NANR Options History — June 2021

In June 2021, NANR traded between $40.67 and $44.40. ATM implied volatility averaged 25.7%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.4% (HV 20d: 21.3%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.13.

Notable Days

2021-06-23: Highest Volume — 12 contracts
2021-06-28: Largest IV spike — 121.9% change
2021-06-28: Highest IV Rank — 23.6%
2021-06-28: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.94	$40.67	$44.40	$44.19	$41.62
Max Pain	$40.57	$40.00	$44.00	$44.00	$40.00
ATM IV	25.7%	18.2%	40.5%	21.4%	33.0%
Expected Move	7.2%	5.2%	11.6%	6.1%	9.4%
HV 20d	21.3%	17.4%	24.1%	24.1%	21.8%
HV 60d	22.1%	20.8%	22.7%	22.4%	22.4%
IV Rank	14.2%	9.4%	23.6%	11.5%	18.8%
IV Percentile	13.2%	0.4%	49.6%	2.0%	36.9%
Term Structure	-0.6%	-14.2%	6.1%	2.5%	-11.1%
VWIV	14.7%	14.7%	14.7%	14.7%	14.7%
Skew 25d	1.4%	-10.7%	11.5%	6.4%	-2.2%
Skew 10d	2.5%	-8.6%	15.1%	7.7%	-4.1%
Call IV 25d	25.0%	17.1%	41.8%	18.1%	38.7%
Put IV 25d	26.4%	18.3%	36.5%	24.5%	36.5%
Bid-Ask Spread %	147.42	128.42	161.18	129.18	156.84
Gamma HHI	0.51	0.43	0.70	0.51	0.54
Net GEX	945	240	1.9K	362	1.9K
Net DEX	-22.3K	-35.2K	-12.9K	-14.2K	-30.1K
Net VEX	-84	-123	-57	-63	-111
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	0.25	0.00	0.20
Total Volume	1.591	0	12	0	0
Total OI	12.136	9	18	9	15

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
2021-06-01	$44.19	$44.00	21.4%	6.1%	24.1%	11.5%	0.0%	6.4%	2.5%	362	-14.2K	-63	0.00	129.18	N/A	N/A	0	0	6	3
2021-06-02	$44.34	$44.00	21.6%	6.2%	24.1%	11.6%	0.0%	3.4%	2.5%	255	-15.2K	-65	0.00	128.42	N/A	N/A	0	0	6	3
2021-06-03	$43.93	$0.00	27.8%	6.8%	23.3%	15.5%	0.0%	3.9%	6.1%	254	-13.5K	-67	0.00	158.76	N/A	N/A	0	0	6	3
2021-06-04	$44.40	$0.00	25.9%	8.1%	23.3%	14.3%	0.0%	0.0%	-0.5%	294	-14.7K	-64	0.00	141.62	N/A	N/A	0	0	6	3
2021-06-07	$44.22	$0.00	23.7%	6.7%	21.8%	12.9%	0.0%	0.1%	2.5%	277	-15.1K	-60	0.00	137.77	N/A	N/A	0	0	6	3
2021-06-08	$44.28	$0.00	38.1%	7.6%	21.8%	22.0%	0.0%	3.5%	2.7%	240	-14.4K	-63	0.00	159.25	N/A	N/A	0	0	6	3
2021-06-09	$44.09	$0.00	23.0%	6.6%	21.4%	12.5%	0.0%	-0.6%	2.9%	281	-14.7K	-60	0.00	138.51	N/A	N/A	0	0	6	3
2021-06-10	$44.19	$0.00	22.1%	6.3%	20.8%	11.9%	0.0%	-5.5%	3.2%	286	-15.1K	-59	0.00	134.97	N/A	N/A	0	0	6	3
2021-06-11	$43.93	$0.00	21.5%	6.2%	20.8%	11.5%	0.0%	1.0%	4.9%	270	-14.7K	-57	0.00	137.46	N/A	N/A	0	0	6	3
2021-06-14	$43.52	$0.00	20.3%	5.8%	19.9%	10.8%	14.7%	1.6%	3.5%	297	-12.9K	-58	0.00	140.80	N/A	N/A	4	0	6	3
2021-06-15	$43.59	$40.00	23.5%	6.7%	17.4%	12.8%	0.0%	2.9%	3.1%	729	-28.6K	-67	0.00	159.61	N/A	N/A	0	0	10	3
2021-06-16	$43.17	$40.00	28.4%	8.2%	17.6%	15.9%	0.0%	-1.8%	-3.2%	1.0K	-25.7K	-71	0.00	161.18	N/A	N/A	0	0	10	3
2021-06-17	$41.45	$40.00	27.7%	7.9%	18.6%	15.4%	0.0%	8.4%	-7.9%	1.1K	-18.5K	-75	0.25	129.85	N/A	N/A	4	1	10	3
2021-06-18	$40.67	$40.00	23.4%	6.7%	19.3%	12.7%	0.0%	-3.6%	-0.0%	1.6K	-17.1K	-123	0.00	146.09	N/A	N/A	0	1	14	4
2021-06-21	$41.75	$40.00	21.6%	6.2%	21.9%	11.6%	0.0%	9.3%	0.6%	1.7K	-29.7K	-117	0.00	155.54	N/A	N/A	1	0	13	2
2021-06-22	$42.10	$40.00	22.3%	6.4%	22.1%	12.0%	0.0%	6.6%	-0.1%	1.6K	-32.8K	-115	0.00	157.79	N/A	N/A	0	0	13	2
2021-06-23	$42.20	$40.00	31.1%	8.9%	21.8%	17.6%	0.0%	-5.6%	-11.5%	1.5K	-33.8K	-114	0.20	153.19	N/A	N/A	10	2	13	2
2021-06-24	$42.26	$40.00	18.3%	5.2%	21.5%	9.5%	0.0%	2.7%	5.3%	1.6K	-34.9K	-111	0.00	151.55	N/A	N/A	0	0	13	2
2021-06-25	$42.26	$40.00	18.2%	5.2%	21.5%	9.4%	0.0%	11.5%	3.6%	1.5K	-35.2K	-110	0.00	153.68	N/A	N/A	0	0	13	2
2021-06-28	$41.36	$40.00	40.5%	11.6%	22.6%	23.6%	0.0%	-10.7%	-9.1%	1.9K	-30.3K	-112	0.00	160.72	N/A	N/A	0	0	13	2
2021-06-29	$41.26	$40.00	31.8%	9.1%	21.5%	18.1%	0.0%	-1.5%	-14.2%	1.9K	-28.4K	-113	0.20	150.43	N/A	N/A	10	2	13	2
2021-06-30	$41.62	$40.00	33.0%	9.4%	21.8%	18.8%	0.0%	-2.2%	-11.1%	1.9K	-30.1K	-111	0.00	156.84	N/A	N/A	0	0	13	2