NANR Options History — February 2020 In February 2020, NANR traded between $27.76 and $32.32. ATM implied volatility averaged 44.8%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 27.3% (HV 20d: 17.5%). Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days.
Notable Days 2020-02-10 : Largest IV spike — 186.9% change2020-02-28 : Highest IV Rank — 68.2%2020-02-28 : Largest Expected Move — 20.2%Monthly Statistics Metric Avg Min Max Open Close Price $31.24 $27.76 $32.32 $31.22 $27.76 ATM IV 44.8% 17.5% 70.6% 49.0% 70.6% Expected Move 11.7% 5.0% 20.2% 14.0% 20.2% HV 20d 17.5% 13.1% 27.7% 13.1% 27.7% HV 60d 13.9% 12.3% 19.6% 12.6% 19.6% IV Rank 36.7% 3.4% 68.2% 41.8% 68.2% IV Percentile 74.9% 1.6% 98.4% 87.3% 98.4% Term Structure -7.0% -19.3% 61.0% -13.8% -19.3% Skew 25d 7.2% -7.8% 24.7% -2.6% -0.4% Skew 10d 8.2% -17.6% 29.5% -8.8% -11.7% Call IV 25d 38.4% 16.0% 71.8% 56.7% 71.8% Put IV 25d 45.6% 18.4% 71.4% 54.1% 71.4% Bid-Ask Spread % 175.71 102.79 197.60 188.98 197.60 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 597 297 821 810 297 Net DEX -12.4K -15.7K -7.3K -12.7K -7.5K Net VEX -64 -68 -55 -68 -55 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 7 7 7 7 7
Daily Data (19 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 2020-02-03 $31.22 $0.00 49.0% 14.0% 13.1% 41.8% 0.0% -2.6% -13.8% 810 -12.7K -68 0.00 188.98 N/A N/A 0 0 7 0 2020-02-04 $31.28 $0.00 48.0% 13.8% 13.2% 40.6% 0.0% -3.5% -13.7% 697 -12.8K -68 0.00 189.70 N/A N/A 0 0 7 0 2020-02-05 $31.98 $0.00 17.5% 5.0% 16.1% 3.4% 0.0% 17.7% 1.3% 429 -13.8K -67 0.00 149.07 N/A N/A 0 0 7 0 2020-02-06 $31.95 $0.00 49.4% 6.0% 15.8% 42.3% 0.0% 2.1% 0.6% 552 -12.9K -67 0.00 106.99 N/A N/A 0 0 7 0 2020-02-07 $31.44 $0.00 20.7% 6.0% 16.4% 7.3% 0.0% 2.1% 3.1% 522 -12.1K -67 0.00 102.79 N/A N/A 0 0 7 0 2020-02-10 $31.43 $0.00 59.4% 10.7% 15.0% 54.6% 0.0% 15.5% -11.9% 821 -13.3K -66 0.00 190.09 N/A N/A 0 0 7 0 2020-02-11 $31.76 $0.00 57.6% 10.1% 15.6% 52.3% 0.0% 15.2% -10.5% 648 -13.9K -66 0.00 190.87 N/A N/A 0 0 7 0 2020-02-12 $31.94 $0.00 36.1% 10.4% 15.7% 26.1% 0.0% 24.7% -10.3% 465 -13.8K -66 0.00 192.03 N/A N/A 0 0 7 0 2020-02-13 $31.84 $0.00 36.0% 10.3% 15.7% 26.0% 0.0% 21.0% -11.0% 638 -12.5K -65 0.00 186.11 N/A N/A 0 0 7 0 2020-02-14 $31.59 $0.00 36.6% 10.5% 15.6% 26.7% 0.0% 16.3% -11.6% 747 -13.7K -65 0.00 189.72 N/A N/A 0 0 7 0 2020-02-18 $31.80 $0.00 38.5% 11.0% 15.9% 29.0% 0.0% 16.8% -12.8% 770 -11.7K -59 0.00 189.24 N/A N/A 0 0 7 0 2020-02-19 $32.25 $0.00 38.8% 11.1% 16.7% 29.4% 0.0% -7.8% -13.1% 604 -15.0K -64 0.00 185.55 N/A N/A 0 0 7 0 2020-02-20 $32.32 $0.00 40.8% 11.7% 16.6% 31.8% 0.0% 4.5% -15.5% 723 -15.7K -61 0.00 189.97 N/A N/A 0 0 7 0 2020-02-21 $32.30 $0.00 41.2% 11.8% 16.5% 32.3% 0.0% 4.5% -12.2% 494 -13.4K -64 0.00 170.47 N/A N/A 0 0 7 0 2020-02-24 $31.63 $0.00 46.3% 13.3% 17.8% 38.6% 0.0% 18.5% 61.0% 441 -13.2K -64 0.00 188.83 N/A N/A 0 0 7 0 2020-02-25 $30.48 $0.00 54.2% 15.5% 20.8% 48.2% 0.0% 0.8% -14.2% 605 -10.7K -64 0.00 183.53 N/A N/A 0 0 7 0 2020-02-26 $30.00 $0.00 51.4% 14.7% 21.3% 44.7% 0.0% -3.4% -13.1% 638 -9.4K -62 0.00 179.62 N/A N/A 0 0 7 0 2020-02-27 $28.62 $0.00 58.6% 16.8% 26.5% 53.6% 0.0% -5.0% -16.8% 443 -7.3K -57 0.00 167.35 N/A N/A 0 0 7 0 2020-02-28 $27.76 $0.00 70.6% 20.2% 27.7% 68.2% 0.0% -0.4% -19.3% 297 -7.5K -55 0.00 197.60 N/A N/A 0 0 7 0
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