NANR Options History — September 2020 In September 2020, NANR traded between $27.99 and $30.96. ATM implied volatility averaged 59.6%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 36.8% (HV 20d: 22.8%). 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 7 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2020-09-14 : Highest Volume — 4 contracts2020-09-25 : Largest IV spike — 114.0% change2020-09-03 : Highest IV Rank — 75.3%2020-09-30 : Largest Expected Move — 24.4%Monthly Statistics Metric Avg Min Max Open Close Price $29.67 $27.99 $30.96 $30.81 $28.44 Max Pain $31.00 $31.00 $31.00 $31.00 $31.00 ATM IV 59.6% 31.1% 115.5% 53.5% 85.1% Expected Move 15.8% 8.9% 24.4% 15.3% 24.4% HV 20d 22.8% 17.8% 28.3% 18.8% 28.3% HV 60d 23.1% 21.0% 26.5% 26.5% 23.7% IV Rank 37.7% 18.6% 75.3% 33.7% 54.9% IV Percentile 61.2% 15.5% 95.2% 64.3% 88.1% Term Structure -8.5% -39.7% 16.8% 5.9% -39.7% VWIV 17.6% 17.6% 17.6% 17.6% 17.6% Skew 25d 11.5% -71.2% 62.0% -14.8% 30.0% Skew 10d 19.2% -42.6% 61.9% -15.9% 51.5% Call IV 25d 50.2% 28.4% 87.7% 87.7% 75.2% Put IV 25d 61.6% 15.0% 105.1% 72.9% 105.1% Bid-Ask Spread % 176.36 137.89 196.86 150.45 184.38 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 773 114 3.9K 1.4K 118 Net DEX -7.3K -17.3K -529 -10.9K -2.0K Net VEX -11 -22 -2 -21 -4 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 0.19 0 4 0 0 Total OI 6.714 2 11 9 2
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 2020-09-01 $30.81 $31.00 53.5% 15.3% 18.8% 33.7% 0.0% -14.8% 5.9% 1.4K -10.9K -21 0.00 150.45 N/A N/A 0 0 9 0 2020-09-02 $30.96 $31.00 55.3% 15.9% 17.8% 34.9% 0.0% -71.2% 16.3% 1.6K -11.9K -21 0.00 137.89 N/A N/A 0 0 9 0 2020-09-03 $30.41 $0.00 115.5% 23.0% 18.6% 75.3% 0.0% 62.0% -15.2% 642 -13.4K -22 0.00 196.86 N/A N/A 0 0 9 0 2020-09-04 $30.51 $0.00 71.3% 17.4% 18.4% 45.6% 0.0% 38.8% -15.8% 877 -11.5K -20 0.00 163.30 N/A N/A 0 0 9 0 2020-09-08 $29.77 $0.00 100.0% 15.8% 19.2% 64.9% 0.0% 11.8% -11.7% 1.0K -9.1K -16 0.00 149.88 N/A N/A 0 0 9 0 2020-09-09 $30.51 $0.00 31.1% 8.9% 20.2% 18.6% 0.0% 3.3% 2.2% 1.5K -9.0K -14 0.00 144.15 N/A N/A 0 0 9 0 2020-09-10 $29.83 $0.00 40.1% 11.5% 21.6% 24.7% 0.0% 15.3% 1.8% 642 -11.8K -16 0.00 195.79 N/A N/A 0 0 9 0 2020-09-11 $29.88 $0.00 59.8% 17.1% 21.6% 37.9% 0.0% 43.5% -11.7% 704 -11.6K -15 0.00 195.95 N/A N/A 0 0 9 0 2020-09-14 $30.17 $0.00 56.5% 16.2% 22.0% 35.7% 17.6% 31.2% -19.2% 712 -12.5K -11 0.00 196.06 N/A N/A 4 0 9 0 2020-09-15 $30.11 $31.00 60.4% 17.3% 20.3% 38.3% 0.0% -13.8% -13.4% 969 -14.7K -17 0.00 194.97 N/A N/A 0 0 11 0 2020-09-16 $30.68 $31.00 46.2% 13.2% 21.6% 28.7% 0.0% 10.7% 16.8% 908 -17.3K -15 0.00 195.98 N/A N/A 0 0 11 0 2020-09-17 $30.49 $31.00 64.9% 18.6% 21.0% 41.3% 0.0% 11.0% -11.9% 3.9K -5.9K -10 0.00 196.79 N/A N/A 0 0 11 0 2020-09-18 $30.31 $31.00 45.0% 12.9% 21.1% 28.0% 0.0% -11.5% -5.0% 182 -2.8K -7 0.00 192.86 N/A N/A 0 0 11 0 2020-09-21 $29.18 $31.00 72.8% 20.9% 24.1% 46.6% 0.0% -0.6% -15.5% 114 -2.5K -6 0.00 192.81 N/A N/A 0 0 2 0 2020-09-22 $29.23 $31.00 35.8% 10.3% 23.6% 21.8% 0.0% 5.1% 0.4% 223 -1.4K -5 0.00 151.76 N/A N/A 0 0 2 0 2020-09-23 $27.99 $31.00 47.7% 13.7% 27.7% 29.8% 0.0% 26.1% -29.4% 177 -1.2K -4 0.00 153.23 N/A N/A 0 0 2 0 2020-09-24 $28.29 $31.00 34.8% 10.0% 28.1% 21.1% 0.0% 7.5% 0.9% 121 -529 -2 0.00 154.47 N/A N/A 0 0 2 0 2020-09-25 $28.36 $31.00 74.4% 21.3% 28.2% 47.7% 0.0% 35.6% -13.7% 151 -1.4K -4 0.00 187.21 N/A N/A 0 0 2 0 2020-09-28 $28.76 $31.00 47.4% 13.6% 28.2% 29.6% 0.0% 18.1% -8.2% 155 -1.8K -5 0.00 183.06 N/A N/A 0 0 2 0 2020-09-29 $28.44 $31.00 53.4% 15.3% 28.3% 33.6% 0.0% 2.5% -12.6% 164 -1.2K -4 0.00 185.65 N/A N/A 0 0 2 0 2020-09-30 $28.44 $31.00 85.1% 24.4% 28.3% 54.9% 0.0% 30.0% -39.7% 118 -2.0K -4 0.00 184.38 N/A N/A 0 0 2 0
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