NANR Options History — November 2021

In November 2021, NANR traded between $42.58 and $45.28. ATM implied volatility averaged 27.3%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 9.7% (HV 20d: 17.6%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.17.

Notable Days

2021-11-08: Highest Volume — 7 contracts
2021-11-26: Largest IV spike — 67.0% change
2021-11-26: Highest IV Rank — 17.5%
2021-11-26: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.31	$42.58	$45.28	$44.38	$42.58
Max Pain	$43.00	$43.00	$43.00	$43.00	$43.00
ATM IV	27.3%	20.7%	37.7%	23.5%	36.6%
Expected Move	7.4%	5.8%	10.8%	6.7%	10.5%
HV 20d	17.6%	15.8%	21.7%	17.4%	21.7%
HV 60d	20.6%	19.2%	22.0%	21.9%	20.8%
IV Rank	8.1%	2.2%	17.5%	4.7%	16.6%
IV Percentile	30.2%	2.8%	72.2%	15.1%	71.4%
Term Structure	-3.1%	-10.2%	2.6%	-2.4%	-10.2%
VWIV	27.3%	18.5%	36.7%	25.9%	36.3%
Skew 25d	0.4%	-7.2%	6.6%	-1.3%	2.0%
Skew 10d	1.1%	-3.9%	12.4%	2.4%	0.0%
Call IV 25d	26.7%	17.8%	40.0%	21.8%	40.0%
Put IV 25d	27.1%	18.0%	42.0%	20.5%	42.0%
Bid-Ask Spread %	141.38	135.86	151.35	143.65	140.75
Gamma HHI	0.26	0.23	0.28	0.28	0.24
Net GEX	-255	-397	-42	-203	-278
Net DEX	-5.4K	-9.7K	-217	-8.6K	-217
Net VEX	-47	-58	-26	-31	-56
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.67	1.33	0.67	1.33
Total Volume	6.524	5	7	5	7
Total OI	6.429	5	7	5	7

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
2021-11-01	$44.38	$0.00	23.5%	6.7%	17.4%	4.7%	0.0%	-1.3%	-2.4%	-203	-8.6K	-31	0.67	143.65	N/A	N/A	3	2	3	2
2021-11-02	$43.72	$0.00	24.4%	7.0%	18.5%	5.6%	0.0%	-7.2%	-5.9%	-44	-7.6K	-33	0.67	143.02	N/A	N/A	3	2	3	2
2021-11-03	$43.90	$0.00	31.3%	9.0%	17.8%	11.7%	0.0%	1.6%	-6.0%	-69	-7.3K	-34	0.67	145.80	N/A	N/A	3	2	3	2
2021-11-04	$43.75	$43.00	31.3%	7.1%	17.1%	11.7%	25.9%	-0.0%	-0.2%	-42	-7.3K	-35	0.67	135.86	N/A	N/A	3	2	3	2
2021-11-05	$44.43	$43.00	24.8%	5.8%	16.5%	5.9%	19.5%	1.7%	2.6%	-139	-9.0K	-28	0.67	138.05	N/A	N/A	3	2	3	2
2021-11-08	$44.95	$43.00	27.7%	6.0%	16.9%	8.5%	20.0%	1.6%	1.9%	-152	-9.7K	-26	1.33	139.96	N/A	N/A	3	4	3	2
2021-11-09	$44.95	$43.00	36.2%	7.2%	16.8%	16.1%	28.6%	-0.4%	-2.5%	-352	-5.1K	-54	1.33	140.42	N/A	N/A	3	4	3	4
2021-11-10	$44.55	$43.00	25.1%	7.2%	16.9%	6.1%	28.0%	0.2%	-1.1%	-299	-4.2K	-58	1.33	136.98	N/A	N/A	3	4	3	4
2021-11-11	$45.14	$43.00	25.9%	7.4%	16.5%	6.9%	29.7%	1.0%	-1.7%	-282	-5.5K	-54	1.33	140.91	N/A	N/A	3	4	3	4
2021-11-12	$45.10	$43.00	20.7%	5.9%	16.5%	2.2%	24.5%	6.6%	2.6%	-243	-5.8K	-51	1.33	140.47	N/A	N/A	3	4	3	4
2021-11-15	$45.28	$43.00	23.4%	6.7%	16.5%	4.6%	33.1%	2.2%	-0.1%	-321	-5.8K	-51	1.33	140.68	N/A	N/A	3	4	3	4
2021-11-16	$45.00	$43.00	21.8%	6.3%	16.7%	3.2%	18.6%	-4.1%	-2.1%	-332	-6.0K	-50	1.33	139.76	N/A	N/A	3	4	3	4
2021-11-17	$44.63	$43.00	21.4%	6.1%	16.8%	2.9%	18.5%	-2.7%	-0.2%	-327	-5.8K	-49	1.33	138.07	N/A	N/A	3	4	3	4
2021-11-18	$44.63	$43.00	21.3%	6.1%	15.8%	2.7%	24.1%	2.4%	1.3%	-329	-5.4K	-50	1.33	137.94	N/A	N/A	3	4	3	4
2021-11-19	$43.51	$43.00	27.6%	7.9%	18.0%	8.4%	30.0%	-0.5%	-7.9%	-238	-2.6K	-57	1.33	141.76	N/A	N/A	3	4	3	4
2021-11-22	$44.06	$43.00	26.8%	7.7%	17.9%	7.7%	24.0%	0.0%	-5.2%	-369	-4.4K	-50	1.33	139.69	N/A	N/A	3	4	3	4
2021-11-23	$44.42	$43.00	29.5%	8.5%	18.2%	10.2%	32.3%	-1.7%	-8.6%	-397	-4.7K	-51	1.33	143.95	N/A	N/A	3	4	3	4
2021-11-24	$44.60	$43.00	22.6%	6.5%	16.6%	3.9%	25.6%	5.4%	-2.4%	-366	-4.7K	-52	1.33	143.31	N/A	N/A	3	4	3	4
2021-11-26	$43.22	$43.00	37.7%	10.8%	20.0%	17.5%	36.7%	0.1%	-8.6%	-238	-1.4K	-55	1.33	151.35	N/A	N/A	3	4	3	4
2021-11-29	$43.67	$43.00	33.2%	9.5%	20.3%	13.4%	36.2%	1.6%	-8.1%	-335	-2.5K	-54	1.33	146.59	N/A	N/A	3	4	3	4
2021-11-30	$42.58	$43.00	36.6%	10.5%	21.7%	16.6%	36.3%	2.0%	-10.2%	-278	-217	-56	1.33	140.75	N/A	N/A	3	4	3	4