NANR Options History — August 2020 In August 2020, NANR traded between $30.40 and $31.61. ATM implied volatility averaged 43.5%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 22.0% (HV 20d: 21.5%). Max pain ranged from $31.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2020-08-06 : Highest Volume — 2 contracts2020-08-06 : Largest IV spike — 137.8% change2020-08-07 : Highest IV Rank — 49.9%2020-08-27 : Largest Expected Move — 15.6%Monthly Statistics Metric Avg Min Max Open Close Price $31.02 $30.40 $31.61 $30.40 $30.97 Max Pain $31.00 $31.00 $31.00 $31.00 $31.00 ATM IV 43.5% 26.4% 77.7% 35.5% 50.2% Expected Move 11.4% 7.6% 15.6% 10.2% 14.4% HV 20d 21.5% 19.6% 23.2% 21.7% 20.3% HV 60d 28.8% 27.1% 30.1% 30.1% 27.1% IV Rank 27.0% 15.4% 49.9% 21.6% 31.4% IV Percentile 41.3% 9.9% 85.7% 25.0% 58.7% Term Structure 5.7% -7.1% 22.4% -0.2% 11.9% VWIV 51.5% 51.5% 51.5% 51.5% 51.5% Skew 25d -7.9% -43.5% 7.0% 2.9% -19.0% Skew 10d 2.9% -34.1% 72.7% 3.3% -19.5% Call IV 25d 51.8% 27.2% 85.7% 29.8% 85.7% Put IV 25d 43.9% 24.6% 70.9% 32.8% 66.7% Bid-Ask Spread % 148.53 124.07 170.12 160.74 150.19 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 1.2K 532 1.7K 716 1.7K Net DEX -12.6K -16.4K -9.7K -9.7K -11.6K Net VEX -29 -36 -21 -30 -21 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 0.095 0 2 0 0 Total OI 8.619 7 9 7 9
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 2020-08-03 $30.40 $0.00 35.5% 10.2% 21.7% 21.6% 0.0% 2.9% -0.2% 716 -9.7K -30 0.00 160.74 N/A N/A 0 0 7 0 2020-08-04 $31.08 $0.00 37.3% 10.7% 22.8% 22.8% 0.0% -11.2% 8.7% 675 -10.6K -29 0.00 170.12 N/A N/A 0 0 7 0 2020-08-05 $31.60 $0.00 32.6% 9.3% 23.2% 19.6% 0.0% 5.5% 1.1% 763 -12.9K -30 0.00 166.95 N/A N/A 0 0 7 0 2020-08-06 $31.33 $31.00 77.5% 15.1% 20.9% 49.8% 51.5% 0.8% -7.1% 532 -11.2K -29 0.00 150.05 N/A N/A 2 0 7 0 2020-08-07 $31.01 $31.00 77.7% 13.1% 21.5% 49.9% 0.0% -8.1% -1.7% 930 -12.5K -34 0.00 151.31 N/A N/A 0 0 9 0 2020-08-10 $31.47 $31.00 53.0% 9.7% 21.7% 33.4% 0.0% 7.0% 3.6% 1.1K -15.5K -36 0.00 125.74 N/A N/A 0 0 9 0 2020-08-11 $30.79 $31.00 35.4% 8.5% 22.3% 21.5% 0.0% 6.0% 11.6% 1.2K -13.9K -36 0.00 124.07 N/A N/A 0 0 9 0 2020-08-12 $30.86 $31.00 29.9% 8.6% 21.9% 17.8% 0.0% -9.5% 22.4% 1.2K -15.2K -35 0.00 141.45 N/A N/A 0 0 9 0 2020-08-13 $30.90 $31.00 43.1% 12.4% 21.7% 26.7% 0.0% -11.5% 3.9% 1.1K -11.8K -31 0.00 151.53 N/A N/A 0 0 9 0 2020-08-14 $30.92 $31.00 44.3% 12.7% 21.7% 27.5% 0.0% 2.2% -5.2% 1.2K -11.7K -30 0.00 147.32 N/A N/A 0 0 9 0 2020-08-17 $31.59 $31.00 29.4% 8.4% 22.7% 17.5% 0.0% 1.8% 1.0% 1.3K -16.4K -32 0.00 126.20 N/A N/A 0 0 9 0 2020-08-18 $31.61 $31.00 26.4% 7.6% 20.3% 15.4% 0.0% -3.9% -2.1% 1.4K -16.4K -32 0.00 145.24 N/A N/A 0 0 9 0 2020-08-19 $31.12 $31.00 43.4% 12.4% 21.2% 26.9% 0.0% -23.0% 10.3% 1.3K -12.9K -30 0.00 151.38 N/A N/A 0 0 9 0 2020-08-20 $31.07 $31.00 45.0% 12.9% 21.0% 28.0% 0.0% -14.7% 7.3% 1.4K -12.1K -27 0.00 151.52 N/A N/A 0 0 9 0 2020-08-21 $30.50 $31.00 28.3% 8.1% 22.1% 16.7% 0.0% -1.6% -2.6% 1.3K -12.0K -30 0.00 147.13 N/A N/A 0 0 9 0 2020-08-24 $30.85 $31.00 47.5% 13.6% 21.8% 29.7% 0.0% -22.7% 16.2% 1.3K -11.3K -26 0.00 152.22 N/A N/A 0 0 9 0 2020-08-25 $30.72 $31.00 27.6% 7.9% 21.7% 16.3% 0.0% 0.1% 20.7% 1.6K -11.4K -27 0.00 150.03 N/A N/A 0 0 9 0 2020-08-26 $30.80 $31.00 46.5% 13.3% 21.7% 29.0% 0.0% -17.1% 9.2% 1.4K -10.7K -24 0.00 152.04 N/A N/A 0 0 9 0 2020-08-27 $30.70 $31.00 54.4% 15.6% 19.6% 34.3% 0.0% -5.7% 1.1% 1.0K -11.6K -25 0.00 152.39 N/A N/A 0 0 9 0 2020-08-28 $31.16 $31.00 48.3% 13.9% 20.2% 30.2% 0.0% -43.5% 10.2% 1.7K -12.6K -23 0.00 151.45 N/A N/A 0 0 9 0 2020-08-31 $30.97 $31.00 50.2% 14.4% 20.3% 31.4% 0.0% -19.0% 11.9% 1.7K -11.6K -21 0.00 150.19 N/A N/A 0 0 9 0
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