480	3,392,920
2016-03-31	$0.89	$0.78	31.1%	9.0%	19.4%	19.3%	30.5%	4.6%	4.2%	7.2M	-256.2M	-965.9K	0.40	13.75	N/A	N/A	559,400	225,800	4,785,360	3,463,240