NANR Options History — September 2021

In September 2021, NANR traded between $37.77 and $40.28. ATM implied volatility averaged 34.4%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 9.6% (HV 20d: 24.7%). Max pain ranged from $37.00 to $37.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2021-09-03: Highest Volume — 2 contracts
2021-09-15: Largest IV spike — 140.9% change
2021-09-21: Highest IV Rank — 29.8%
2021-09-21: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.30	$37.77	$40.28	$38.68	$40.03
Max Pain	$37.00	$37.00	$37.00	$37.00	$37.00
ATM IV	34.4%	21.8%	60.8%	34.2%	51.8%
Expected Move	9.6%	6.2%	17.4%	9.8%	14.9%
HV 20d	24.7%	23.1%	26.6%	24.1%	23.1%
HV 60d	24.1%	23.0%	24.6%	24.0%	24.4%
IV Rank	11.3%	2.5%	29.8%	11.2%	23.5%
IV Percentile	41.6%	5.6%	81.0%	48.8%	74.6%
Term Structure	-5.2%	-29.0%	6.6%	-7.3%	-16.4%
Skew 25d	3.7%	-6.3%	12.4%	2.1%	4.6%
Skew 10d	8.6%	0.5%	25.7%	2.7%	20.4%
Call IV 25d	33.0%	20.5%	64.0%	40.0%	56.7%
Put IV 25d	36.7%	22.0%	73.2%	42.1%	61.3%
Bid-Ask Spread %	153.34	138.63	171.62	146.11	164.43
Gamma HHI	0.40	0.28	0.80	0.42	0.37
Net GEX	789	-58	3.2K	1.0K	-14
Net DEX	-5.9K	-17.2K	2.6K	-8.9K	1.2K
Net VEX	-50	-69	-32	-66	-35
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	0.286	0	2	0	0
Total OI	8.286	4	13	11	4

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2021-09-01	$38.68	$37.00	34.2%	9.8%	24.1%	11.2%	0.0%	2.1%	-7.3%	1.0K	-8.9K	-66	146.11	N/A	N/A	0	9	2
2021-09-02	$39.43	$0.00	35.4%	7.8%	25.1%	12.0%	0.0%	0.8%	-2.1%	1.1K	-11.4K	-69	158.88	N/A	N/A	0	9	2
2021-09-03	$39.76	$0.00	34.8%	7.9%	25.2%	11.6%	0.0%	3.6%	1.5%	1.1K	-12.8K	-69	160.56	N/A	N/A	2	9	2
2021-09-07	$39.38	$0.00	31.7%	7.5%	25.1%	9.5%	0.0%	1.2%	3.7%	1.4K	-10.5K	-62	146.59	N/A	N/A	2	9	2
2021-09-08	$38.95	$0.00	28.8%	8.3%	25.0%	7.4%	0.0%	2.9%	0.4%	1.5K	-13.3K	-66	154.88	N/A	N/A	0	11	2
2021-09-09	$39.10	$0.00	30.7%	8.8%	24.8%	8.7%	0.0%	5.4%	-1.8%	1.6K	-14.1K	-66	152.30	N/A	N/A	0	11	2
2021-09-10	$39.00	$0.00	29.3%	8.4%	24.8%	7.8%	0.0%	1.8%	-8.0%	1.8K	-12.7K	-62	151.55	N/A	N/A	2	11	2
2021-09-13	$39.44	$0.00	31.0%	8.9%	25.1%	8.9%	0.0%	3.3%	-1.7%	1.1K	-11.7K	-59	159.93	N/A	N/A	0	9	2
2021-09-14	$39.12	$0.00	21.8%	6.2%	24.7%	2.5%	0.0%	5.5%	1.1%	1.4K	-9.7K	-56	144.57	N/A	N/A	0	9	2
2021-09-15	$40.28	$0.00	52.4%	15.0%	26.1%	24.0%	0.0%	9.2%	-20.7%	3.2K	-17.2K	-58	171.62	N/A	N/A	0	9	2
2021-09-16	$39.46	$0.00	25.6%	7.3%	26.6%	5.2%	0.0%	-5.6%	4.5%	1.3K	-11.3K	-54	152.47	N/A	N/A	0	9	2
2021-09-17	$38.86	$0.00	30.4%	8.7%	24.2%	8.5%	0.0%	-0.1%	-3.6%	191	-3.5K	-46	138.63	N/A	N/A	0	9	2
2021-09-20	$37.77	$0.00	29.7%	8.5%	26.6%	8.1%	0.0%	12.4%	-2.3%	-19	2.6K	-32	151.19	N/A	N/A	0	2	2
2021-09-21	$38.12	$0.00	60.8%	17.4%	24.1%	29.8%	0.0%	9.1%	-29.0%	6	1.5K	-34	154.13	N/A	N/A	0	2	2
2021-09-22	$38.79	$0.00	33.9%	9.7%	24.5%	11.0%	0.0%	3.3%	-2.9%	-35	1.7K	-34	151.18	N/A	N/A	0	2	2
2021-09-23	$39.30	$0.00	23.6%	6.8%	25.0%	3.8%	0.0%	11.7%	6.6%	-58	1.5K	-34	146.29	N/A	N/A	0	2	2
2021-09-24	$39.47	$0.00	35.2%	10.1%	24.7%	11.9%	0.0%	6.7%	-6.5%	-42	1.3K	-35	162.57	N/A	N/A	0	2	2
2021-09-27	$40.19	$0.00	29.7%	8.5%	23.6%	8.1%	0.0%	2.8%	-4.6%	-51	1.2K	-35	161.48	N/A	N/A	0	2	2
2021-09-28	$40.15	$0.00	41.4%	11.9%	23.4%	16.2%	0.0%	-6.3%	-16.9%	-25	681	-36	148.42	N/A	N/A	0	2	2
2021-09-29	$40.11	$0.00	29.4%	8.4%	23.4%	7.9%	0.0%	4.5%	-2.2%	-41	1.1K	-35	142.28	N/A	N/A	0	2	2
2021-09-30	$40.03	$0.00	51.8%	14.9%	23.1%	23.5%	0.0%	4.6%	-16.4%	-14	1.2K	-35	164.43	N/A	N/A	0	2	2