NANR Options History — May 2020 In May 2020, NANR traded between $27.31 and $29.42. ATM implied volatility averaged 50.9%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 13.9% (HV 20d: 37.0%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2020-05-11 : Highest Volume — 1 contracts2020-05-12 : Largest IV spike — 67.5% change2020-05-12 : Highest IV Rank — 62.3%2020-05-06 : Largest Expected Move — 13.9%Monthly Statistics Metric Avg Min Max Open Close Price $28.47 $27.31 $29.42 $27.70 $28.42 ATM IV 50.9% 34.7% 94.8% 47.6% 45.4% Expected Move 12.1% 10.0% 13.9% 13.6% 13.0% HV 20d 37.0% 29.9% 40.7% 40.7% 29.9% HV 60d 67.5% 66.6% 68.5% 66.9% 66.6% IV Rank 28.2% 15.6% 62.3% 25.6% 23.9% IV Percentile 66.7% 40.9% 95.6% 67.1% 61.1% Term Structure 13.2% -3.6% 85.3% -3.0% 10.8% Skew 25d 7.4% -3.0% 15.4% 7.6% 7.4% Skew 10d 8.1% -13.1% 23.0% 11.7% 3.3% Call IV 25d 37.6% 29.4% 47.6% 47.6% 45.1% Put IV 25d 45.1% 30.3% 55.2% 55.2% 52.5% Bid-Ask Spread % 129.16 122.21 134.78 125.88 134.08 Gamma HHI 0.92 0.54 1.00 1.00 1.00 Net GEX 414 205 1.6K 288 345 Net DEX -7.8K -9.1K -6.1K -6.1K -7.7K Net VEX -44 -49 -40 -42 -43 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.1 0 1 0 0 Total OI 7.2 7 8 7 7
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 2020-05-01 $27.70 $0.00 47.6% 13.6% 40.7% 25.6% 0.0% 7.6% -3.0% 288 -6.1K -42 0.00 125.88 N/A N/A 0 0 7 0 2020-05-04 $28.14 $0.00 63.0% 12.9% 39.8% 37.6% 0.0% 8.2% 7.5% 360 -7.0K -46 0.00 129.94 N/A N/A 0 0 7 0 2020-05-05 $28.46 $0.00 64.9% 12.6% 37.6% 39.1% 0.0% 7.8% 27.4% 313 -6.1K -40 0.00 129.47 N/A N/A 0 0 7 0 2020-05-06 $27.83 $0.00 68.3% 13.9% 39.1% 41.7% 0.0% 6.8% 10.0% 239 -8.3K -46 0.00 123.57 N/A N/A 0 0 7 0 2020-05-07 $28.58 $0.00 63.8% 12.4% 39.4% 38.2% 0.0% 12.0% 22.2% 205 -8.2K -44 0.00 128.86 N/A N/A 0 0 7 0 2020-05-08 $29.15 $0.00 66.9% 12.1% 37.4% 40.6% 0.0% 10.2% 16.2% 337 -9.1K -49 0.00 134.71 N/A N/A 0 0 7 0 2020-05-11 $28.53 $0.00 56.6% 11.4% 38.2% 32.6% 0.0% 7.0% -1.7% 370 -7.5K -44 0.00 123.86 N/A N/A 1 0 7 0 2020-05-12 $28.09 $0.00 94.8% 11.7% 38.8% 62.3% 0.0% 6.1% 14.9% 429 -8.6K -44 0.00 131.55 N/A N/A 0 0 8 0 2020-05-13 $27.31 $0.00 42.5% 12.2% 38.0% 21.6% 0.0% 5.7% 12.6% 393 -8.3K -43 0.00 122.21 N/A N/A 0 0 8 0 2020-05-14 $27.69 $0.00 41.6% 11.9% 37.8% 20.9% 0.0% 7.7% 30.0% 456 -7.3K -40 0.00 127.20 N/A N/A 0 0 8 0 2020-05-15 $28.15 $0.00 42.4% 12.1% 36.4% 21.5% 0.0% 9.1% 85.3% 1.6K -9.1K -42 0.00 125.44 N/A N/A 1 0 8 0 2020-05-18 $29.27 $0.00 42.3% 12.1% 38.1% 21.5% 0.0% 15.4% 16.9% 382 -8.4K -46 0.00 129.47 N/A N/A 0 0 7 0 2020-05-19 $29.11 $0.00 41.1% 11.8% 37.7% 20.6% 0.0% 10.9% 12.9% 375 -8.2K -46 0.00 127.28 N/A N/A 0 0 7 0 2020-05-20 $29.42 $0.00 41.2% 11.8% 35.7% 20.6% 0.0% 4.9% 1.1% 365 -8.8K -46 0.00 134.78 N/A N/A 0 0 7 0 2020-05-21 $28.78 $0.00 34.7% 10.0% 36.0% 15.6% 0.0% -3.0% 9.1% 348 -6.8K -40 0.00 124.58 N/A N/A 0 0 7 0 2020-05-22 $28.63 $0.00 38.4% 11.0% 36.0% 18.4% 0.0% 6.8% -2.2% 360 -7.8K -44 0.00 133.63 N/A N/A 0 0 7 0 2020-05-26 $28.81 $0.00 44.1% 12.6% 36.0% 22.9% 0.0% 11.2% 0.2% 390 -7.4K -43 0.00 132.55 N/A N/A 0 0 7 0 2020-05-27 $28.74 $0.00 39.8% 11.4% 35.8% 19.5% 0.0% 2.8% -3.6% 374 -7.5K -42 0.00 131.21 N/A N/A 0 0 7 0 2020-05-28 $28.66 $0.00 39.6% 11.3% 31.7% 19.4% 0.0% 4.6% -2.4% 365 -7.9K -43 0.00 132.90 N/A N/A 0 0 7 0 2020-05-29 $28.42 $0.00 45.4% 13.0% 29.9% 23.9% 0.0% 7.4% 10.8% 345 -7.7K -43 0.00 134.08 N/A N/A 0 0 7 0
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