NVDA Options History — April 2016

In April 2016, NVDA traded between $0.89 and $0.93. ATM implied volatility averaged 37.7%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 20.8% (HV 20d: 16.9%). Max pain ranged from $0.78 to $0.88. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.06.

Notable Days

2016-04-06: Highest Volume — 1,935,040 contracts
2016-04-11: Largest IV spike — 13.6% change
2016-04-29: Highest IV Rank — 46.2%
2016-04-29: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$0.91	$0.89	$0.93	$0.90	$0.89
Max Pain	$0.87	$0.78	$0.88	$0.78	$0.88
ATM IV	37.7%	32.1%	42.9%	32.1%	42.9%
Expected Move	11.5%	9.3%	13.4%	9.3%	13.4%
HV 20d	16.9%	13.6%	19.7%	19.0%	19.7%
HV 60d	34.9%	32.0%	39.4%	39.4%	32.4%
IV Rank	34.4%	21.6%	46.2%	21.6%	46.2%
IV Percentile	66.6%	38.1%	84.5%	39.3%	84.5%
Term Structure	0.9%	-3.1%	10.4%	3.1%	-3.1%
VWIV	40.3%	32.7%	46.5%	32.7%	46.5%
Skew 25d	4.6%	2.5%	6.4%	4.2%	5.2%
Skew 10d	10.9%	5.0%	16.8%	16.8%	8.9%
Call IV 25d	35.7%	26.7%	41.4%	29.2%	41.4%
Put IV 25d	40.2%	31.3%	46.6%	33.4%	46.6%
Bid-Ask Spread %	10.19	7.58	15.83	14.86	10.71
Gamma HHI	0.12	0.09	0.19	0.13	0.09
Net GEX	6.2M	3.5M	10.2M	8.4M	3.8M
Net DEX	-217.6M	-295.1M	-133.6M	-276.1M	-133.6M
Net VEX	-939.6K	-972.9K	-895.9K	-961.5K	-961.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.34	1.79	0.41	0.81
Total Volume	765,158.095	472,160	1,935,040	952,840	822,800
Total OI	7,702,939.048	6,393,960	9,000,720	8,472,520	7,200,720

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
2016-04-01	$0.90	$0.78	32.1%	9.3%	19.0%	21.6%	32.7%	4.2%	3.1%	8.4M	-276.1M	-961.5K	0.41	14.86	N/A	N/A	676,520	276,320	4,976,560	3,495,960
2016-04-04	$0.89	$0.85	32.1%	11.2%	19.4%	21.6%	39.5%	4.3%	6.7%	8.8M	-258.9M	-972.9K	0.40	12.94	N/A	N/A	588,080	236,680	5,069,800	2,966,760
2016-04-05	$0.89	$0.85	33.3%	11.3%	19.0%	24.2%	39.4%	3.3%	7.6%	9.3M	-256.9M	-971.7K	0.34	9.83	N/A	N/A	775,680	261,640	5,135,840	3,034,080
2016-04-06	$0.90	$0.88	32.7%	11.0%	17.2%	23.0%	38.6%	2.5%	9.4%	10.0M	-262.0M	-966.2K	0.54	15.83	N/A	N/A	1,254,920	680,120	5,178,600	3,118,160
2016-04-07	$0.89	$0.88	32.1%	11.4%	17.8%	21.6%	40.2%	3.3%	10.4%	10.2M	-237.0M	-966.4K	1.11	9.08	N/A	N/A	457,400	505,640	5,071,360	3,558,240
2016-04-08	$0.89	$0.88	33.3%	10.9%	17.7%	24.3%	39.0%	4.6%	10.2%	7.3M	-255.6M	-942.6K	1.04	7.70	N/A	N/A	413,000	430,480	5,171,440	3,829,280
2016-04-11	$0.90	$0.88	37.8%	11.3%	17.3%	34.7%	39.5%	5.0%	-0.7%	7.1M	-231.9M	-932.7K	1.36	9.40	N/A	N/A	376,880	512,000	4,647,680	3,754,400
2016-04-12	$0.90	$0.88	39.2%	11.3%	17.4%	37.8%	40.2%	5.1%	-1.4%	7.1M	-226.5M	-924.3K	1.48	9.15	N/A	N/A	294,240	436,920	4,650,280	3,836,440
2016-04-13	$0.92	$0.88	39.8%	11.0%	18.3%	39.2%	37.9%	6.4%	-1.6%	9.3M	-267.7M	-924.9K	0.80	9.56	N/A	N/A	373,040	299,960	4,803,240	3,877,480
2016-04-14	$0.92	$0.88	39.0%	10.9%	16.1%	37.4%	38.1%	4.6%	-1.3%	8.0M	-270.6M	-912.8K	0.97	8.96	N/A	N/A	266,280	258,040	4,784,480	3,933,000
2016-04-15	$0.93	$0.88	39.2%	11.0%	15.6%	37.8%	39.1%	4.7%	-1.2%	4.4M	-295.1M	-923.8K	1.37	9.21	N/A	N/A	328,880	451,720	4,837,000	3,973,320
2016-04-18	$0.92	$0.88	39.3%	11.1%	13.6%	37.9%	39.5%	4.7%	-1.7%	4.1M	-194.0M	-895.9K	1.27	7.58	N/A	N/A	232,760	295,280	3,819,760	2,574,200
2016-04-19	$0.91	$0.88	40.1%	11.4%	16.0%	39.8%	40.7%	5.0%	-1.8%	4.4M	-173.4M	-936.2K	1.04	9.11	N/A	N/A	293,720	304,280	3,919,560	2,688,920
2016-04-20	$0.91	$0.88	40.0%	11.5%	16.0%	39.7%	40.2%	4.6%	-2.6%	4.1M	-179.7M	-926.8K	1.48	9.71	N/A	N/A	190,400	281,760	3,959,360	2,791,360
2016-04-21	$0.91	$0.88	39.7%	11.5%	15.2%	39.0%	40.6%	4.5%	-2.6%	3.9M	-175.4M	-933.0K	0.92	10.24	N/A	N/A	285,560	261,600	3,969,600	2,839,840
2016-04-22	$0.91	$0.88	39.6%	11.6%	15.4%	38.7%	40.8%	4.9%	-2.9%	3.6M	-167.0M	-943.6K	1.06	9.36	N/A	N/A	279,840	297,760	4,012,120	2,871,800
2016-04-25	$0.91	$0.88	40.3%	12.2%	15.2%	40.2%	41.8%	4.9%	-2.5%	4.0M	-173.7M	-930.8K	1.38	9.20	N/A	N/A	206,120	284,520	3,891,560	2,774,680
2016-04-26	$0.91	$0.88	39.3%	12.2%	14.4%	38.1%	42.9%	5.2%	-1.7%	4.3M	-175.7M	-935.8K	1.79	7.91	N/A	N/A	223,360	399,040	3,970,720	2,809,760
2016-04-27	$0.93	$0.88	39.7%	12.3%	15.6%	38.9%	44.4%	4.2%	-2.3%	4.5M	-197.8M	-920.8K	1.45	12.98	N/A	N/A	284,760	412,440	3,952,320	2,909,000
2016-04-28	$0.90	$0.88	40.4%	12.8%	18.9%	40.5%	44.4%	5.0%	-1.8%	3.5M	-160.7M	-947.5K	1.17	10.57	N/A	N/A	256,640	301,240	4,040,720	3,062,320
2016-04-29	$0.89	$0.88	42.9%	13.4%	19.7%	46.2%	46.5%	5.2%	-3.1%	3.8M	-133.6M	-961.6K	0.81	10.71	N/A	N/A	454,440	368,360	4,097,640	3,103,080