NANR Options History — January 2020

In January 2020, NANR traded between $31.25 and $33.84. ATM implied volatility averaged 46.3%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 34.2% (HV 20d: 12.1%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.00.

Notable Days

  • 2020-01-31: Highest Volume — 7 contracts
  • 2020-01-29: Largest IV spike — 79.3% change
  • 2020-01-14: Highest IV Rank — 100.0%
  • 2020-01-03: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.80$31.25$33.84$33.67$31.25
ATM IV46.3%22.9%96.7%44.3%47.0%
Expected Move10.3%6.2%13.5%12.7%13.5%
HV 20d12.1%9.8%13.5%10.8%13.5%
HV 60d11.7%10.8%12.6%11.1%12.6%
IV Rank41.8%10.0%100.0%43.1%39.4%
IV Percentile78.4%26.2%100.0%86.1%86.1%
Term Structure-6.5%-17.7%9.5%-15.4%-11.5%
Skew 25d12.3%-5.9%25.9%8.1%-5.9%
Skew 10d13.3%-11.2%27.0%21.4%-11.2%
Call IV 25d29.7%13.0%52.7%48.8%52.7%
Put IV 25d42.0%24.0%59.5%56.8%46.8%
Bid-Ask Spread %195.27187.64199.58188.12187.64
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.3680707
Total OI00000

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$33.67$0.0044.3%12.7%10.8%43.1%0.0%8.1%-15.4%0000.00188.12N/AN/A0000
2020-01-03$33.56$0.0047.3%13.5%10.6%47.5%0.0%7.1%-17.7%0000.00190.91N/AN/A0000
2020-01-06$33.78$0.0051.6%8.8%10.5%53.9%0.0%6.5%-2.4%0000.00195.33N/AN/A0000
2020-01-07$33.84$0.0054.1%6.2%9.8%57.5%0.0%5.1%-3.0%0000.00195.04N/AN/A0000
2020-01-10$33.12$0.0063.6%9.2%13.1%71.4%0.0%24.8%-4.0%0000.00199.58N/AN/A0000
2020-01-13$33.19$0.0083.1%9.4%13.1%99.8%0.0%25.9%-4.2%0000.00199.57N/AN/A0000
2020-01-14$33.31$0.0096.7%9.2%12.8%100.0%0.0%24.6%-4.3%0000.00198.74N/AN/A0000
2020-01-15$33.35$0.0033.5%9.6%11.9%22.9%0.0%25.8%-5.9%0000.00198.40N/AN/A0000
2020-01-16$33.48$0.0034.2%9.8%11.8%23.7%0.0%24.8%-5.3%0000.00196.92N/AN/A0000
2020-01-17$33.30$0.0033.3%9.5%11.8%22.6%0.0%23.5%-5.6%0000.00198.37N/AN/A0000
2020-01-21$32.98$0.0033.9%9.7%12.4%23.5%0.0%9.3%-5.4%0000.00199.56N/AN/A0000
2020-01-22$32.74$0.0035.2%10.1%12.3%25.1%0.0%23.3%-6.5%0000.00199.55N/AN/A0000
2020-01-23$32.57$0.0036.6%10.5%12.4%26.7%0.0%24.4%-7.5%0000.00197.98N/AN/A0000
2020-01-24$32.28$0.0038.4%11.0%12.4%28.8%0.0%20.6%-6.7%0000.00196.70N/AN/A0000
2020-01-27$31.61$0.0041.0%11.8%13.2%32.1%0.0%-5.2%-9.4%0000.00191.55N/AN/A0000
2020-01-28$31.70$0.0022.9%6.6%12.9%10.0%0.0%0.4%9.5%0000.00191.92N/AN/A0000
2020-01-29$31.64$0.0041.2%11.8%12.4%32.3%0.0%-5.3%-9.4%0000.00191.81N/AN/A0000
2020-01-30$31.78$0.0042.0%12.0%12.6%33.3%0.0%-4.1%-9.1%0000.00192.46N/AN/A0000
2020-01-31$31.25$0.0047.0%13.5%13.5%39.4%0.0%-5.9%-11.5%0000.00187.64N/AN/A7000