NVDA Options History — June 2016

In June 2016, NVDA traded between $1.13 and $1.21. ATM implied volatility averaged 29.7%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 5.1% (HV 20d: 34.7%). Max pain ranged from $1.05 to $1.15. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.63.

Notable Days

2016-06-24: Highest Volume — 2,332,800 contracts
2016-06-24: Largest IV spike — 28.3% change
2016-06-27: Highest IV Rank — 22.2%
2016-06-27: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.17	$1.13	$1.21	$1.17	$1.17
Max Pain	$1.12	$1.05	$1.15	$1.05	$1.15
ATM IV	29.7%	26.5%	35.3%	29.5%	29.5%
Expected Move	8.6%	7.6%	10.5%	8.4%	8.3%
HV 20d	34.7%	19.3%	54.6%	53.8%	29.3%
HV 60d	36.2%	35.3%	38.1%	35.6%	38.1%
IV Rank	12.3%	4.0%	22.2%	13.4%	7.6%
IV Percentile	18.2%	1.6%	49.2%	18.3%	14.3%
Term Structure	0.5%	-1.9%	4.0%	-0.7%	4.0%
VWIV	32.1%	27.3%	39.0%	30.3%	31.6%
Skew 25d	4.5%	3.2%	6.6%	3.5%	4.9%
Skew 10d	9.2%	5.8%	15.5%	6.3%	9.9%
Call IV 25d	28.0%	25.0%	32.7%	28.4%	27.0%
Put IV 25d	32.5%	29.6%	37.8%	31.8%	32.0%
Bid-Ask Spread %	11.38	8.64	18.09	11.29	13.28
Gamma HHI	0.13	0.07	0.37	0.09	0.11
Net GEX	-1.2M	-10.2M	4.2M	684.8K	1.3M
Net DEX	-293.5M	-382.7M	-153.1M	-350.1M	-257.0M
Net VEX	-1.4M	-1.7M	-1.3M	-1.3M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.63	0.72	3.10	1.49	1.54
Total Volume	1,186,936.364	731,120	2,332,800	1,380,080	972,880
Total OI	10,549,256.364	8,105,840	11,705,120	10,401,840	11,140,160

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
2016-06-01	$1.17	$1.05	29.5%	8.4%	53.8%	13.4%	30.3%	3.5%	-0.7%	684.8K	-350.1M	-1.3M	1.49	11.29	N/A	N/A	554,080	826,000	4,864,960	5,536,880
2016-06-02	$1.18	$1.07	29.4%	8.4%	52.1%	13.0%	30.6%	3.7%	-0.9%	726.5K	-366.3M	-1.3M	1.24	8.88	N/A	N/A	615,600	761,520	5,025,440	5,747,000
2016-06-03	$1.16	$1.10	28.6%	8.2%	53.0%	11.4%	29.7%	3.2%	-0.5%	-10.2M	-334.4M	-1.4M	1.58	10.28	N/A	N/A	522,560	824,080	5,172,000	5,955,320
2016-06-06	$1.16	$1.10	28.6%	8.3%	53.4%	11.2%	29.3%	3.5%	0.7%	-1.0M	-318.3M	-1.4M	1.47	8.91	N/A	N/A	371,240	547,080	5,045,360	5,690,320
2016-06-07	$1.16	$1.10	27.6%	8.2%	53.3%	8.9%	30.9%	3.6%	1.2%	-1.3M	-320.2M	-1.4M	2.16	9.45	N/A	N/A	281,560	608,720	5,121,520	5,828,280
2016-06-08	$1.15	$1.10	27.9%	8.1%	53.6%	9.6%	29.0%	3.3%	0.6%	-2.2M	-309.3M	-1.4M	1.52	8.64	N/A	N/A	387,920	591,360	5,174,800	5,989,480
2016-06-09	$1.18	$1.10	28.5%	8.4%	53.7%	10.9%	29.9%	3.8%	0.8%	223.4K	-376.5M	-1.4M	1.83	10.06	N/A	N/A	484,880	886,920	5,225,520	6,059,680
2016-06-10	$1.15	$1.15	30.1%	8.7%	54.6%	14.9%	31.1%	4.5%	0.6%	-2.2M	-297.6M	-1.4M	2.62	9.84	N/A	N/A	349,840	917,600	5,407,200	6,297,920
2016-06-13	$1.17	$1.13	31.3%	8.8%	24.9%	17.5%	32.6%	5.5%	0.6%	-744.1K	-330.8M	-1.4M	1.02	11.11	N/A	N/A	550,040	561,880	5,253,040	5,930,080
2016-06-14	$1.17	$1.13	31.0%	8.9%	23.4%	16.8%	31.7%	5.7%	0.3%	-1.1M	-337.2M	-1.4M	0.99	9.08	N/A	N/A	390,320	385,120	5,346,440	6,061,440
2016-06-15	$1.18	$1.13	30.9%	8.8%	22.5%	16.6%	32.8%	5.3%	-1.9%	821.5K	-358.9M	-1.4M	1.56	13.84	N/A	N/A	335,760	525,040	5,398,720	6,080,000
2016-06-16	$1.19	$1.13	29.4%	8.4%	19.3%	13.1%	31.7%	4.7%	0.7%	4.2M	-382.7M	-1.4M	1.55	8.71	N/A	N/A	286,680	444,440	5,464,360	6,190,200
2016-06-17	$1.17	$1.13	29.6%	8.5%	20.6%	13.7%	33.5%	4.9%	-0.1%	109.7K	-336.5M	-1.4M	1.35	13.99	N/A	N/A	525,840	710,840	5,464,120	6,206,120
2016-06-20	$1.19	$1.13	28.1%	8.1%	20.5%	10.1%	29.5%	5.2%	0.5%	-901.6K	-256.2M	-1.4M	1.69	12.71	N/A	N/A	341,080	575,360	4,191,440	3,914,400
2016-06-21	$1.18	$1.13	27.5%	8.0%	20.7%	6.2%	35.4%	4.5%	0.1%	-1.7M	-241.1M	-1.4M	1.64	9.17	N/A	N/A	360,720	590,440	4,305,520	4,070,360
2016-06-22	$1.18	$1.13	28.1%	8.3%	19.5%	7.9%	34.9%	5.1%	0.5%	-1.3M	-245.1M	-1.4M	3.10	11.71	N/A	N/A	259,280	804,960	4,480,640	4,326,360
2016-06-23	$1.21	$1.15	26.5%	7.6%	20.9%	4.0%	27.3%	4.6%	0.0%	988.0K	-305.8M	-1.4M	0.72	13.26	N/A	N/A	696,800	499,880	4,533,200	4,610,040
2016-06-24	$1.15	$1.15	34.0%	9.9%	28.5%	21.2%	35.3%	6.6%	-0.2%	-7.5M	-168.0M	-1.5M	1.26	18.09	N/A	N/A	1,032,560	1,300,240	4,949,320	4,786,800
2016-06-27	$1.13	$1.15	35.3%	10.5%	29.1%	22.2%	39.0%	5.1%	0.1%	-2.1M	-153.1M	-1.6M	2.97	15.55	N/A	N/A	565,040	1,677,560	4,994,080	4,651,800
2016-06-28	$1.15	$1.15	31.7%	9.2%	28.6%	13.2%	37.2%	4.2%	2.7%	-1.9M	-178.7M	-1.7M	1.17	12.89	N/A	N/A	528,280	618,040	5,132,320	5,477,720
2016-06-29	$1.17	$1.15	29.2%	8.5%	29.3%	6.9%	33.7%	5.0%	1.6%	-269.3K	-233.0M	-1.7M	1.36	9.65	N/A	N/A	441,720	600,840	5,220,320	5,762,960
2016-06-30	$1.17	$1.15	29.5%	8.3%	29.3%	7.6%	31.6%	4.9%	4.0%	1.3M	-257.0M	-1.7M	1.54	13.28	N/A	N/A	383,360	589,520	5,312,840	5,827,320