NVDA Options History — September 2016

In September 2016, NVDA traded between $1.49 and $1.71. ATM implied volatility averaged 31.2%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 2.9% (HV 20d: 28.3%). Max pain ranged from $1.38 to $1.59. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.93.

Notable Days

2016-09-09: Highest Volume — 3,337,600 contracts
2016-09-09: Largest IV spike — 13.2% change
2016-09-13: Highest IV Rank — 22.6%
2016-09-13: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.59	$1.49	$1.71	$1.58	$1.71
Max Pain	$1.50	$1.38	$1.59	$1.38	$1.59
ATM IV	31.2%	27.5%	35.5%	29.5%	31.6%
Expected Move	9.0%	7.8%	10.4%	8.3%	8.7%
HV 20d	28.3%	25.6%	31.4%	26.3%	30.1%
HV 60d	27.2%	25.9%	29.1%	26.8%	26.6%
IV Rank	12.0%	2.6%	22.6%	7.7%	12.9%
IV Percentile	32.8%	4.0%	56.3%	19.4%	40.5%
Term Structure	1.2%	-0.2%	4.4%	0.1%	3.5%
VWIV	32.2%	28.4%	36.3%	29.2%	31.8%
Skew 25d	3.0%	1.4%	4.6%	2.6%	3.1%
Skew 10d	6.1%	2.5%	8.5%	6.3%	4.8%
Call IV 25d	30.5%	26.4%	34.4%	28.9%	29.7%
Put IV 25d	33.4%	29.9%	38.0%	31.5%	32.8%
Bid-Ask Spread %	9.75	4.48	16.35	9.79	11.11
Gamma HHI	0.23	0.10	0.74	0.23	0.12
Net GEX	15.6M	3.0M	65.8M	17.9M	11.9M
Net DEX	-553.3M	-788.7M	-319.2M	-591.9M	-788.7M
Net VEX	-2.1M	-2.2M	-2.1M	-2.2M	-2.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.53	1.50	0.53	0.67
Total Volume	1,697,775.238	1,067,320	3,337,600	2,110,040	2,053,880
Total OI	14,651,030.476	12,737,360	16,477,560	14,231,880	15,047,920

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
2016-09-01	$1.58	$1.38	29.5%	8.3%	26.3%	7.7%	29.2%	2.6%	0.1%	17.9M	-591.9M	-2.2M	0.53	9.79	N/A	N/A	1,380,440	729,600	7,026,360	7,205,520
2016-09-02	$1.56	$1.38	29.6%	7.9%	26.5%	8.0%	28.8%	1.6%	0.6%	21.0M	-558.5M	-2.1M	1.04	8.75	N/A	N/A	1,078,480	1,119,400	7,220,680	7,296,960
2016-09-06	$1.58	$1.50	29.5%	8.8%	26.5%	7.8%	31.6%	1.4%	0.2%	14.3M	-594.4M	-2.1M	0.73	9.17	N/A	N/A	926,520	676,520	6,987,840	7,416,360
2016-09-07	$1.56	$1.50	30.4%	9.2%	27.1%	9.9%	31.9%	1.5%	0.1%	11.2M	-532.3M	-2.1M	0.69	15.56	N/A	N/A	901,880	625,640	7,146,360	7,689,560
2016-09-08	$1.57	$1.50	30.1%	8.9%	26.9%	9.2%	31.4%	1.5%	0.2%	14.6M	-551.2M	-2.2M	0.54	7.24	N/A	N/A	936,880	504,560	7,277,320	7,841,920
2016-09-09	$1.49	$1.50	34.1%	9.9%	31.4%	19.2%	34.2%	2.9%	-0.2%	3.2M	-319.2M	-2.2M	0.66	15.38	N/A	N/A	2,009,680	1,327,920	7,525,240	7,892,800
2016-09-12	$1.52	$1.50	34.8%	10.2%	25.6%	20.8%	35.9%	3.1%	0.8%	6.0M	-404.1M	-2.1M	1.00	11.24	N/A	N/A	917,920	916,240	7,186,400	7,679,640
2016-09-13	$1.50	$1.50	35.5%	10.4%	26.0%	22.6%	36.3%	3.6%	0.8%	3.0M	-341.8M	-2.2M	0.94	11.97	N/A	N/A	679,440	641,640	7,384,960	7,981,520
2016-09-14	$1.51	$1.50	34.1%	10.0%	26.2%	19.2%	35.3%	3.2%	0.8%	3.6M	-366.1M	-2.1M	1.50	10.99	N/A	N/A	583,840	876,000	7,417,440	8,106,040
2016-09-15	$1.57	$1.50	32.7%	9.4%	28.5%	15.7%	34.3%	3.4%	-0.1%	12.6M	-561.5M	-2.1M	1.01	10.31	N/A	N/A	1,182,480	1,196,560	7,467,000	8,186,920
2016-09-16	$1.58	$1.50	31.1%	9.0%	28.1%	11.5%	32.3%	2.6%	0.1%	19.9M	-592.7M	-2.1M	0.83	16.35	N/A	N/A	934,320	771,320	7,729,120	8,748,440
2016-09-19	$1.59	$1.50	32.4%	9.3%	28.2%	14.8%	33.6%	3.2%	-0.1%	11.6M	-520.2M	-2.1M	0.67	6.50	N/A	N/A	1,167,920	781,040	6,439,240	6,298,120
2016-09-20	$1.58	$1.50	32.4%	9.3%	28.4%	14.8%	32.6%	3.0%	0.3%	11.2M	-485.7M	-2.1M	1.16	10.05	N/A	N/A	623,640	720,640	6,702,480	6,683,000
2016-09-21	$1.62	$1.50	30.4%	8.7%	29.7%	9.9%	33.3%	3.2%	0.8%	19.4M	-604.5M	-2.2M	1.33	9.87	N/A	N/A	594,280	791,640	6,880,600	7,045,760
2016-09-22	$1.63	$1.50	28.5%	8.1%	29.1%	5.3%	29.8%	2.9%	0.9%	26.0M	-614.9M	-2.2M	1.14	4.48	N/A	N/A	643,520	733,800	6,888,760	7,267,600
2016-09-23	$1.62	$1.50	27.5%	7.8%	28.9%	2.6%	28.4%	3.5%	1.0%	65.8M	-606.4M	-2.1M	1.12	6.35	N/A	N/A	609,160	680,200	7,052,920	7,466,480
2016-09-26	$1.61	$1.50	29.8%	8.3%	29.1%	8.5%	30.4%	3.5%	4.4%	9.8M	-531.4M	-2.1M	1.11	4.87	N/A	N/A	579,440	643,520	6,609,040	7,191,840
2016-09-27	$1.66	$1.50	30.5%	8.6%	30.9%	10.1%	31.1%	4.6%	4.1%	14.1M	-666.6M	-2.2M	1.03	7.80	N/A	N/A	902,520	932,800	6,795,080	7,361,760
2016-09-28	$1.67	$1.55	30.3%	8.5%	30.7%	9.5%	31.2%	3.8%	3.6%	14.5M	-665.7M	-2.2M	1.17	8.10	N/A	N/A	492,520	574,800	6,894,880	7,748,840
2016-09-29	$1.69	$1.57	30.9%	8.7%	30.8%	11.2%	31.8%	3.8%	3.1%	15.4M	-722.4M	-2.2M	0.73	8.78	N/A	N/A	697,920	512,760	7,018,640	7,864,280
2016-09-30	$1.71	$1.59	31.6%	8.7%	30.1%	12.9%	31.8%	3.1%	3.5%	11.9M	-788.7M	-2.2M	0.67	11.11	N/A	N/A	1,233,440	820,440	7,057,040	7,990,880