NVDA Options History — December 2016

In December 2016, NVDA traded between $2.19 and $2.92. ATM implied volatility averaged 39.4%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 26.2% (HV 20d: 65.6%). Max pain ranged from $1.75 to $2.38. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.94.

Notable Days

2016-12-29: Highest Volume — 13,943,840 contracts
2016-12-27: Largest IV spike — 27.9% change
2016-12-29: Highest IV Rank — 62.1%
2016-12-29: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.48	$2.19	$2.92	$2.19	$2.67
Max Pain	$2.02	$1.75	$2.38	$2.13	$2.38
ATM IV	39.4%	34.3%	51.3%	39.1%	50.8%
Expected Move	11.4%	9.9%	14.8%	11.9%	14.7%
HV 20d	65.6%	40.2%	106.4%	106.4%	51.1%
HV 60d	65.5%	64.1%	69.1%	64.9%	69.1%
IV Rank	32.4%	19.6%	62.1%	31.8%	61.1%
IV Percentile	62.4%	48.8%	95.2%	60.7%	93.7%
Term Structure	0.1%	-0.6%	1.7%	-0.5%	-0.6%
VWIV	40.4%	35.6%	52.3%	42.2%	51.8%
Skew 25d	1.8%	1.0%	2.7%	2.7%	1.3%
Skew 10d	3.7%	1.4%	5.6%	4.7%	3.2%
Call IV 25d	39.2%	33.9%	51.2%	38.4%	50.9%
Put IV 25d	41.0%	35.9%	52.7%	41.1%	52.2%
Bid-Ask Spread %	8.22	4.64	17.58	15.91	7.65
Gamma HHI	0.10	0.04	0.21	0.05	0.06
Net GEX	15.3M	-2.6M	33.3M	-2.6M	-757.0K
Net DEX	-1.08B	-1.78B	-463.2M	-463.2M	-928.7M
Net VEX	-3.3M	-4.9M	-2.7M	-2.7M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.65	1.34	0.98	0.82
Total Volume	5,333,561.905	2,817,040	13,943,840	5,650,760	9,347,800
Total OI	17,033,304.762	13,785,760	24,304,680	15,572,200	24,304,680

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
2016-12-01	$2.19	$2.13	39.1%	11.9%	106.4%	31.8%	42.2%	2.7%	-0.5%	-2.6M	-463.2M	-2.7M	0.98	15.91	N/A	N/A	2,852,600	2,798,160	6,545,320	9,026,880
2016-12-02	$2.21	$2.13	36.3%	10.9%	106.0%	24.6%	39.5%	2.7%	-0.0%	4.5M	-557.3M	-2.9M	1.11	6.68	N/A	N/A	1,501,720	1,666,520	7,311,960	9,728,800
2016-12-05	$2.29	$1.75	35.3%	10.3%	106.1%	22.2%	35.9%	2.7%	0.1%	9.3M	-779.4M	-2.8M	0.82	5.25	N/A	N/A	1,588,720	1,303,120	6,451,280	8,411,600
2016-12-06	$2.32	$1.75	34.6%	9.9%	105.2%	20.3%	36.1%	2.3%	0.6%	14.9M	-856.0M	-2.8M	0.79	5.24	N/A	N/A	1,688,240	1,331,040	6,839,880	8,717,240
2016-12-07	$2.37	$1.75	34.3%	9.9%	105.2%	19.6%	35.6%	2.1%	0.4%	25.1M	-1.01B	-2.8M	0.83	4.64	N/A	N/A	1,674,920	1,389,480	7,177,840	8,840,120
2016-12-08	$2.34	$1.88	35.9%	10.3%	104.9%	23.8%	36.9%	2.0%	0.1%	19.2M	-904.2M	-2.9M	0.65	5.07	N/A	N/A	2,040,400	1,317,040	7,358,640	9,066,560
2016-12-09	$2.29	$1.88	35.4%	10.3%	104.4%	22.5%	36.3%	2.2%	0.4%	8.3M	-741.3M	-2.9M	0.88	6.41	N/A	N/A	1,902,200	1,681,400	7,724,120	9,312,680
2016-12-12	$2.23	$1.88	38.9%	11.1%	46.1%	31.1%	39.1%	2.1%	-0.3%	5.7M	-619.9M	-2.9M	0.90	5.09	N/A	N/A	1,484,720	1,332,320	7,100,840	8,509,080
2016-12-13	$2.29	$1.88	35.8%	10.4%	42.0%	23.5%	36.4%	1.9%	0.2%	16.4M	-797.4M	-3.0M	0.95	4.90	N/A	N/A	1,488,640	1,418,360	7,569,800	8,792,640
2016-12-14	$2.41	$1.88	38.0%	10.8%	44.6%	29.0%	38.4%	1.6%	-0.4%	29.8M	-1.15B	-3.0M	0.86	5.04	N/A	N/A	3,206,520	2,754,880	7,695,480	8,712,360
2016-12-15	$2.47	$2.00	38.0%	10.7%	40.2%	28.8%	38.5%	1.8%	-0.6%	33.3M	-1.31B	-3.1M	0.80	5.49	N/A	N/A	3,044,840	2,426,840	8,213,880	9,335,400
2016-12-16	$2.45	$2.00	37.8%	10.7%	40.3%	28.4%	38.5%	1.4%	-0.5%	24.4M	-1.22B	-3.3M	0.90	6.31	N/A	N/A	2,166,400	1,949,240	8,654,720	9,812,480
2016-12-19	$2.54	$2.00	37.7%	10.8%	41.8%	28.2%	38.4%	1.4%	1.7%	19.7M	-1.16B	-3.2M	1.00	17.58	N/A	N/A	1,839,520	1,838,440	7,260,320	6,525,440
2016-12-20	$2.63	$2.00	38.4%	11.0%	43.2%	29.9%	39.2%	1.3%	0.2%	19.6M	-1.35B	-3.3M	0.93	9.17	N/A	N/A	2,396,320	2,234,600	7,508,360	7,266,920
2016-12-21	$2.64	$2.13	36.0%	10.3%	43.2%	23.9%	36.9%	1.3%	0.8%	21.0M	-1.40B	-3.5M	1.34	8.78	N/A	N/A	1,436,800	1,928,480	8,044,120	7,800,680
2016-12-22	$2.68	$2.13	37.5%	10.7%	43.2%	27.6%	38.0%	1.1%	0.9%	21.7M	-1.47B	-3.6M	1.11	6.55	N/A	N/A	2,250,560	2,496,400	8,332,120	8,408,120
2016-12-23	$2.74	$2.13	37.5%	10.7%	43.5%	27.6%	38.1%	1.1%	0.8%	31.6M	-1.64B	-3.7M	1.17	12.20	N/A	N/A	2,177,160	2,537,920	8,733,200	9,183,720
2016-12-27	$2.92	$2.21	48.0%	13.7%	48.0%	53.9%	49.0%	1.9%	0.1%	15.9M	-1.78B	-3.6M	1.07	11.67	N/A	N/A	3,939,320	4,201,360	8,034,520	8,267,320
2016-12-28	$2.73	$2.25	50.9%	14.5%	55.6%	61.2%	51.3%	1.0%	0.0%	-385.2K	-1.16B	-4.3M	0.93	15.92	N/A	N/A	6,966,880	6,461,080	8,998,320	9,919,600
2016-12-29	$2.78	$2.38	51.3%	14.8%	55.7%	62.1%	52.3%	1.6%	-0.5%	4.9M	-1.33B	-4.7M	0.96	7.12	N/A	N/A	7,109,600	6,834,240	10,891,440	11,310,920
2016-12-30	$2.67	$2.38	50.8%	14.7%	51.1%	61.1%	51.8%	1.3%	-0.6%	-757.0K	-928.7M	-4.9M	0.82	7.65	N/A	N/A	5,131,920	4,215,880	11,854,640	12,450,040