NANR Options History — May 2018

In May 2018, NANR traded between $34.98 and $37.03. ATM implied volatility averaged 26.1%. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 13.2% (HV 20d: 13.0%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2018-05-01: Highest Volume — 2 contracts
  • 2018-05-08: Largest IV spike — 72.9% change
  • 2018-05-04: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.11$34.98$37.03$34.98$36.25
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV26.1%18.6%43.2%30.8%27.5%
Expected Move7.1%5.3%9.8%8.8%7.9%
HV 20d13.0%10.1%16.6%16.6%15.2%
HV 60d17.6%17.2%17.8%17.2%17.7%
Term Structure-5.3%-11.3%-0.8%-4.0%-9.0%
VWIV36.6%22.9%46.9%35.1%46.9%
Skew 25d4.7%-5.2%19.3%2.9%-1.4%
Skew 10d4.0%-5.4%15.0%4.2%-2.5%
Call IV 25d23.7%14.9%30.9%30.7%30.9%
Put IV 25d28.4%16.8%37.0%33.6%29.5%
Bid-Ask Spread %130.55100.77148.76138.53141.11
Gamma HHI0.670.521.000.530.93
Net GEX6601591590
Net DEX-6.9K-7.4K-6.0K-6.0K-7.3K
Net VEX-2-50-50
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume22222
Total OI22222

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$34.98$0.0030.8%8.8%16.6%0.0%0.0%2.9%-4.0%159-6.0K-50.00138.53N/AN/A2020
2018-05-02$35.12$0.0030.7%8.8%16.5%0.0%0.0%3.8%-4.5%125-6.2K-50.00142.72N/AN/A2020
2018-05-03$35.10$30.0039.2%8.2%15.4%0.0%35.1%4.0%-7.0%128-6.0K-50.00141.83N/AN/A2020
2018-05-04$35.32$30.0043.2%9.8%14.0%0.0%39.9%18.1%-9.0%152-6.0K-50.00142.35N/AN/A2020
2018-05-07$35.29$30.0020.0%6.0%13.7%0.0%31.4%3.9%-1.7%115-6.5K-40.00114.13N/AN/A2020
2018-05-08$35.39$30.0034.6%7.3%11.5%0.0%28.5%6.2%-6.4%145-6.5K-30.00133.73N/AN/A2020
2018-05-09$35.87$30.0023.1%6.6%12.3%0.0%36.6%8.3%-4.2%103-6.8K-20.00137.84N/AN/A2020
2018-05-10$36.34$30.0021.6%6.2%12.9%0.0%36.8%9.6%-5.0%93-7.0K-20.00143.22N/AN/A2020
2018-05-11$36.42$30.0021.1%6.1%12.8%0.0%37.0%3.3%-4.9%60-7.0K-20.00148.76N/AN/A2020
2018-05-14$36.66$30.0026.4%7.6%12.9%0.0%37.4%2.8%-3.8%74-7.1K-10.00130.24N/AN/A2020
2018-05-15$36.41$30.0023.6%6.8%12.9%0.0%39.0%5.1%-5.6%92-6.9K-20.00140.44N/AN/A2020
2018-05-16$36.74$30.0018.6%5.3%12.0%0.0%0.0%1.9%-1.8%0-7.3K00.00127.06N/AN/A2020
2018-05-17$36.96$30.0019.0%5.4%12.1%0.0%0.0%-5.2%-1.5%14-7.4K00.00105.89N/AN/A2020
2018-05-18$36.80$30.0019.3%5.5%11.4%0.0%22.9%2.6%-0.8%27-7.3K-10.00100.77N/AN/A2020
2018-05-21$37.03$30.0019.2%5.5%11.4%0.0%0.0%2.7%-3.4%0-7.4K00.00102.40N/AN/A2020
2018-05-22$36.84$30.0026.7%7.6%10.1%0.0%42.3%1.7%-11.0%34-7.3K-10.00131.47N/AN/A2020
2018-05-23$36.72$30.0024.4%7.0%10.3%0.0%0.0%7.3%-6.2%0-7.3K00.00137.87N/AN/A2020
2018-05-24$36.48$30.0020.1%5.8%10.5%0.0%0.0%4.8%-2.1%0-7.3K00.00104.72N/AN/A2020
2018-05-25$35.79$30.0028.6%8.2%12.6%0.0%42.1%0.4%-3.2%66-6.9K-10.00132.43N/AN/A2020
2018-05-29$35.52$30.0028.1%8.1%12.9%0.0%46.9%1.5%-11.3%74-6.9K-10.00137.91N/AN/A2020
2018-05-30$36.40$30.0029.4%8.4%15.0%0.0%0.0%19.3%-10.3%0-7.3K00.00136.69N/AN/A2020
2018-05-31$36.25$30.0027.5%7.9%15.2%0.0%0.0%-1.4%-9.0%0-7.3K00.00141.11N/AN/A2020