NANR Options History — April 2018

In April 2018, NANR traded between $33.05 and $36.22. ATM implied volatility averaged 28.3%. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 7.4% (HV 20d: 20.9%). Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2018-04-13: Highest Volume — 3 contracts
  • 2018-04-03: Largest IV drop — 56.6% change
  • 2018-04-02: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.90$33.05$36.22$33.05$35.26
ATM IV28.3%19.1%50.0%50.0%30.0%
Expected Move7.7%5.5%14.3%14.3%8.6%
HV 20d20.9%16.7%23.1%23.1%16.7%
Term Structure-2.7%-8.3%7.2%-8.3%-2.7%
Skew 25d6.1%-0.5%11.8%6.7%3.6%
Skew 10d5.4%-3.9%9.3%-1.7%6.8%
Call IV 25d26.9%16.5%55.9%55.9%28.7%
Put IV 25d33.0%25.6%62.6%62.6%32.3%
Bid-Ask Spread %137.60121.69149.51149.51141.14
Gamma HHI0.780.551.001.000.55
Net GEX96021866131
Net DEX-6.2K-10.8K-2.3K-2.3K-6.3K
Net VEX-4-110-5-5
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume21312
Total OI1.9521312

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$33.05$0.0050.0%14.3%0.0%0.0%0.0%6.7%-8.3%66-2.3K-50.00149.51N/AN/A1010
2018-04-03$33.53$0.0021.7%6.2%0.0%0.0%0.0%4.1%7.2%67-2.9K-30.00121.69N/AN/A1010
2018-04-04$33.52$0.0031.1%8.9%0.0%0.0%0.0%9.5%-5.0%0-3.4K00.00137.13N/AN/A1010
2018-04-05$34.16$0.0028.5%6.6%0.0%0.0%0.0%10.7%-4.4%0-3.4K00.00139.59N/AN/A1010
2018-04-06$33.62$0.0030.2%6.3%0.0%0.0%0.0%4.0%-1.1%65-2.8K-30.00133.03N/AN/A1010
2018-04-09$33.99$0.0037.0%8.6%0.0%0.0%0.0%9.1%-2.1%59-2.8K-40.00133.52N/AN/A1010
2018-04-10$34.74$0.0034.2%6.5%0.0%0.0%0.0%5.5%0.1%0-3.5K00.00138.72N/AN/A1010
2018-04-11$34.90$0.0025.6%7.3%0.0%0.0%0.0%9.1%-3.0%48-3.1K-30.00141.23N/AN/A1010
2018-04-12$35.01$0.0024.4%7.0%0.0%0.0%0.0%7.3%-3.5%32-3.4K-10.00138.61N/AN/A1010
2018-04-13$35.25$0.0024.6%7.0%0.0%0.0%0.0%4.3%-2.5%0-3.5K00.00142.28N/AN/A3010
2018-04-16$35.28$0.0027.6%7.9%23.1%0.0%0.0%2.8%0.3%198-8.8K-110.00135.66N/AN/A3030
2018-04-17$35.64$0.0023.4%6.7%22.5%0.0%0.0%7.3%-2.8%0-10.7K00.00142.39N/AN/A3030
2018-04-18$36.22$0.0021.1%6.0%22.2%0.0%0.0%5.3%-1.9%198-9.9K-70.00139.45N/AN/A3030
2018-04-19$36.14$0.0019.1%5.5%21.7%0.0%0.0%11.8%-6.4%0-10.8K00.00121.80N/AN/A3030
2018-04-20$35.74$0.0023.6%6.8%21.9%0.0%0.0%3.1%-1.5%191-9.4K-80.00142.82N/AN/A3030
2018-04-23$35.63$0.0025.6%7.3%21.5%0.0%0.0%7.2%-6.4%208-9.4K-80.00139.96N/AN/A3030
2018-04-24$35.14$0.0025.6%7.3%21.6%0.0%0.0%-0.5%-1.1%207-8.9K-90.00138.75N/AN/A3030
2018-04-25$35.24$0.0032.9%9.4%21.0%0.0%0.0%5.8%-5.3%218-8.7K-100.00136.19N/AN/A3030
2018-04-26$35.54$0.0028.9%8.3%19.5%0.0%0.0%6.4%-4.0%209-9.1K-90.00137.03N/AN/A2030
2018-04-27$35.38$0.0028.4%8.1%18.1%0.0%0.0%5.6%-1.4%118-6.3K-50.00139.20N/AN/A2020
2018-04-30$35.26$0.0030.0%8.6%16.7%0.0%0.0%3.6%-2.7%131-6.3K-50.00141.14N/AN/A2020