NVDA Options History — November 2016

In November 2016, NVDA traded between $1.69 and $2.35. ATM implied volatility averaged 41.5%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 33.9% (HV 20d: 75.3%). Max pain ranged from $1.50 to $2.13. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.08.

Notable Days

2016-11-11: Highest Volume — 8,281,120 contracts
2016-11-11: Largest IV drop — 23.7% change
2016-11-03: Highest IV Rank — 67.8%
2016-11-02: Largest Expected Move — 19.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.08	$1.69	$2.35	$1.73	$2.34
Max Pain	$1.75	$1.50	$2.13	$1.63	$2.13
ATM IV	41.5%	29.6%	53.5%	53.5%	29.6%
Expected Move	12.0%	8.8%	19.1%	19.0%	8.8%
HV 20d	75.3%	26.8%	104.5%	26.8%	102.2%
HV 60d	49.4%	27.1%	63.5%	27.4%	63.1%
IV Rank	37.6%	7.9%	67.8%	67.6%	7.9%
IV Percentile	65.8%	17.5%	96.8%	96.8%	17.5%
Term Structure	-1.1%	-3.5%	0.8%	-2.7%	0.2%
VWIV	43.6%	31.9%	68.6%	67.3%	31.9%
Skew 25d	3.0%	1.7%	4.9%	3.4%	2.4%
Skew 10d	6.5%	3.9%	9.9%	8.1%	5.6%
Call IV 25d	40.8%	29.0%	52.4%	51.6%	29.0%
Put IV 25d	43.8%	31.4%	56.8%	55.0%	31.4%
Bid-Ask Spread %	20.05	5.29	41.40	13.50	16.55
Gamma HHI	0.11	0.08	0.20	0.08	0.09
Net GEX	6.9M	62.7K	15.3M	1.8M	11.5M
Net DEX	-857.0M	-1.46B	-406.7M	-487.7M	-827.0M
Net VEX	-2.2M	-2.6M	-1.8M	-2.1M	-2.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.57	1.68	0.90	1.68
Total Volume	2,906,076.19	845,280	8,281,120	1,085,360	2,331,240
Total OI	14,877,603.81	12,489,440	18,991,640	13,217,080	15,211,320

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
2016-11-01	$1.73	$1.63	53.5%	19.0%	26.8%	67.6%	67.3%	3.4%	-2.7%	1.8M	-487.7M	-2.1M	0.90	13.50	N/A	N/A	572,480	512,880	6,091,920	7,125,160
2016-11-02	$1.72	$1.63	52.5%	19.1%	26.8%	65.1%	68.6%	3.8%	-2.8%	1.2M	-478.6M	-2.2M	0.84	17.58	N/A	N/A	458,480	386,800	6,238,560	7,313,280
2016-11-03	$1.70	$1.63	53.5%	13.8%	26.8%	67.8%	49.3%	4.4%	-3.5%	62.7K	-430.9M	-2.2M	0.93	35.21	N/A	N/A	510,760	473,320	6,255,200	7,424,040
2016-11-04	$1.69	$1.63	52.6%	13.7%	26.8%	65.5%	49.1%	4.9%	-2.8%	2.5M	-406.7M	-2.2M	0.91	41.40	N/A	N/A	737,360	670,960	6,346,600	7,465,120
2016-11-07	$1.78	$1.50	49.9%	13.4%	32.3%	58.7%	49.3%	3.6%	-2.8%	3.4M	-575.9M	-2.1M	1.11	38.73	N/A	N/A	676,800	749,600	5,906,680	6,582,760
2016-11-08	$1.78	$1.50	49.2%	13.3%	31.6%	57.0%	46.7%	3.4%	-2.2%	4.1M	-590.2M	-2.1M	1.07	33.47	N/A	N/A	424,440	455,440	6,108,600	6,806,000
2016-11-09	$1.74	$1.50	50.2%	13.8%	32.8%	59.4%	48.9%	3.7%	-2.0%	2.6M	-526.1M	-2.1M	0.93	7.64	N/A	N/A	735,160	682,280	6,240,760	7,038,320
2016-11-10	$1.69	$1.50	50.9%	13.9%	34.0%	61.1%	50.2%	3.6%	-2.7%	196.5K	-423.3M	-2.1M	1.40	23.82	N/A	N/A	1,535,680	2,148,960	6,548,560	7,402,160
2016-11-11	$2.21	$1.63	38.8%	11.3%	100.3%	31.0%	43.7%	3.4%	0.8%	6.0M	-1.46B	-1.8M	0.80	7.06	N/A	N/A	4,604,520	3,676,600	7,463,800	8,795,440
2016-11-14	$2.09	$1.63	40.5%	11.6%	103.0%	35.1%	43.5%	3.9%	-0.7%	4.0M	-988.2M	-2.0M	1.26	7.33	N/A	N/A	1,697,400	2,130,400	6,508,440	8,042,560
2016-11-15	$2.16	$1.63	37.6%	10.8%	103.2%	28.0%	38.4%	2.8%	-0.5%	9.5M	-1.12B	-2.0M	1.06	6.36	N/A	N/A	1,604,040	1,700,200	6,882,960	8,629,640
2016-11-16	$2.29	$1.63	40.2%	11.5%	104.4%	34.5%	41.0%	1.8%	-0.6%	10.4M	-1.35B	-2.0M	0.87	6.27	N/A	N/A	3,075,360	2,672,840	7,082,840	9,238,600
2016-11-17	$2.31	$1.75	41.9%	12.0%	104.5%	38.6%	43.1%	1.9%	-0.5%	9.8M	-1.36B	-2.2M	1.08	7.07	N/A	N/A	2,586,000	2,791,160	7,677,520	10,229,200
2016-11-18	$2.34	$1.75	38.4%	11.0%	104.3%	29.9%	39.8%	3.0%	0.4%	7.4M	-1.40B	-2.3M	1.25	5.29	N/A	N/A	1,603,920	2,006,920	8,011,840	10,979,800
2016-11-21	$2.33	$1.75	34.4%	9.7%	104.0%	20.0%	36.6%	2.1%	-0.4%	8.2M	-1.09B	-2.4M	1.23	23.12	N/A	N/A	1,407,320	1,728,920	6,692,880	8,371,200
2016-11-22	$2.34	$1.88	32.1%	9.0%	104.0%	14.3%	32.7%	2.5%	-0.1%	9.5M	-1.12B	-2.4M	0.57	22.84	N/A	N/A	2,156,680	1,229,760	7,054,640	8,941,800
2016-11-23	$2.35	$2.08	31.9%	9.1%	104.0%	13.5%	32.8%	1.7%	0.1%	14.8M	-854.3M	-2.4M	1.05	23.80	N/A	N/A	1,603,160	1,681,560	6,076,080	9,072,400
2016-11-25	$2.35	$2.13	32.1%	9.2%	103.3%	14.1%	34.9%	1.8%	-0.3%	15.3M	-869.0M	-2.5M	1.13	31.76	N/A	N/A	1,043,840	1,179,520	6,408,200	9,370,600
2016-11-28	$2.35	$2.13	30.9%	9.1%	103.3%	11.3%	35.1%	2.2%	0.1%	11.4M	-830.4M	-2.5M	1.35	29.54	N/A	N/A	1,028,960	1,386,800	5,944,240	8,100,680
2016-11-29	$2.33	$2.13	30.2%	8.9%	103.5%	9.3%	33.2%	2.3%	-0.1%	10.5M	-810.2M	-2.5M	1.30	22.71	N/A	N/A	1,029,400	1,339,680	6,289,600	8,459,680
2016-11-30	$2.34	$2.13	29.6%	8.8%	102.2%	7.9%	31.9%	2.4%	0.2%	11.5M	-827.0M	-2.6M	1.68	16.55	N/A	N/A	868,360	1,462,880	6,466,880	8,744,440