NANR Options History — March 2020 In March 2020, NANR traded between $18.11 and $29.43. ATM implied volatility averaged 95.4%, placing in the 71.4% IV rank vs the trailing year. The 30-day expected move averaged 25.7%. IV traded above realized volatility by 25.5% (HV 20d: 69.8%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days.
Notable Days 2020-03-16 : Largest IV spike — 65.7% change2020-03-09 : Highest IV Rank — 100.0%2020-03-16 : Largest Expected Move — 41.0%Monthly Statistics Metric Avg Min Max Open Close Price $22.97 $18.11 $29.43 $28.80 $21.89 ATM IV 95.4% 62.6% 143.2% 63.7% 71.5% Expected Move 25.7% 14.1% 41.0% 18.3% 20.5% HV 20d 69.8% 31.0% 101.3% 31.4% 99.8% HV 60d 43.5% 21.2% 60.5% 21.2% 60.5% IV Rank 71.4% 41.4% 100.0% 59.7% 44.2% IV Percentile 97.3% 90.9% 100.0% 96.8% 91.7% Term Structure -23.5% -50.3% -2.4% -18.6% -23.6% Skew 25d 2.2% -48.5% 18.2% 4.7% 7.8% Skew 10d -3.9% -36.5% 26.8% -8.0% 18.9% Call IV 25d 91.9% 48.4% 155.1% 68.2% 62.7% Put IV 25d 94.2% 51.7% 145.1% 73.0% 70.6% Bid-Ask Spread % 154.26 118.89 175.76 172.47 129.01 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 190 72 577 501 122 Net DEX -4.8K -8.7K -1.7K -7.1K -2.7K Net VEX -39 -59 -20 -57 -28 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 (22 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 2020-03-02 $28.80 $0.00 63.7% 18.3% 31.4% 59.7% 0.0% 4.7% -18.6% 501 -7.1K -57 0.00 172.47 N/A N/A 0 0 7 0 2020-03-03 $29.22 $0.00 64.0% 18.4% 32.1% 60.2% 0.0% 4.2% -18.5% 411 -8.7K -58 0.00 174.06 N/A N/A 0 0 7 0 2020-03-04 $29.43 $0.00 62.6% 17.9% 32.3% 58.4% 0.0% 5.8% -18.1% 577 -8.0K -59 0.00 175.20 N/A N/A 0 0 7 0 2020-03-05 $29.03 $0.00 71.7% 14.1% 31.0% 69.5% 0.0% 3.3% -13.0% 469 -7.8K -58 0.00 175.76 N/A N/A 0 0 7 0 2020-03-06 $27.91 $0.00 75.9% 15.4% 33.3% 74.6% 0.0% -0.5% -15.1% 354 -6.7K -52 0.00 161.69 N/A N/A 0 0 7 0 2020-03-09 $24.25 $0.00 103.0% 18.2% 58.1% 100.0% 0.0% -0.8% -16.5% 175 -4.8K -42 0.00 142.75 N/A N/A 0 0 7 0 2020-03-10 $24.60 $0.00 125.8% 23.6% 58.7% 100.0% 0.0% 5.3% -24.6% 154 -6.4K -47 0.00 166.80 N/A N/A 0 0 7 0 2020-03-11 $23.34 $0.00 110.9% 31.8% 59.7% 86.6% 0.0% -3.2% -35.9% 122 -6.3K -45 0.00 175.01 N/A N/A 0 0 7 0 2020-03-12 $21.00 $0.00 78.4% 22.5% 67.1% 57.3% 0.0% -48.5% -16.8% 108 -3.6K -32 0.00 161.43 N/A N/A 0 0 7 0 2020-03-13 $20.80 $0.00 86.4% 24.8% 66.9% 64.5% 0.0% 10.6% -18.8% 106 -3.4K -32 0.00 141.38 N/A N/A 0 0 7 0 2020-03-16 $20.18 $0.00 143.2% 41.0% 66.8% 100.0% 0.0% -2.8% -50.3% 85 -5.0K -39 0.00 164.28 N/A N/A 0 0 7 0 2020-03-17 $20.60 $0.00 115.7% 33.2% 67.8% 78.6% 0.0% 5.6% -39.1% 95 -4.6K -37 0.00 157.71 N/A N/A 0 0 7 0 2020-03-18 $18.11 $0.00 125.3% 35.9% 76.2% 86.1% 0.0% -13.6% -46.8% 72 -3.1K -29 0.00 140.73 N/A N/A 0 0 7 0 2020-03-19 $19.62 $0.00 92.6% 26.6% 85.0% 60.6% 0.0% 6.5% -2.4% 89 -3.1K -30 0.00 141.56 N/A N/A 0 0 7 0 2020-03-20 $18.98 $0.00 139.2% 39.9% 84.5% 96.9% 0.0% -10.0% -48.7% 75 -4.4K -34 0.00 162.97 N/A N/A 0 0 7 0 2020-03-23 $18.92 $0.00 120.6% 34.6% 84.9% 82.5% 0.0% 3.8% -24.2% 81 -2.9K -27 0.00 154.68 N/A N/A 0 0 7 0 2020-03-24 $21.17 $0.00 105.5% 30.2% 97.8% 70.7% 0.0% 17.0% -20.2% 107 -4.2K -34 0.00 158.26 N/A N/A 0 0 7 0 2020-03-25 $22.37 $0.00 111.5% 32.0% 101.3% 75.4% 0.0% 15.4% -28.0% 122 -4.9K -38 0.00 162.17 N/A N/A 0 0 7 0 2020-03-26 $22.28 $0.00 79.1% 22.7% 100.6% 50.1% 0.0% 11.4% -16.5% 133 -3.0K -29 0.00 134.41 N/A N/A 0 0 7 0 2020-03-27 $21.31 $0.00 83.4% 23.9% 101.0% 53.4% 0.0% 18.2% -12.2% 103 -1.7K -20 0.00 118.89 N/A N/A 0 0 7 0 2020-03-30 $21.57 $0.00 67.9% 19.5% 99.8% 41.4% 0.0% 8.8% -8.1% 112 -2.7K -26 0.00 122.52 N/A N/A 0 0 7 0 2020-03-31 $21.89 $0.00 71.5% 20.5% 99.8% 44.2% 0.0% 7.8% -23.6% 122 -2.7K -28 0.00 129.01 N/A N/A 0 0 7 0
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