NVDA Options History — January 2017

In January 2017, NVDA traded between $2.52 and $2.78. ATM implied volatility averaged 49.2%, placing in the 57.0% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 1.3% (HV 20d: 50.5%). Max pain ranged from $2.38 to $2.63. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.93.

Notable Days

2017-01-03: Highest Volume — 7,864,120 contracts
2017-01-17: Largest IV spike — 24.3% change
2017-01-19: Highest IV Rank — 72.6%
2017-01-05: Largest Expected Move — 17.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.64	$2.52	$2.78	$2.54	$2.74
Max Pain	$2.60	$2.38	$2.63	$2.38	$2.63
ATM IV	49.2%	41.6%	55.5%	49.9%	50.6%
Expected Move	16.1%	14.5%	17.9%	14.8%	17.6%
HV 20d	50.5%	34.5%	56.3%	55.3%	34.5%
HV 60d	70.5%	70.0%	71.0%	70.0%	70.2%
IV Rank	57.0%	38.0%	72.6%	58.6%	60.5%
IV Percentile	85.8%	63.9%	97.2%	92.5%	90.1%
Term Structure	2.7%	-3.7%	18.0%	-0.6%	-2.4%
VWIV	56.8%	50.8%	62.6%	51.9%	61.5%
Skew 25d	1.3%	-0.2%	2.1%	1.7%	1.6%
Skew 10d	2.9%	1.3%	4.5%	3.5%	2.4%
Call IV 25d	48.4%	36.8%	55.1%	49.2%	49.6%
Put IV 25d	49.7%	36.6%	57.2%	51.0%	51.3%
Bid-Ask Spread %	31.93	4.98	45.63	7.25	4.98
Gamma HHI	0.07	0.05	0.18	0.05	0.06
Net GEX	14.6M	-2.8M	43.4M	-2.8M	18.0M
Net DEX	-986.2M	-1.45B	-678.0M	-679.7M	-1.02B
Net VEX	-5.0M	-5.4M	-4.7M	-4.7M	-5.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.69	1.14	0.97	0.87
Total Volume	4,374,004	2,057,200	7,864,120	7,864,120	2,057,200
Total OI	21,594,924	17,056,840	25,047,160	20,436,920	19,392,360

Daily Data (20 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
2017-01-03	$2.54	$2.38	49.9%	14.8%	55.3%	58.6%	51.9%	1.7%	-0.6%	-2.8M	-679.7M	-4.7M	0.97	7.25	N/A	N/A	3,984,640	3,879,480	9,875,400	10,561,520
2017-01-04	$2.61	$2.38	48.9%	14.5%	54.7%	56.2%	50.8%	1.3%	-0.9%	9.3M	-980.0M	-4.8M	0.79	8.16	N/A	N/A	3,210,200	2,545,920	10,874,720	11,277,600
2017-01-05	$2.55	$2.63	48.4%	17.9%	55.8%	55.0%	62.6%	1.3%	-0.6%	533.0K	-742.2M	-4.8M	0.93	35.31	N/A	N/A	3,206,000	2,967,880	11,609,680	11,682,360
2017-01-06	$2.58	$2.63	45.3%	17.3%	55.6%	47.3%	61.0%	1.1%	-0.2%	3.9M	-916.1M	-4.9M	1.08	39.92	N/A	N/A	2,652,280	2,857,840	11,989,440	12,332,600
2017-01-09	$2.68	$2.63	45.3%	17.8%	56.3%	47.2%	62.3%	0.7%	16.4%	18.1M	-1.25B	-5.0M	0.86	37.11	N/A	N/A	2,811,960	2,416,200	10,446,040	10,851,560
2017-01-10	$2.66	$2.63	44.4%	17.3%	55.6%	44.9%	60.7%	1.0%	16.0%	17.5M	-1.21B	-5.0M	0.79	40.18	N/A	N/A	2,297,160	1,820,720	11,068,360	11,349,080
2017-01-11	$2.62	$2.63	41.6%	16.4%	54.9%	38.0%	57.4%	1.0%	15.8%	10.2M	-1.05B	-5.0M	1.03	41.14	N/A	N/A	1,723,520	1,783,120	11,483,080	11,658,320
2017-01-12	$2.58	$2.63	43.5%	16.0%	55.3%	42.8%	56.4%	1.3%	15.0%	-2.7M	-837.2M	-5.0M	1.08	41.74	N/A	N/A	2,257,600	2,432,960	11,792,720	12,056,280
2017-01-13	$2.58	$2.63	42.9%	15.5%	52.3%	41.2%	54.8%	-0.2%	18.0%	7.8M	-893.0M	-5.0M	1.14	34.18	N/A	N/A	1,904,080	2,178,200	12,130,760	12,509,760
2017-01-17	$2.52	$2.63	53.4%	15.8%	52.6%	67.3%	55.2%	2.0%	-0.9%	-756.5K	-678.0M	-4.8M	1.08	43.61	N/A	N/A	1,883,880	2,027,840	11,002,680	11,426,080
2017-01-18	$2.56	$2.63	53.6%	15.4%	52.8%	68.0%	54.1%	1.8%	-1.2%	11.9M	-865.1M	-4.9M	1.14	45.63	N/A	N/A	1,885,680	2,154,080	11,453,600	11,895,920
2017-01-19	$2.63	$2.63	55.5%	16.0%	52.1%	72.6%	56.2%	2.1%	-2.1%	27.3M	-1.15B	-5.1M	0.95	43.52	N/A	N/A	2,785,280	2,651,600	11,823,000	12,555,440
2017-01-20	$2.59	$2.63	52.6%	15.2%	50.7%	65.4%	53.5%	1.8%	-1.1%	9.7M	-921.3M	-5.1M	0.92	44.59	N/A	N/A	2,380,680	2,192,360	12,080,600	12,966,560
2017-01-23	$2.63	$2.63	52.0%	15.6%	50.9%	63.9%	54.7%	1.4%	-2.5%	13.9M	-775.5M	-5.0M	0.80	36.75	N/A	N/A	1,309,920	1,045,520	8,739,120	8,317,720
2017-01-24	$2.68	$2.63	52.5%	15.6%	51.3%	65.3%	55.0%	1.0%	-3.7%	23.8M	-982.4M	-5.1M	1.10	37.21	N/A	N/A	1,614,720	1,772,280	9,163,720	8,673,040
2017-01-25	$2.69	$2.63	52.4%	15.7%	50.6%	64.9%	55.4%	1.1%	-3.1%	24.3M	-1.04B	-5.2M	0.73	40.73	N/A	N/A	1,784,120	1,310,760	9,488,840	9,350,400
2017-01-26	$2.74	$2.63	51.1%	15.5%	44.6%	61.7%	54.7%	1.4%	-2.7%	43.4M	-1.23B	-5.2M	0.75	42.64	N/A	N/A	1,985,720	1,493,480	9,909,800	9,573,960
2017-01-27	$2.78	$2.63	49.5%	16.0%	37.6%	57.6%	56.2%	1.4%	-2.3%	42.0M	-1.45B	-5.2M	0.69	8.75	N/A	N/A	2,950,200	2,035,320	10,225,400	9,881,120
2017-01-30	$2.75	$2.63	50.7%	17.3%	37.4%	60.6%	60.7%	1.0%	-2.4%	17.6M	-1.06B	-5.3M	0.97	5.14	N/A	N/A	1,642,840	1,586,840	9,374,640	9,055,200
2017-01-31	$2.74	$2.63	50.6%	17.6%	34.5%	60.5%	61.5%	1.6%	-2.4%	18.0M	-1.02B	-5.4M	0.87	4.98	N/A	N/A	1,100,720	956,480	9,762,560	9,629,800