NVDA Options History — October 2016

In October 2016, NVDA traded between $1.63 and $1.81. ATM implied volatility averaged 42.9%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 19.4% (HV 20d: 23.4%). Max pain ranged from $1.59 to $1.63. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.17.

Notable Days

2016-10-13: Highest Volume — 1,812,680 contracts
2016-10-10: Largest IV spike — 15.9% change
2016-10-31: Highest IV Rank — 55.8%
2016-10-31: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$1.70	$1.63	$1.81	$1.71	$1.78
Max Pain	$1.62	$1.59	$1.63	$1.59	$1.63
ATM IV	42.9%	33.0%	48.8%	33.0%	48.8%
Expected Move	12.8%	8.7%	16.8%	8.9%	16.8%
HV 20d	23.4%	18.9%	29.8%	29.7%	24.0%
HV 60d	25.7%	25.0%	26.7%	25.7%	26.4%
IV Rank	41.1%	16.4%	55.8%	16.4%	55.8%
IV Percentile	75.6%	48.8%	92.1%	48.8%	92.1%
Term Structure	1.5%	-3.6%	15.4%	11.7%	-1.8%
VWIV	45.4%	31.8%	62.4%	32.1%	62.4%
Skew 25d	3.2%	1.8%	4.2%	2.8%	3.3%
Skew 10d	6.5%	0.8%	11.2%	7.1%	7.6%
Call IV 25d	41.7%	30.7%	47.2%	32.8%	46.7%
Put IV 25d	44.9%	33.3%	50.9%	35.6%	50.0%
Bid-Ask Spread %	15.94	6.23	24.03	7.57	15.94
Gamma HHI	0.13	0.08	0.18	0.16	0.09
Net GEX	9.1M	-1.3M	17.1M	10.1M	6.3M
Net DEX	-619.1M	-728.7M	-464.9M	-719.9M	-613.1M
Net VEX	-2.0M	-2.2M	-1.8M	-2.2M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.61	1.77	1.03	1.77
Total Volume	1,340,352.381	920,160	1,812,680	1,257,440	1,183,320
Total OI	14,587,508.571	11,884,680	16,235,280	14,052,560	12,738,480

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
2016-10-03	$1.71	$1.59	33.0%	8.9%	29.7%	16.4%	32.1%	2.8%	11.7%	10.1M	-719.9M	-2.2M	1.03	7.57	N/A	N/A	620,160	637,280	6,803,880	7,248,680
2016-10-04	$1.71	$1.59	34.1%	9.1%	29.8%	19.2%	33.6%	2.5%	13.0%	10.0M	-707.2M	-2.2M	1.34	11.12	N/A	N/A	605,880	814,920	6,943,720	7,461,520
2016-10-05	$1.70	$1.59	33.8%	8.7%	29.2%	18.3%	31.8%	2.0%	13.3%	10.4M	-691.4M	-2.2M	1.14	12.01	N/A	N/A	575,960	655,640	7,097,320	7,711,520
2016-10-06	$1.68	$1.63	35.9%	13.3%	29.8%	23.6%	45.8%	2.1%	15.4%	6.9M	-621.1M	-2.2M	1.33	10.11	N/A	N/A	660,360	875,360	7,138,360	7,887,880
2016-10-07	$1.67	$1.63	37.0%	13.0%	23.2%	26.5%	44.0%	2.6%	14.9%	-1.3M	-572.1M	-2.2M	1.55	10.43	N/A	N/A	531,960	825,840	7,199,640	8,157,160
2016-10-10	$1.68	$1.63	42.9%	12.7%	22.7%	41.2%	46.1%	4.0%	-2.1%	10.4M	-613.1M	-2.1M	1.28	11.62	N/A	N/A	621,840	796,560	6,948,640	7,600,320
2016-10-11	$1.65	$1.63	45.1%	12.7%	22.7%	46.6%	44.1%	4.0%	-1.4%	7.9M	-527.8M	-2.1M	1.07	6.23	N/A	N/A	629,320	676,280	7,127,880	7,988,160
2016-10-12	$1.66	$1.63	47.3%	12.9%	22.7%	52.3%	44.2%	3.1%	-2.2%	9.9M	-564.0M	-2.2M	1.29	10.88	N/A	N/A	520,040	672,840	7,228,800	8,136,360
2016-10-13	$1.63	$1.63	48.0%	13.1%	20.3%	53.9%	46.6%	3.5%	-3.2%	4.2M	-464.9M	-2.1M	1.14	13.80	N/A	N/A	846,200	966,480	7,305,080	8,256,440
2016-10-14	$1.65	$1.63	47.1%	12.9%	20.4%	51.7%	44.7%	3.9%	-2.4%	17.1M	-543.3M	-2.1M	1.30	20.71	N/A	N/A	619,320	804,120	7,423,880	8,413,280
2016-10-17	$1.64	$1.63	46.1%	13.0%	20.5%	49.3%	46.2%	3.4%	-2.1%	8.0M	-491.4M	-2.0M	1.49	22.22	N/A	N/A	514,440	766,320	7,037,680	8,178,280
2016-10-18	$1.67	$1.63	45.7%	13.0%	20.8%	48.2%	44.1%	4.2%	-2.9%	12.5M	-576.6M	-2.0M	1.10	22.60	N/A	N/A	509,800	558,880	7,171,520	8,468,880
2016-10-19	$1.66	$1.63	44.2%	12.7%	18.9%	44.4%	44.3%	3.7%	-2.0%	14.7M	-584.6M	-1.9M	1.09	24.03	N/A	N/A	440,480	479,680	7,305,480	8,594,040
2016-10-20	$1.69	$1.63	43.9%	12.7%	19.7%	43.6%	44.5%	3.1%	-2.0%	16.3M	-680.9M	-1.9M	0.65	20.83	N/A	N/A	899,440	586,040	7,342,520	8,658,000
2016-10-21	$1.69	$1.63	43.2%	12.6%	19.7%	41.9%	47.9%	3.2%	-2.1%	5.4M	-677.6M	-1.9M	1.01	22.16	N/A	N/A	608,040	617,080	7,490,480	8,744,800
2016-10-24	$1.77	$1.63	43.3%	12.8%	24.5%	42.2%	46.8%	3.8%	-3.6%	8.8M	-656.5M	-1.8M	0.82	23.83	N/A	N/A	920,920	755,840	5,735,400	6,149,280
2016-10-25	$1.79	$1.63	43.3%	13.4%	22.7%	42.2%	48.1%	3.3%	-2.1%	10.0M	-709.8M	-1.8M	0.61	21.27	N/A	N/A	841,520	512,880	5,921,840	6,511,880
2016-10-26	$1.81	$1.63	44.2%	13.8%	22.7%	44.3%	49.6%	1.8%	-2.7%	12.5M	-728.7M	-1.9M	1.37	17.95	N/A	N/A	594,880	816,680	6,259,320	6,648,560
2016-10-27	$1.77	$1.63	46.3%	14.8%	24.3%	49.7%	53.1%	2.5%	-1.9%	7.9M	-638.2M	-2.0M	1.13	15.62	N/A	N/A	618,360	698,520	6,325,600	7,119,360
2016-10-28	$1.76	$1.63	47.1%	15.1%	23.8%	51.7%	53.9%	4.2%	-2.7%	3.0M	-619.8M	-2.0M	1.01	13.80	N/A	N/A	631,520	636,400	6,452,160	7,405,600
2016-10-31	$1.78	$1.63	48.8%	16.8%	24.0%	55.8%	62.4%	3.3%	-1.8%	6.3M	-613.1M	-2.1M	1.77	15.94	N/A	N/A	427,400	755,920	6,005,520	6,732,960