NANR Options History — April 2020 In April 2020, NANR traded between $21.49 and $29.22. ATM implied volatility averaged 56.8%, placing in the 32.8% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 12.2% (HV 20d: 69.0%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days.
Notable Days 2020-04-08 : Largest IV drop — 29.2% change2020-04-01 : Highest IV Rank — 52.5%2020-04-01 : Largest Expected Move — 23.5%Monthly Statistics Metric Avg Min Max Open Close Price $25.61 $21.49 $29.22 $21.49 $28.34 ATM IV 56.8% 45.4% 82.1% 82.1% 46.6% Expected Move 15.7% 13.0% 23.5% 23.5% 13.3% HV 20d 69.0% 39.6% 103.2% 99.5% 42.8% HV 60d 64.5% 60.5% 67.0% 60.5% 67.0% IV Rank 32.8% 23.9% 52.5% 52.5% 24.8% IV Percentile 78.6% 64.3% 93.7% 93.7% 65.9% Term Structure -5.4% -10.5% 3.1% -9.9% -7.6% Skew 25d 9.6% -1.7% 22.8% 5.1% -0.4% Skew 10d 15.3% 0.5% 24.0% 6.5% 6.7% Call IV 25d 48.7% 39.0% 70.7% 70.7% 45.0% Put IV 25d 58.3% 42.6% 75.8% 75.8% 44.6% Bid-Ask Spread % 128.44 109.91 137.83 130.58 137.16 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 235 117 366 117 345 Net DEX -4.8K -7.9K -1.8K -3.3K -7.6K Net VEX -37 -48 -20 -31 -46 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 (21 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 2020-04-01 $21.49 $0.00 82.1% 23.5% 99.5% 52.5% 0.0% 5.1% -9.9% 117 -3.3K -31 0.00 130.58 N/A N/A 0 0 7 0 2020-04-02 $22.86 $0.00 77.2% 19.0% 103.2% 48.6% 0.0% 21.0% -5.2% 134 -1.8K -20 0.00 109.91 N/A N/A 0 0 7 0 2020-04-03 $22.55 $0.00 72.7% 18.8% 102.7% 45.1% 0.0% 22.8% -7.5% 139 -2.7K -29 0.00 111.88 N/A N/A 0 0 7 0 2020-04-06 $23.61 $0.00 60.5% 16.2% 92.2% 35.6% 0.0% 10.7% -7.3% 153 -4.2K -36 0.00 121.18 N/A N/A 0 0 7 0 2020-04-07 $24.03 $0.00 74.2% 16.4% 92.3% 46.3% 0.0% 8.7% -9.0% 171 -4.4K -38 0.00 132.06 N/A N/A 0 0 7 0 2020-04-08 $24.55 $0.00 52.6% 15.1% 90.6% 29.5% 0.0% 9.0% -10.5% 195 -2.4K -27 0.00 137.83 N/A N/A 0 0 7 0 2020-04-09 $25.64 $0.00 50.5% 14.5% 82.0% 27.9% 0.0% 8.6% -3.7% 251 -3.6K -34 0.00 131.20 N/A N/A 0 0 7 0 2020-04-13 $26.18 $0.00 47.6% 13.7% 81.8% 25.6% 0.0% -1.7% -0.8% 247 -5.7K -43 0.00 130.71 N/A N/A 0 0 7 0 2020-04-14 $26.11 $0.00 52.9% 15.2% 80.5% 29.7% 0.0% 9.2% -5.4% 275 -4.2K -36 0.00 134.30 N/A N/A 0 0 7 0 2020-04-15 $25.22 $0.00 57.6% 16.5% 82.1% 33.4% 0.0% 9.9% -7.7% 203 -5.3K -41 0.00 137.18 N/A N/A 0 0 7 0 2020-04-16 $24.97 $0.00 55.7% 16.0% 64.4% 31.9% 0.0% 8.9% -5.0% 207 -3.6K -31 0.00 121.65 N/A N/A 0 0 7 0 2020-04-17 $25.86 $0.00 49.4% 14.2% 60.3% 27.0% 0.0% 19.4% -4.8% 226 -4.5K -36 0.00 121.77 N/A N/A 0 0 7 0 2020-04-20 $25.64 $0.00 54.5% 15.6% 58.3% 30.9% 0.0% 7.9% -5.5% 235 -4.2K -34 0.00 120.04 N/A N/A 0 0 7 0 2020-04-21 $25.32 $0.00 59.9% 17.2% 58.8% 35.2% 0.0% 4.9% -3.7% 229 -4.0K -35 0.00 136.01 N/A N/A 0 0 7 0 2020-04-22 $26.34 $0.00 58.7% 16.8% 47.3% 34.3% 0.0% 7.9% -3.8% 246 -5.9K -41 0.00 135.78 N/A N/A 0 0 7 0 2020-04-23 $27.07 $0.00 50.5% 14.5% 44.8% 27.9% 0.0% 17.0% -2.5% 254 -6.3K -44 0.00 125.28 N/A N/A 0 0 7 0 2020-04-24 $27.35 $0.00 48.0% 13.8% 44.6% 25.9% 0.0% 5.0% 3.1% 301 -6.3K -44 0.00 125.09 N/A N/A 0 0 7 0 2020-04-27 $27.59 $0.00 49.2% 14.1% 39.6% 26.8% 0.0% 9.9% -4.2% 339 -6.2K -44 0.00 136.84 N/A N/A 0 0 7 0 2020-04-28 $27.91 $0.00 45.4% 13.0% 39.6% 23.9% 0.0% 3.0% -5.6% 304 -6.9K -45 0.00 127.96 N/A N/A 0 0 7 0 2020-04-29 $29.22 $0.00 46.8% 13.4% 41.3% 24.9% 0.0% 14.9% -6.4% 366 -7.9K -48 0.00 132.74 N/A N/A 0 0 7 0 2020-04-30 $28.34 $0.00 46.6% 13.3% 42.8% 24.8% 0.0% -0.4% -7.6% 345 -7.6K -46 0.00 137.16 N/A N/A 0 0 7 0
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