NANR Options History — July 2018

In July 2018, NANR traded between $35.38 and $37.12. ATM implied volatility averaged 23.6%. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.7% (HV 20d: 18.9%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days.

Notable Days

  • 2018-07-02: Highest Volume — 11 contracts
  • 2018-07-09: Largest IV spike — 106.4% change
  • 2018-07-19: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.06$35.38$37.12$35.94$35.99
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV23.6%15.5%33.1%26.2%25.7%
Expected Move6.5%4.7%7.9%7.5%7.4%
HV 20d18.9%14.8%21.5%18.9%14.8%
HV 60d16.1%15.5%16.7%16.1%16.3%
Term Structure-2.9%-10.4%3.5%-1.2%-6.1%
VWIV29.0%28.0%30.0%28.0%30.0%
Skew 25d5.4%1.9%12.2%4.6%3.4%
Skew 10d3.3%-4.4%11.0%-0.5%-3.8%
Call IV 25d22.2%12.8%29.8%29.8%29.3%
Put IV 25d27.6%18.2%34.9%34.4%32.7%
Bid-Ask Spread %146.82101.54167.79157.59166.16
Gamma HHI1.001.001.001.001.00
Net GEX-1.1K-2.8K0-1.8K0
Net DEX16.7K036.9K30.6K0
Net VEX-10-270-270
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume7.333011110
Total OI5.762011110

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$35.94$38.0026.2%7.5%18.9%0.0%28.0%4.6%-1.2%-1.8K30.6K-270.00157.59N/AN/A011011
2018-07-03$36.34$38.0026.7%7.7%19.2%0.0%30.0%1.9%-5.7%-2.1K30.3K-270.00167.79N/AN/A011011
2018-07-05$36.34$0.0029.3%6.8%18.9%0.0%0.0%7.5%-4.9%-2.1K29.6K-260.00149.03N/AN/A011011
2018-07-06$36.55$0.0015.5%5.4%18.8%0.0%0.0%2.3%0.2%-1.8K36.9K-120.00101.72N/AN/A011011
2018-07-09$36.95$0.0031.9%7.4%19.2%0.0%0.0%7.3%-2.4%-2.6K28.5K-240.00142.24N/AN/A011011
2018-07-10$37.12$0.0033.1%6.0%19.1%0.0%0.0%8.0%-3.7%-2.8K27.3K-240.00156.28N/AN/A011011
2018-07-11$36.10$0.0020.7%5.9%21.4%0.0%0.0%5.2%-2.5%-1.9K31.7K-180.00151.26N/AN/A011011
2018-07-12$36.31$0.0022.0%6.3%21.5%0.0%0.0%3.3%-2.9%-2.1K33.1K-150.00161.40N/AN/A011011
2018-07-13$36.20$0.0024.0%6.9%21.5%0.0%0.0%5.7%-3.3%-2.0K33.2K-140.00140.90N/AN/A011011
2018-07-16$35.90$0.0016.5%4.7%20.5%0.0%0.0%10.8%-0.4%-1.7K35.0K-80.00153.61N/AN/A011011
2018-07-17$35.93$0.0022.2%6.4%20.5%0.0%0.0%12.2%-6.8%-1.7K34.7K-80.00154.21N/AN/A011011
2018-07-18$35.96$0.0020.9%6.0%20.3%0.0%0.0%4.1%-0.2%0000.00143.75N/AN/A01100
2018-07-19$35.52$0.0027.5%7.9%20.8%0.0%0.0%7.0%-5.2%0000.00133.79N/AN/A01100
2018-07-20$35.56$0.0019.7%5.7%20.4%0.0%0.0%3.7%-0.1%0000.00101.54N/AN/A01100
2018-07-23$35.38$0.0026.9%7.7%19.2%0.0%0.0%6.9%-1.8%0000.00153.23N/AN/A0000
2018-07-24$35.75$0.0018.9%5.4%17.4%0.0%0.0%4.2%1.1%0000.00153.54N/AN/A0000
2018-07-25$35.93$0.0018.5%5.3%16.3%0.0%0.0%5.4%3.5%0000.00160.44N/AN/A0000
2018-07-26$36.03$0.0024.6%7.1%16.1%0.0%0.0%4.0%-4.3%0000.00162.61N/AN/A0000
2018-07-27$35.67$0.0025.3%7.2%16.5%0.0%0.0%2.0%-10.4%0000.00156.36N/AN/A0000
2018-07-30$35.81$0.0020.2%5.8%15.5%0.0%0.0%5.1%-4.0%0000.00115.85N/AN/A0000
2018-07-31$35.99$0.0025.7%7.4%14.8%0.0%0.0%3.4%-6.1%0000.00166.16N/AN/A0000