NANR Options History — June 2018 In June 2018, NANR traded between $35.14 and $36.91. ATM implied volatility averaged 28.2%. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 11.8% (HV 20d: 16.4%). Max pain ranged from $30.00 to $38.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 4.50.
Notable Days 2018-06-05 : Highest Volume — 13 contracts2018-06-12 : Largest IV spike — 96.9% change2018-06-28 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $36.09 $35.14 $36.91 $35.93 $36.46 Max Pain $37.58 $30.00 $38.00 $30.00 $38.00 ATM IV 28.2% 18.6% 49.4% 28.6% 29.8% Expected Move 6.9% 5.1% 8.6% 8.2% 8.5% HV 20d 16.4% 14.8% 19.7% 15.6% 18.2% HV 60d 16.8% 16.2% 17.7% 17.7% 16.2% Term Structure -3.5% -11.2% 20.7% -11.2% -8.9% VWIV 24.4% 13.2% 52.1% 52.1% 24.9% Skew 25d 3.4% -2.5% 8.4% 2.4% 1.7% Skew 10d 1.8% -3.1% 8.7% 3.9% 4.1% Call IV 25d 23.3% 14.6% 30.6% 30.6% 26.7% Put IV 25d 26.8% 17.8% 33.0% 33.0% 28.3% Bid-Ask Spread % 146.23 121.42 170.24 143.44 148.23 Gamma HHI 0.98 0.81 1.00 0.87 1.00 Net GEX -1.6K -2.5K 54 35 -2.0K Net DEX 21.2K -7.2K 32.5K -7.1K 28.3K Net VEX -33 -52 0 0 -32 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.50 0.00 5.50 0.00 5.50 Total Volume 11 2 13 2 11 Total OI 10.476 2 13 2 11
Daily Data (21 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 2018-06-01 $35.93 $30.00 28.6% 8.2% 15.6% 0.0% 52.1% 2.4% -11.2% 35 -7.1K 0 0.00 143.44 N/A N/A 2 0 2 0 2018-06-04 $35.76 $0.00 30.1% 5.4% 15.6% 0.0% 0.0% 0.9% -2.4% 54 -7.0K -1 0.00 170.24 N/A N/A 2 0 2 0 2018-06-05 $36.01 $0.00 33.0% 7.1% 15.8% 0.0% 19.8% 6.4% -2.9% 0 -7.2K 0 5.50 143.62 N/A N/A 2 11 2 0 2018-06-06 $36.34 $38.00 31.6% 7.0% 16.0% 0.0% 19.2% 3.7% -7.3% -1.7K 21.0K -48 5.50 130.19 N/A N/A 2 11 2 11 2018-06-07 $36.62 $38.00 30.8% 5.7% 15.6% 0.0% 22.3% -2.5% 2.2% -2.5K 17.1K -52 5.50 152.54 N/A N/A 2 11 2 11 2018-06-08 $36.61 $38.00 33.6% 5.6% 14.9% 0.0% 20.1% 8.3% -1.8% -2.0K 19.1K -49 5.50 149.97 N/A N/A 2 11 2 11 2018-06-11 $36.91 $38.00 25.1% 5.1% 15.2% 0.0% 18.9% 3.9% -2.5% -2.5K 21.4K -45 5.50 124.18 N/A N/A 2 11 2 11 2018-06-12 $36.66 $38.00 49.4% 7.1% 15.2% 0.0% 19.8% 6.0% -2.9% -1.9K 19.0K -48 5.50 148.15 N/A N/A 2 11 2 11 2018-06-13 $36.74 $38.00 23.8% 6.8% 15.0% 0.0% 17.1% 0.4% -3.9% -1.9K 20.2K -46 5.50 154.03 N/A N/A 2 11 2 11 2018-06-14 $36.54 $38.00 18.6% 5.3% 14.8% 0.0% 13.2% 5.3% -1.7% -2.5K 20.0K -46 5.50 121.42 N/A N/A 2 11 2 11 2018-06-15 $35.85 $38.00 19.1% 5.5% 16.0% 0.0% 24.4% -0.7% -0.1% -1.7K 21.3K -41 5.50 154.88 N/A N/A 2 11 2 11 2018-06-18 $35.95 $38.00 22.3% 6.4% 16.0% 0.0% 20.2% 3.6% 20.7% -1.7K 31.6K -33 0.00 145.68 N/A N/A 0 11 0 11 2018-06-19 $35.69 $38.00 26.5% 7.6% 15.9% 0.0% 21.9% 2.6% -10.5% -1.4K 31.6K -31 0.00 148.27 N/A N/A 0 11 0 11 2018-06-20 $35.72 $38.00 26.6% 7.6% 15.9% 0.0% 24.7% 3.1% -4.4% -1.6K 31.1K -33 0.00 135.75 N/A N/A 0 11 0 11 2018-06-21 $35.31 $38.00 28.3% 8.1% 16.3% 0.0% 28.8% 3.4% -10.3% -1.4K 31.5K -30 0.00 134.11 N/A N/A 0 11 0 11 2018-06-22 $36.01 $38.00 24.3% 7.0% 17.9% 0.0% 26.0% 8.4% -4.3% -1.8K 30.3K -33 0.00 160.68 N/A N/A 0 11 0 11 2018-06-25 $35.14 $38.00 26.6% 7.6% 18.7% 0.0% 34.4% 1.1% -2.2% -1.5K 30.8K -30 0.00 150.08 N/A N/A 0 11 0 11 2018-06-26 $35.78 $38.00 24.1% 6.9% 19.7% 0.0% 24.3% 5.9% -6.7% -1.4K 32.5K -26 0.00 149.43 N/A N/A 0 11 0 11 2018-06-27 $36.01 $38.00 29.0% 8.3% 17.7% 0.0% 27.1% 5.2% -2.9% -1.7K 29.6K -32 0.00 151.02 N/A N/A 0 11 0 11 2018-06-28 $35.90 $38.00 30.1% 8.6% 17.7% 0.0% 29.2% 3.2% -9.3% -1.7K 30.2K -30 0.00 155.01 N/A N/A 0 11 0 11 2018-06-29 $36.46 $38.00 29.8% 8.5% 18.2% 0.0% 24.9% 1.7% -8.9% -2.0K 28.3K -32 0.00 148.23 N/A N/A 0 11 0 11
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