NANR Options History — December 2021

In December 2021, NANR traded between $41.21 and $44.17. ATM implied volatility averaged 32.4%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 6.6% (HV 20d: 25.7%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.52.

Notable Days

2021-12-10: Highest Volume — 9 contracts
2021-12-15: Largest IV drop — 54.4% change
2021-12-14: Highest IV Rank — 25.9%
2021-12-03: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.02	$41.21	$44.17	$42.07	$43.91
Max Pain	$43.00	$43.00	$43.00	$43.00	$43.00
ATM IV	32.4%	21.4%	47.0%	40.8%	23.2%
Expected Move	7.8%	5.9%	12.4%	11.7%	6.6%
HV 20d	25.7%	21.5%	30.0%	21.5%	25.8%
HV 60d	21.4%	19.6%	22.4%	20.9%	21.9%
IV Rank	12.7%	2.9%	25.9%	20.3%	4.4%
IV Percentile	47.2%	5.6%	85.7%	75.8%	16.3%
Term Structure	-1.5%	-17.0%	6.4%	-17.0%	-2.9%
VWIV	27.9%	19.7%	41.7%	37.3%	24.1%
Skew 25d	1.3%	-13.4%	11.8%	1.6%	2.8%
Skew 10d	2.8%	-11.8%	16.2%	-1.1%	2.0%
Call IV 25d	26.0%	17.6%	45.1%	41.9%	20.5%
Put IV 25d	27.3%	18.2%	47.7%	43.4%	23.3%
Bid-Ask Spread %	152.04	138.82	162.45	145.84	155.06
Gamma HHI	0.26	0.23	0.41	0.24	0.26
Net GEX	-279	-547	-77	-256	-267
Net DEX	-1.9K	-5.0K	2.1K	635	-4.9K
Net VEX	-51	-55	-42	-55	-42
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.52	1.33	2.00	1.33	1.33
Total Volume	7.545	7	9	7	7
Total OI	7	7	7	7	7

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
2021-12-01	$42.07	$43.00	40.8%	11.7%	21.5%	20.3%	37.3%	1.6%	-17.0%	-256	635	-55	1.33	145.84	N/A	N/A	3	4	3	4
2021-12-02	$42.47	$43.00	43.2%	12.4%	21.7%	22.5%	39.9%	3.7%	-12.9%	-240	140	-55	1.33	138.82	N/A	N/A	3	4	3	4
2021-12-03	$42.11	$43.00	43.3%	12.4%	21.9%	22.5%	41.7%	2.6%	-11.4%	-277	702	-55	1.33	141.07	N/A	N/A	3	4	3	4
2021-12-06	$43.09	$0.00	40.9%	8.0%	22.8%	20.4%	0.0%	3.9%	3.2%	-373	-1.1K	-53	1.33	147.09	N/A	N/A	3	4	3	4
2021-12-07	$44.17	$0.00	33.2%	6.5%	24.2%	13.5%	0.0%	5.5%	6.4%	-355	-5.0K	-47	1.33	147.76	N/A	N/A	3	4	3	4
2021-12-08	$44.09	$0.00	28.6%	6.2%	24.2%	9.4%	0.0%	0.9%	3.2%	-282	-4.8K	-47	1.33	155.24	N/A	N/A	3	4	3	4
2021-12-09	$43.41	$0.00	42.4%	6.1%	24.6%	21.8%	0.0%	-3.1%	2.3%	-547	-3.0K	-49	1.33	154.78	N/A	N/A	3	4	3	4
2021-12-10	$43.36	$0.00	44.3%	7.4%	24.0%	23.5%	27.6%	3.0%	1.0%	-392	-2.4K	-49	2.00	156.92	N/A	N/A	3	6	3	4
2021-12-13	$43.03	$43.00	40.4%	5.9%	24.1%	19.9%	25.0%	11.8%	2.4%	-269	-2.0K	-53	2.00	151.24	N/A	N/A	3	6	3	4
2021-12-14	$42.71	$43.00	47.0%	6.1%	24.1%	25.9%	21.9%	2.0%	4.2%	-308	-921	-54	2.00	152.17	N/A	N/A	3	6	3	4
2021-12-15	$41.95	$43.00	21.4%	6.1%	24.6%	2.9%	19.7%	4.1%	1.6%	-289	857	-55	2.00	148.71	N/A	N/A	3	6	3	4
2021-12-16	$43.19	$43.00	27.8%	8.0%	27.1%	8.6%	24.8%	3.5%	-2.4%	-261	-2.1K	-52	2.00	153.18	N/A	N/A	3	6	3	4
2021-12-17	$42.09	$43.00	27.7%	7.9%	28.4%	8.5%	28.1%	3.6%	0.4%	-215	-84	-55	2.00	155.03	N/A	N/A	3	6	3	4
2021-12-20	$41.21	$43.00	24.2%	6.9%	28.0%	5.3%	28.2%	0.5%	1.5%	-201	2.1K	-53	1.33	149.27	N/A	N/A	3	4	3	4
2021-12-21	$42.43	$43.00	22.9%	6.6%	29.8%	4.2%	26.2%	4.6%	-0.9%	-155	-597	-53	1.33	151.04	N/A	N/A	3	4	3	4
2021-12-22	$42.82	$43.00	24.1%	6.9%	29.8%	5.3%	25.2%	1.3%	0.3%	-214	-1.4K	-52	1.33	149.40	N/A	N/A	3	4	3	4
2021-12-23	$43.18	$43.00	27.6%	7.9%	30.0%	8.4%	23.8%	-9.3%	-1.7%	-268	-2.4K	-52	1.33	158.85	N/A	N/A	3	4	3	4
2021-12-27	$43.80	$43.00	25.8%	7.4%	28.3%	6.8%	27.3%	4.0%	1.0%	-77	-4.2K	-42	1.33	162.45	N/A	N/A	3	4	3	4
2021-12-28	$43.87	$43.00	27.5%	7.9%	28.1%	8.4%	25.5%	-7.1%	-2.5%	-303	-4.1K	-47	1.33	158.56	N/A	N/A	3	4	3	4
2021-12-29	$43.79	$43.00	27.6%	7.9%	26.4%	8.4%	31.3%	2.3%	-4.0%	-287	-3.8K	-47	1.33	156.89	N/A	N/A	3	4	3	4
2021-12-30	$43.80	$43.00	27.9%	8.0%	26.0%	8.7%	24.8%	-13.4%	-4.9%	-299	-4.1K	-46	1.33	155.48	N/A	N/A	3	4	3	4
2021-12-31	$43.91	$43.00	23.2%	6.6%	25.8%	4.4%	24.1%	2.8%	-2.9%	-267	-4.9K	-42	1.33	155.06	N/A	N/A	3	4	3	4