NVDA Options History — September 2017

In September 2017, NVDA traded between $4.10 and $4.70. ATM implied volatility averaged 31.9%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 4.4% (HV 20d: 36.3%). Max pain ranged from $3.88 to $4.25. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.76.

Notable Days

2017-09-15: Highest Volume — 17,418,320 contracts
2017-09-18: Largest IV spike — 13.6% change
2017-09-26: Highest IV Rank — 27.6%
2017-09-26: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.35	$4.10	$4.70	$4.26	$4.47
Max Pain	$4.12	$3.88	$4.25	$3.88	$4.25
ATM IV	31.9%	27.8%	36.1%	30.4%	32.8%
Expected Move	9.3%	8.1%	10.4%	8.1%	9.1%
HV 20d	36.3%	24.3%	45.3%	45.3%	39.1%
HV 60d	38.0%	36.6%	39.5%	38.6%	38.1%
IV Rank	14.4%	1.0%	27.6%	9.7%	16.5%
IV Percentile	15.7%	0.4%	40.5%	7.1%	17.5%
Term Structure	0.8%	-0.2%	2.6%	-0.0%	2.6%
VWIV	32.8%	28.6%	36.6%	28.6%	32.1%
Skew 25d	1.4%	-0.3%	3.0%	1.2%	1.2%
Skew 10d	3.1%	-0.8%	5.7%	3.0%	1.3%
Call IV 25d	31.7%	26.9%	35.9%	30.1%	31.8%
Put IV 25d	33.0%	29.2%	37.7%	31.3%	33.0%
Bid-Ask Spread %	4.88	2.51	13.21	5.53	2.81
Gamma HHI	0.15	0.05	0.76	0.46	0.06
Net GEX	68.9M	-18.2M	474.5M	202.6M	35.1M
Net DEX	-2.83B	-4.88B	-1.46B	-3.61B	-3.03B
Net VEX	-14.8M	-16.9M	-13.4M	-14.0M	-16.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.55	1.05	0.55	0.68
Total Volume	7,227,266	3,238,160	17,418,320	6,183,480	7,339,200
Total OI	36,110,192	31,197,880	38,720,200	36,774,840	38,501,000

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
2017-09-01	$4.26	$3.88	30.4%	8.1%	45.3%	9.7%	28.6%	1.2%	-0.0%	202.6M	-3.61B	-14.0M	0.55	5.53	N/A	N/A	3,997,880	2,185,600	17,269,920	19,504,920
2017-09-05	$4.15	$4.00	33.4%	10.0%	45.1%	19.3%	35.4%	2.3%	0.7%	40.7M	-2.24B	-14.2M	0.82	4.21	N/A	N/A	3,178,040	2,604,280	15,863,400	18,204,280
2017-09-06	$4.15	$4.00	32.2%	9.7%	44.9%	15.7%	34.2%	2.1%	0.5%	37.8M	-2.25B	-13.9M	0.66	3.35	N/A	N/A	2,193,040	1,442,320	16,320,400	18,946,320
2017-09-07	$4.16	$4.00	31.1%	9.4%	44.6%	11.8%	33.2%	2.1%	0.6%	58.5M	-2.44B	-13.8M	0.68	4.74	N/A	N/A	2,082,880	1,408,040	16,697,520	19,393,240
2017-09-08	$4.10	$4.00	31.4%	9.4%	42.6%	13.0%	33.2%	3.0%	1.1%	22.1M	-1.85B	-14.0M	0.94	4.47	N/A	N/A	3,109,000	2,928,000	16,836,200	19,593,880
2017-09-11	$4.22	$4.00	29.2%	8.9%	36.9%	5.6%	31.5%	2.5%	1.4%	58.5M	-2.78B	-13.5M	0.78	3.30	N/A	N/A	3,248,040	2,517,400	15,757,640	18,923,480
2017-09-12	$4.24	$4.00	28.5%	8.5%	24.7%	3.2%	30.5%	2.5%	1.2%	72.8M	-2.89B	-13.5M	0.80	3.53	N/A	N/A	2,109,000	1,695,840	16,186,000	19,374,720
2017-09-13	$4.26	$4.00	28.4%	8.5%	24.7%	3.1%	30.3%	2.1%	1.2%	90.2M	-3.10B	-13.5M	0.67	3.73	N/A	N/A	3,352,120	2,236,000	16,445,440	19,795,080
2017-09-14	$4.23	$4.00	27.8%	8.3%	24.3%	1.0%	29.7%	2.3%	1.2%	86.4M	-2.97B	-14.2M	0.73	4.54	N/A	N/A	3,449,120	2,502,680	17,150,960	20,461,560
2017-09-15	$4.50	$4.13	30.3%	8.7%	30.9%	9.2%	30.9%	-0.1%	0.2%	474.5M	-4.88B	-13.4M	0.57	3.68	N/A	N/A	11,111,800	6,306,520	17,526,400	21,147,680
2017-09-18	$4.70	$4.13	34.4%	9.8%	33.7%	22.8%	34.9%	-0.3%	-0.2%	63.8M	-4.26B	-13.7M	0.75	2.60	N/A	N/A	9,116,320	6,795,800	14,488,080	16,709,800
2017-09-19	$4.69	$4.25	32.5%	9.3%	32.3%	16.5%	33.2%	-0.3%	0.3%	52.0M	-3.92B	-14.9M	0.60	6.17	N/A	N/A	4,383,680	2,634,200	15,813,680	18,799,680
2017-09-20	$4.64	$4.25	32.6%	9.4%	32.5%	17.0%	33.2%	0.1%	-0.2%	34.0M	-3.67B	-15.4M	0.91	12.15	N/A	N/A	3,094,680	2,800,560	16,563,880	19,359,120
2017-09-21	$4.52	$4.25	32.0%	9.1%	34.0%	14.9%	32.3%	0.3%	1.3%	-18.2M	-2.78B	-15.5M	0.82	2.51	N/A	N/A	6,947,040	5,684,560	17,004,360	19,942,920
2017-09-22	$4.47	$4.25	31.3%	8.9%	34.2%	12.5%	31.6%	0.4%	1.0%	22.4M	-2.37B	-15.9M	1.05	2.89	N/A	N/A	3,591,560	3,776,520	17,903,600	20,816,600
2017-09-25	$4.27	$4.25	34.5%	10.1%	38.5%	23.2%	35.2%	2.2%	1.0%	-9.7M	-1.46B	-16.1M	0.84	4.35	N/A	N/A	4,085,360	3,412,800	15,759,560	18,253,880
2017-09-26	$4.29	$4.25	36.1%	10.4%	38.5%	27.6%	36.6%	1.8%	0.4%	-315.3K	-1.65B	-16.5M	0.67	13.21	N/A	N/A	5,352,960	3,561,000	16,480,840	18,912,560
2017-09-27	$4.40	$4.25	35.5%	10.1%	39.2%	25.7%	35.6%	1.0%	1.2%	35.6M	-2.40B	-16.9M	0.78	4.93	N/A	N/A	2,848,760	2,224,560	17,713,360	19,771,600
2017-09-28	$4.37	$4.25	33.8%	9.6%	39.3%	19.9%	34.1%	1.4%	1.1%	19.5M	-2.15B	-16.8M	1.01	4.88	N/A	N/A	1,607,480	1,630,680	17,883,960	20,126,320
2017-09-29	$4.47	$4.25	32.8%	9.1%	39.1%	16.5%	32.1%	1.2%	2.6%	35.1M	-3.03B	-16.3M	0.68	2.81	N/A	N/A	4,364,360	2,974,840	18,185,080	20,315,920