NANR Options History — September 2019 In September 2019, NANR traded between $31.20 and $32.99. ATM implied volatility averaged 34.9%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 21.7% (HV 20d: 13.2%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 8 of 20 days.
Notable Days 2019-09-16 : Largest IV spike — 98.6% change2019-09-12 : Highest IV Rank — 67.3%2019-09-12 : Largest Expected Move — 17.9%Monthly Statistics Metric Avg Min Max Open Close Price $32.13 $31.20 $32.99 $31.20 $31.43 Max Pain $33.00 $33.00 $33.00 $33.00 $33.00 ATM IV 34.9% 14.7% 62.6% 32.6% 31.0% Expected Move 11.0% 4.2% 17.9% 9.3% 8.9% HV 20d 13.2% 9.8% 16.2% 15.3% 14.2% HV 60d 13.8% 13.5% 14.2% 13.5% 14.2% IV Rank 27.8% 0.0% 67.3% 21.8% 23.5% IV Percentile 61.5% 0.0% 98.4% 70.2% 59.9% Term Structure -6.0% -39.2% 30.0% 23.8% 22.1% Skew 25d 9.4% -1.3% 22.3% 15.3% 3.8% Skew 10d 14.3% 1.3% 28.2% 18.7% 15.8% Call IV 25d 34.3% 14.5% 66.4% 22.7% 31.1% Put IV 25d 43.7% 15.1% 85.6% 38.0% 34.8% Bid-Ask Spread % 174.36 108.92 198.52 170.22 177.52 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 908 0 3.5K 939 0 Net DEX -5.2K -11.6K 0 -4.9K 0 Net VEX -8 -15 0 -15 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 4.9 0 7 7 0
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 2019-09-03 $31.20 $33.00 32.6% 9.3% 15.3% 21.8% 0.0% 15.3% 23.8% 939 -4.9K -15 0.00 170.22 N/A N/A 0 0 7 0 2019-09-04 $31.69 $33.00 21.2% 6.1% 16.2% 4.5% 0.0% 2.3% -0.1% 1.3K -3.6K -11 0.00 128.20 N/A N/A 0 0 7 0 2019-09-05 $31.69 $0.00 31.0% 16.5% 15.8% 19.3% 0.0% 12.8% -39.2% 1.1K -6.4K -15 0.00 197.24 N/A N/A 0 0 7 0 2019-09-06 $31.48 $0.00 33.5% 17.0% 14.7% 23.2% 0.0% 10.6% -35.4% 1.1K -5.4K -13 0.00 197.86 N/A N/A 0 0 7 0 2019-09-09 $31.64 $0.00 57.8% 17.4% 14.6% 60.0% 0.0% 10.5% -33.2% 945 -7.3K -14 0.00 198.52 N/A N/A 0 0 7 0 2019-09-10 $31.97 $0.00 45.6% 17.5% 13.5% 41.5% 0.0% 16.7% -36.8% 1.1K -8.1K -14 0.00 197.86 N/A N/A 0 0 7 0 2019-09-11 $32.14 $0.00 61.8% 17.7% 13.6% 66.1% 0.0% 18.9% -35.4% 1.1K -8.7K -13 0.00 195.63 N/A N/A 0 0 7 0 2019-09-12 $32.15 $0.00 62.6% 17.9% 10.1% 67.3% 0.0% 19.2% -36.9% 1.1K -8.6K -13 0.00 195.63 N/A N/A 0 0 7 0 2019-09-13 $32.24 $0.00 14.7% 4.2% 9.8% 0.0% 0.0% 0.7% 8.2% 1.3K -8.4K -12 0.00 172.66 N/A N/A 0 0 7 0 2019-09-16 $32.99 $0.00 29.2% 8.4% 11.9% 20.9% 0.0% 6.9% -5.9% 3.5K -11.6K -10 0.00 177.58 N/A N/A 0 0 7 0 2019-09-17 $32.91 $0.00 30.4% 8.7% 11.9% 22.6% 0.0% 6.2% -6.5% 1.4K -11.5K -8 0.00 182.73 N/A N/A 0 0 7 0 2019-09-18 $32.58 $0.00 30.9% 8.9% 12.8% 23.4% 0.0% 6.2% -7.0% 1.3K -10.0K -7 0.00 186.14 N/A N/A 0 0 7 0 2019-09-19 $32.65 $0.00 31.1% 8.9% 12.8% 23.6% 0.0% 5.9% -6.8% 1.4K -10.2K -5 0.00 185.60 N/A N/A 0 0 7 0 2019-09-20 $32.74 $0.00 33.5% 9.6% 12.7% 27.0% 0.0% 1.3% -10.1% 591 -53 0 0.00 140.30 N/A N/A 0 0 7 0 2019-09-23 $32.81 $0.00 20.7% 5.9% 11.7% 8.6% 0.0% 4.4% 30.0% 0 0 0 0.00 111.77 N/A N/A 0 0 0 0 2019-09-24 $32.49 $0.00 36.6% 10.5% 12.6% 31.6% 0.0% 6.6% 11.1% 0 0 0 0.00 186.73 N/A N/A 0 0 0 0 2019-09-25 $32.26 $0.00 21.9% 6.3% 12.9% 10.4% 0.0% -1.3% 0.2% 0 0 0 0.00 108.92 N/A N/A 0 0 0 0 2019-09-26 $31.86 $0.00 35.2% 10.1% 13.6% 29.5% 0.0% 22.3% 18.5% 0 0 0 0.00 185.63 N/A N/A 0 0 0 0 2019-09-27 $31.61 $0.00 36.5% 10.5% 14.0% 31.4% 0.0% 19.7% 19.3% 0 0 0 0.00 190.40 N/A N/A 0 0 0 0 2019-09-30 $31.43 $0.00 31.0% 8.9% 14.2% 23.5% 0.0% 3.8% 22.1% 0 0 0 0.00 177.52 N/A N/A 0 0 0 0
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