NVDA Options History — March 2017

In March 2017, NVDA traded between $2.45 and $2.73. ATM implied volatility averaged 32.1%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 9.3% (HV 20d: 41.4%). Max pain ranged from $2.50 to $2.63. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.73.

Notable Days

2017-03-03: Highest Volume — 7,698,000 contracts
2017-03-13: Largest IV spike — 7.0% change
2017-03-06: Highest IV Rank — 30.1%
2017-03-02: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.60	$2.45	$2.73	$2.57	$2.73
Max Pain	$2.52	$2.50	$2.63	$2.63	$2.55
ATM IV	32.1%	30.0%	35.3%	34.5%	30.8%
Expected Move	9.1%	8.4%	10.2%	9.7%	8.4%
HV 20d	41.4%	21.0%	50.7%	50.7%	21.0%
HV 60d	43.2%	36.2%	46.9%	46.1%	36.2%
IV Rank	19.3%	12.0%	30.1%	27.3%	14.7%
IV Percentile	31.5%	17.9%	47.2%	45.2%	23.8%
Term Structure	0.2%	-0.7%	1.0%	0.2%	0.8%
VWIV	32.4%	29.6%	36.0%	34.6%	29.7%
Skew 25d	0.4%	-2.0%	1.1%	0.2%	0.5%
Skew 10d	1.1%	-1.8%	4.0%	0.8%	1.2%
Call IV 25d	32.4%	30.2%	35.3%	34.6%	30.9%
Put IV 25d	32.9%	30.4%	36.1%	34.9%	31.4%
Bid-Ask Spread %	5.10	3.00	9.74	6.88	5.06
Gamma HHI	0.09	0.06	0.26	0.06	0.26
Net GEX	17.4M	-32.6M	73.0M	17.8M	73.0M
Net DEX	-534.8M	-1.17B	352.8M	-369.4M	-1.11B
Net VEX	-7.1M	-7.5M	-6.6M	-6.9M	-7.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.47	1.07	0.90	0.47
Total Volume	4,562,697.391	2,020,680	7,698,000	3,669,520	3,991,800
Total OI	26,279,713.043	21,353,120	29,998,360	26,511,920	24,824,440

Daily Data (23 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
2017-03-01	$2.57	$2.63	34.5%	9.7%	50.7%	27.3%	34.6%	0.2%	0.2%	17.8M	-369.4M	-6.9M	0.90	6.88	N/A	N/A	1,929,520	1,740,000	13,805,800	12,706,120
2017-03-02	$2.48	$2.63	35.2%	10.2%	49.9%	29.9%	36.0%	0.6%	-0.2%	-25.4M	238.3M	-6.6M	0.84	6.34	N/A	N/A	3,415,320	2,869,600	14,013,800	13,194,960
2017-03-03	$2.46	$2.63	35.0%	10.1%	49.1%	29.1%	35.9%	0.9%	-0.0%	-32.6M	352.8M	-6.9M	1.07	6.28	N/A	N/A	3,724,000	3,974,000	14,800,320	13,989,200
2017-03-06	$2.45	$2.50	35.3%	9.9%	49.1%	30.1%	35.1%	0.8%	-0.5%	-9.5M	154.3M	-6.9M	0.75	3.00	N/A	N/A	3,082,160	2,313,760	13,565,400	13,002,440
2017-03-07	$2.46	$2.50	34.1%	9.7%	48.1%	26.1%	34.2%	0.9%	-0.4%	1.9M	36.1M	-6.9M	0.73	3.12	N/A	N/A	2,173,800	1,587,480	14,363,040	13,375,080
2017-03-08	$2.47	$2.50	32.7%	9.3%	47.4%	21.2%	33.0%	0.9%	-0.1%	3.8M	16.1M	-6.8M	0.67	3.28	N/A	N/A	2,777,760	1,866,840	14,724,080	13,660,280
2017-03-09	$2.47	$2.50	32.7%	9.3%	47.4%	21.4%	33.1%	0.8%	-0.1%	3.5M	41.3M	-6.9M	0.74	5.11	N/A	N/A	2,245,160	1,669,760	15,289,440	14,049,760
2017-03-10	$2.48	$2.50	30.8%	8.9%	47.2%	14.7%	32.0%	1.1%	0.1%	27.8M	-34.4M	-6.8M	0.73	3.49	N/A	N/A	2,581,560	1,886,360	15,688,000	14,310,360
2017-03-13	$2.54	$2.50	32.9%	9.5%	48.5%	22.1%	33.8%	0.6%	0.4%	13.2M	-379.2M	-7.0M	0.77	3.86	N/A	N/A	3,460,320	2,669,280	14,179,440	13,232,160
2017-03-14	$2.54	$2.50	33.1%	9.6%	46.2%	22.8%	34.0%	-0.4%	0.5%	13.1M	-374.0M	-7.1M	0.60	4.11	N/A	N/A	2,177,600	1,310,240	14,752,400	13,849,120
2017-03-15	$2.57	$2.50	32.0%	9.1%	46.5%	19.0%	32.3%	0.1%	-0.0%	31.4M	-584.4M	-7.0M	0.65	4.17	N/A	N/A	2,527,440	1,637,840	14,945,000	13,924,800
2017-03-16	$2.59	$2.50	30.2%	8.6%	46.6%	12.7%	30.8%	-0.0%	-0.7%	44.2M	-722.6M	-6.9M	1.05	5.01	N/A	N/A	1,959,240	2,060,200	15,077,200	14,260,520
2017-03-17	$2.64	$2.50	30.0%	8.6%	46.9%	12.0%	30.8%	-2.0%	0.1%	39.2M	-1.15B	-6.9M	0.68	4.59	N/A	N/A	4,198,560	2,851,200	15,209,160	14,489,720
2017-03-20	$2.73	$2.50	30.0%	8.6%	48.4%	12.2%	30.6%	0.1%	0.7%	30.5M	-1.17B	-6.8M	0.74	8.38	N/A	N/A	3,587,760	2,638,320	10,813,000	10,540,120
2017-03-21	$2.66	$2.50	30.8%	8.8%	47.8%	14.8%	31.2%	0.6%	-0.5%	11.7M	-765.1M	-7.3M	0.86	3.51	N/A	N/A	3,123,600	2,693,160	11,472,320	11,489,840
2017-03-22	$2.70	$2.50	31.5%	9.0%	48.2%	17.1%	32.0%	0.8%	0.3%	18.5M	-958.0M	-7.5M	0.68	7.96	N/A	N/A	2,425,280	1,648,000	11,917,760	12,187,080
2017-03-23	$2.68	$2.50	31.6%	9.0%	30.6%	17.6%	32.1%	0.9%	-0.1%	11.2M	-853.7M	-7.5M	0.78	6.02	N/A	N/A	1,998,920	1,568,600	12,240,080	12,497,240
2017-03-24	$2.69	$2.50	32.2%	9.2%	30.4%	19.5%	32.1%	0.8%	0.9%	10.3M	-895.4M	-7.5M	0.51	9.74	N/A	N/A	2,705,360	1,388,160	12,498,720	12,940,920
2017-03-27	$2.71	$2.50	32.3%	9.2%	28.7%	20.0%	32.5%	-0.2%	0.0%	21.1M	-923.4M	-7.3M	0.71	4.14	N/A	N/A	1,954,360	1,387,520	11,049,360	11,052,480
2017-03-28	$2.70	$2.50	30.6%	8.7%	26.1%	14.2%	30.8%	0.7%	0.6%	21.6M	-880.2M	-7.3M	0.73	4.32	N/A	N/A	1,382,080	1,011,920	11,458,040	11,549,240
2017-03-29	$2.69	$2.50	30.1%	8.4%	25.8%	12.6%	29.6%	0.7%	1.0%	20.2M	-831.1M	-7.3M	0.55	4.37	N/A	N/A	1,305,720	714,960	11,696,200	11,804,840
2017-03-30	$2.73	$2.50	30.0%	8.4%	21.3%	12.1%	29.6%	0.4%	0.6%	54.6M	-1.14B	-7.3M	0.55	4.57	N/A	N/A	3,056,760	1,670,760	11,983,400	11,960,720
2017-03-31	$2.73	$2.55	30.8%	8.4%	21.0%	14.7%	29.7%	0.5%	0.8%	73.0M	-1.11B	-7.4M	0.47	5.06	N/A	N/A	2,713,280	1,278,520	12,526,120	12,298,320