NVDA Options History — August 2016

In August 2016, NVDA traded between $1.40 and $1.58. ATM implied volatility averaged 36.3%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 11.4% (HV 20d: 24.9%). Max pain ranged from $1.05 to $1.38. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.92.

Notable Days

2016-08-12: Highest Volume — 6,446,840 contracts
2016-08-12: Largest IV drop — 39.0% change
2016-08-02: Highest IV Rank — 58.0%
2016-08-03: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.51	$1.40	$1.58	$1.42	$1.54
Max Pain	$1.20	$1.05	$1.38	$1.23	$1.38
ATM IV	36.3%	26.5%	49.6%	49.6%	28.0%
Expected Move	10.5%	7.6%	17.0%	16.8%	7.9%
HV 20d	24.9%	20.2%	29.1%	23.4%	25.8%
HV 60d	29.3%	25.0%	38.1%	37.9%	26.5%
IV Rank	24.7%	0.2%	58.0%	58.0%	4.0%
IV Percentile	42.4%	0.8%	96.4%	96.4%	6.3%
Term Structure	-0.9%	-3.4%	1.4%	-3.2%	0.2%
VWIV	38.6%	28.1%	60.2%	59.0%	28.5%
Skew 25d	2.7%	1.5%	4.0%	2.6%	1.9%
Skew 10d	6.2%	3.2%	10.5%	4.6%	4.4%
Call IV 25d	35.5%	27.0%	48.0%	47.0%	28.1%
Put IV 25d	38.2%	29.2%	51.8%	49.6%	30.0%
Bid-Ask Spread %	15.85	5.47	31.41	13.88	12.33
Gamma HHI	0.14	0.08	0.26	0.09	0.18
Net GEX	10.8M	5.0M	22.3M	9.2M	9.3M
Net DEX	-634.4M	-1.02B	-474.4M	-540.7M	-474.4M
Net VEX	-2.0M	-2.2M	-1.7M	-1.7M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.45	2.01	0.94	0.99
Total Volume	1,970,160	1,041,360	6,446,840	1,330,760	1,298,920
Total OI	14,040,175.652	11,609,560	18,006,280	11,609,560	14,064,400

Daily Data (23 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
2016-08-01	$1.42	$1.23	49.6%	16.8%	23.4%	58.0%	59.0%	2.6%	-3.2%	9.2M	-540.7M	-1.7M	0.94	13.88	N/A	N/A	685,880	644,880	6,175,240	5,434,320
2016-08-02	$1.40	$1.23	49.6%	17.0%	24.4%	58.0%	60.2%	2.5%	-2.9%	9.3M	-513.5M	-1.8M	0.86	16.18	N/A	N/A	709,640	611,520	6,423,800	5,667,680
2016-08-03	$1.40	$1.23	48.2%	17.0%	24.5%	54.4%	59.3%	2.4%	-2.7%	8.1M	-500.6M	-1.8M	0.73	19.55	N/A	N/A	601,680	439,680	6,374,120	5,874,240
2016-08-04	$1.43	$1.05	49.2%	12.8%	24.1%	57.0%	44.9%	3.2%	-3.4%	10.7M	-565.1M	-1.8M	0.61	22.55	N/A	N/A	863,960	526,240	6,577,160	5,950,560
2016-08-05	$1.45	$1.05	48.1%	12.5%	21.5%	54.2%	44.8%	3.4%	-3.4%	10.8M	-632.3M	-1.9M	0.99	20.01	N/A	N/A	932,400	921,400	6,877,280	6,073,000
2016-08-08	$1.47	$1.05	46.5%	12.6%	20.4%	50.1%	45.3%	2.1%	-2.4%	7.3M	-607.1M	-1.8M	0.92	21.34	N/A	N/A	780,320	720,560	6,531,880	6,056,520
2016-08-09	$1.47	$1.07	48.1%	12.9%	20.2%	54.3%	46.2%	3.4%	-2.3%	8.0M	-628.4M	-1.9M	0.95	20.03	N/A	N/A	916,360	873,920	6,923,000	6,306,720
2016-08-10	$1.46	$1.07	49.5%	13.2%	20.6%	57.8%	48.2%	4.0%	-3.0%	6.6M	-598.5M	-1.9M	1.02	26.61	N/A	N/A	1,104,280	1,121,920	7,133,520	6,682,640
2016-08-11	$1.50	$1.07	47.1%	13.0%	21.6%	51.8%	46.4%	3.5%	-1.9%	8.0M	-682.8M	-2.0M	0.92	31.41	N/A	N/A	2,976,480	2,730,000	7,618,000	7,196,240
2016-08-12	$1.58	$1.10	28.7%	8.4%	26.0%	5.7%	30.4%	1.7%	0.6%	22.3M	-1.02B	-1.8M	0.67	10.95	N/A	N/A	3,865,160	2,581,680	9,208,680	8,797,600
2016-08-15	$1.57	$1.13	27.2%	7.9%	26.3%	1.9%	29.5%	2.7%	1.0%	15.4M	-874.1M	-1.9M	1.06	8.20	N/A	N/A	974,520	1,031,840	7,836,200	7,228,560
2016-08-16	$1.57	$1.13	26.5%	7.6%	26.8%	0.2%	30.8%	3.5%	1.4%	12.3M	-842.4M	-1.9M	0.96	5.47	N/A	N/A	635,440	610,280	8,111,880	7,599,080
2016-08-17	$1.53	$1.13	29.1%	8.3%	29.1%	6.6%	30.6%	3.4%	0.5%	9.3M	-723.3M	-2.0M	0.50	9.56	N/A	N/A	1,170,840	589,680	8,184,680	7,726,120
2016-08-18	$1.55	$1.13	28.9%	8.3%	27.7%	6.1%	31.1%	3.1%	-0.2%	9.6M	-815.5M	-2.1M	0.56	7.68	N/A	N/A	720,520	402,920	8,517,760	7,961,360
2016-08-19	$1.56	$1.15	29.0%	8.4%	27.0%	6.5%	37.8%	3.9%	-0.8%	10.9M	-837.8M	-2.0M	1.16	11.71	N/A	N/A	910,640	1,059,080	8,616,960	8,117,480
2016-08-22	$1.56	$1.23	27.9%	7.9%	26.6%	3.5%	28.1%	1.5%	0.4%	11.9M	-658.0M	-2.1M	0.45	14.63	N/A	N/A	1,390,680	620,320	6,947,040	5,967,000
2016-08-23	$1.57	$1.38	27.8%	8.0%	26.1%	3.4%	28.3%	1.7%	0.5%	15.2M	-587.7M	-2.1M	0.67	8.45	N/A	N/A	1,006,680	671,720	6,691,320	6,262,160
2016-08-24	$1.55	$1.38	29.2%	8.3%	26.4%	6.9%	31.9%	2.2%	0.0%	9.1M	-503.4M	-2.2M	2.01	19.42	N/A	N/A	380,560	766,240	6,841,360	6,606,320
2016-08-25	$1.54	$1.38	30.4%	8.7%	26.8%	10.0%	32.8%	2.0%	0.1%	5.0M	-475.4M	-2.1M	0.83	12.27	N/A	N/A	863,280	720,000	6,919,440	7,196,560
2016-08-26	$1.55	$1.38	29.8%	8.4%	26.4%	8.4%	31.1%	2.5%	0.4%	19.8M	-517.7M	-2.1M	1.09	19.30	N/A	N/A	855,840	934,840	6,983,920	7,335,000
2016-08-29	$1.55	$1.38	28.7%	8.1%	26.0%	5.7%	33.7%	2.6%	0.1%	9.8M	-510.3M	-2.1M	1.17	14.34	N/A	N/A	717,080	837,960	6,594,960	6,820,840
2016-08-30	$1.54	$1.38	28.1%	7.8%	25.7%	4.2%	29.5%	2.0%	0.3%	9.9M	-483.3M	-2.2M	1.11	18.69	N/A	N/A	726,960	808,880	6,823,120	7,088,320
2016-08-31	$1.54	$1.38	28.0%	7.9%	25.8%	4.0%	28.5%	1.9%	0.2%	9.3M	-474.4M	-2.1M	0.99	12.33	N/A	N/A	653,440	645,480	6,918,920	7,145,480