NVDA Options History — December 2017

In December 2017, NVDA traded between $4.65 and $4.95. ATM implied volatility averaged 31.0%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 8.0% (HV 20d: 39.0%). Max pain ranged from $4.13 to $5.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.71.

Notable Days

2017-12-04: Highest Volume — 8,570,440 contracts
2017-12-04: Largest IV spike — 17.8% change
2017-12-04: Highest IV Rank — 41.3%
2017-12-04: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.83	$4.65	$4.95	$4.95	$4.84
Max Pain	$4.66	$4.13	$5.00	$5.00	$4.75
ATM IV	31.0%	26.5%	38.7%	32.9%	27.5%
Expected Move	9.0%	7.3%	11.1%	10.4%	7.9%
HV 20d	39.0%	31.9%	41.9%	37.0%	31.9%
HV 60d	31.8%	30.1%	34.5%	32.4%	30.4%
IV Rank	17.6%	3.8%	41.3%	23.3%	6.9%
IV Percentile	14.1%	0.8%	53.6%	19.4%	3.2%
Term Structure	0.4%	-1.2%	2.2%	0.2%	0.0%
VWIV	31.4%	26.0%	38.9%	36.3%	27.3%
Skew 25d	1.9%	1.1%	3.1%	2.2%	1.1%
Skew 10d	3.5%	2.2%	5.9%	5.2%	2.8%
Call IV 25d	30.3%	26.2%	37.5%	31.4%	27.0%
Put IV 25d	32.2%	27.5%	40.6%	33.6%	28.1%
Bid-Ask Spread %	4.69	2.69	7.72	7.16	3.45
Gamma HHI	0.08	0.05	0.13	0.06	0.06
Net GEX	15.2M	-37.3M	61.0M	-5.1M	9.5M
Net DEX	-1.67B	-2.79B	-245.1M	-1.67B	-1.61B
Net VEX	-20.8M	-21.7M	-18.8M	-19.0M	-20.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.50	0.94	0.92	0.70
Total Volume	5,125,112	3,023,840	8,570,440	6,714,680	4,478,920
Total OI	43,269,808	38,875,240	47,717,560	41,200,720	43,035,040

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
2017-12-01	$4.95	$5.00	32.9%	10.4%	37.0%	23.3%	36.3%	2.2%	0.2%	-5.1M	-1.67B	-19.0M	0.92	7.16	N/A	N/A	3,500,480	3,214,200	19,284,640	21,916,080
2017-12-04	$4.67	$4.13	38.7%	11.1%	41.5%	41.3%	38.9%	3.1%	-1.2%	-20.5M	-504.9M	-18.8M	0.65	7.72	N/A	N/A	5,191,240	3,379,200	17,735,400	21,139,840
2017-12-05	$4.70	$4.25	35.8%	10.4%	41.5%	32.2%	36.4%	2.7%	2.2%	-9.5M	-670.0M	-19.4M	0.76	4.08	N/A	N/A	4,664,120	3,543,880	19,250,040	22,170,360
2017-12-06	$4.73	$4.50	35.2%	10.4%	41.3%	30.5%	36.1%	2.5%	1.3%	-8.3M	-805.1M	-20.9M	0.69	4.99	N/A	N/A	2,366,640	1,642,040	20,515,760	23,573,840
2017-12-07	$4.81	$4.50	33.2%	9.7%	41.9%	24.4%	33.6%	2.8%	0.8%	16.2M	-1.41B	-21.3M	0.70	5.79	N/A	N/A	3,572,920	2,515,360	21,152,440	24,150,840
2017-12-08	$4.78	$4.63	32.4%	9.5%	41.5%	21.7%	32.8%	1.9%	0.7%	-10.3M	-1.26B	-21.3M	0.79	3.71	N/A	N/A	3,179,040	2,518,480	21,676,400	24,621,440
2017-12-11	$4.87	$4.63	30.0%	9.0%	37.2%	14.5%	31.6%	2.0%	0.8%	3.2M	-1.94B	-21.3M	0.64	4.12	N/A	N/A	2,119,600	1,348,960	20,215,000	23,984,120
2017-12-12	$4.77	$4.63	32.9%	9.5%	37.4%	23.4%	32.9%	2.2%	0.1%	-8.3M	-1.23B	-21.1M	0.72	4.69	N/A	N/A	2,694,440	1,950,720	20,732,440	24,149,680
2017-12-13	$4.65	$4.75	32.1%	9.2%	37.7%	20.9%	32.2%	1.7%	0.1%	-37.3M	-245.1M	-20.7M	0.72	3.74	N/A	N/A	2,927,360	2,118,680	21,331,040	24,736,680
2017-12-14	$4.66	$4.75	31.8%	9.1%	37.4%	20.0%	31.7%	1.7%	0.1%	-30.1M	-371.7M	-20.7M	0.94	2.69	N/A	N/A	2,573,640	2,417,120	21,841,080	24,975,840
2017-12-15	$4.78	$4.75	29.9%	8.6%	38.6%	14.0%	29.9%	1.6%	0.1%	5.1M	-1.45B	-21.2M	0.63	4.78	N/A	N/A	4,412,680	2,770,160	22,301,720	25,415,840
2017-12-18	$4.95	$4.75	30.1%	8.7%	41.1%	14.9%	30.5%	1.4%	-0.5%	42.6M	-2.79B	-21.4M	0.50	2.97	N/A	N/A	4,001,440	2,012,920	18,585,640	21,262,640
2017-12-19	$4.90	$4.75	30.3%	8.7%	40.7%	15.5%	30.4%	1.5%	0.3%	54.5M	-2.48B	-21.7M	0.65	4.63	N/A	N/A	2,282,920	1,484,400	19,569,760	21,814,480
2017-12-20	$4.92	$4.75	29.3%	8.4%	40.5%	12.4%	29.5%	1.5%	0.5%	55.2M	-2.58B	-21.7M	0.52	6.49	N/A	N/A	1,989,440	1,034,400	19,781,280	22,335,560
2017-12-21	$4.90	$4.75	28.8%	8.2%	40.5%	10.7%	29.0%	1.6%	0.3%	49.8M	-2.35B	-21.5M	0.81	5.04	N/A	N/A	1,725,160	1,405,080	20,212,120	22,552,800
2017-12-22	$4.88	$4.75	27.5%	7.8%	40.2%	6.7%	27.4%	1.7%	0.7%	36.2M	-2.19B	-21.2M	0.85	4.99	N/A	N/A	3,228,640	2,759,600	20,503,640	22,785,960
2017-12-26	$4.94	$4.75	28.0%	7.9%	40.5%	8.2%	27.9%	1.7%	0.7%	44.1M	-2.64B	-20.7M	0.71	4.67	N/A	N/A	2,446,920	1,743,720	19,088,720	21,992,000
2017-12-27	$4.93	$4.75	27.4%	7.6%	40.2%	6.6%	26.9%	1.5%	0.8%	61.0M	-2.62B	-20.7M	0.69	4.04	N/A	N/A	2,390,840	1,654,120	19,736,160	22,552,360
2017-12-28	$4.93	$4.75	26.5%	7.3%	32.1%	3.8%	26.0%	1.4%	1.0%	56.4M	-2.65B	-20.5M	0.57	3.98	N/A	N/A	2,059,640	1,183,120	19,922,680	22,794,800
2017-12-29	$4.84	$4.75	27.5%	7.9%	31.9%	6.9%	27.3%	1.1%	0.0%	9.5M	-1.61B	-20.4M	0.70	3.45	N/A	N/A	2,627,360	1,851,560	20,105,920	22,929,120