NANR Options History — January 2022

In January 2022, NANR traded between $44.23 and $48.63. ATM implied volatility averaged 28.9%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 6.6% (HV 20d: 22.3%). Max pain ranged from $43.00 to $43.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.15.

Notable Days

2022-01-03: Highest Volume — 7 contracts
2022-01-27: Largest IV drop — 46.7% change
2022-01-26: Highest IV Rank — 31.5%
2022-01-26: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.43	$44.23	$48.63	$44.23	$47.20
Max Pain	$43.00	$43.00	$43.00	$43.00	$43.00
ATM IV	28.9%	21.5%	52.0%	29.7%	29.8%
Expected Move	8.0%	6.1%	14.9%	8.5%	8.5%
HV 20d	22.3%	16.0%	25.6%	25.6%	24.0%
HV 60d	22.5%	21.3%	23.8%	21.7%	23.8%
IV Rank	9.8%	3.0%	31.5%	10.3%	10.8%
IV Percentile	40.8%	6.7%	95.6%	46.8%	54.0%
Term Structure	-2.8%	-22.5%	1.6%	-4.7%	0.7%
VWIV	35.1%	25.8%	39.7%	25.8%	39.7%
Skew 25d	1.6%	-13.8%	10.0%	-13.8%	10.0%
Skew 10d	5.7%	-0.4%	17.9%	3.8%	5.2%
Call IV 25d	26.8%	17.8%	55.5%	32.1%	23.1%
Put IV 25d	28.5%	18.3%	58.9%	18.3%	33.1%
Bid-Ask Spread %	144.85	131.02	161.34	158.37	138.11
Gamma HHI	0.35	0.25	0.51	0.25	0.51
Net GEX	-203	-350	-20	-265	-218
Net DEX	-9.4K	-12.1K	-5.3K	-5.3K	-11.1K
Net VEX	-28	-42	-19	-42	-20
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.67	1.33	1.33	1.00
Total Volume	6.45	5	7	7	6
Total OI	6.4	5	7	7	5

Daily Data (20 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
2022-01-03	$44.23	$43.00	29.7%	8.5%	25.6%	10.3%	25.8%	-13.8%	-4.7%	-265	-5.3K	-42	1.33	158.37	N/A	N/A	3	4	3	4
2022-01-04	$44.93	$43.00	29.0%	8.3%	24.9%	9.7%	38.0%	2.3%	-5.8%	-291	-6.5K	-40	1.33	154.35	N/A	N/A	3	4	3	4
2022-01-05	$44.61	$43.00	26.3%	7.5%	23.6%	7.3%	36.9%	4.3%	-4.8%	-312	-6.5K	-39	1.33	145.79	N/A	N/A	3	4	3	4
2022-01-06	$44.76	$0.00	25.8%	6.1%	23.6%	6.8%	0.0%	1.1%	1.0%	-297	-6.6K	-39	1.33	148.87	N/A	N/A	3	4	3	4
2022-01-07	$45.28	$0.00	32.5%	7.5%	23.1%	12.9%	0.0%	4.5%	-0.2%	-245	-6.8K	-38	1.33	148.93	N/A	N/A	3	4	3	4
2022-01-10	$45.21	$0.00	27.9%	6.4%	23.1%	8.7%	0.0%	0.4%	1.1%	-258	-7.5K	-35	1.33	146.79	N/A	N/A	3	4	3	4
2022-01-11	$46.56	$0.00	27.7%	6.5%	24.7%	8.6%	0.0%	6.0%	0.1%	-348	-10.3K	-23	1.33	137.04	N/A	N/A	3	4	3	4
2022-01-12	$47.34	$0.00	21.5%	6.2%	24.7%	3.0%	0.0%	0.8%	-1.0%	-350	-11.3K	-21	1.33	149.69	N/A	N/A	3	4	3	4
2022-01-13	$47.21	$0.00	22.1%	6.3%	23.4%	3.6%	0.0%	0.4%	-1.6%	-180	-10.7K	-26	1.33	142.09	N/A	N/A	3	4	3	4
2022-01-14	$47.54	$0.00	22.2%	6.4%	21.8%	3.7%	0.0%	3.4%	0.7%	-255	-11.2K	-21	1.33	140.21	N/A	N/A	3	4	3	4
2022-01-18	$47.70	$0.00	27.1%	7.8%	18.5%	8.2%	0.0%	3.1%	-0.3%	-138	-10.6K	-27	1.33	138.49	N/A	N/A	3	4	3	4
2022-01-19	$48.63	$0.00	22.7%	6.5%	16.0%	4.1%	0.0%	3.7%	1.6%	-203	-12.1K	-19	1.33	136.46	N/A	N/A	3	4	3	4
2022-01-20	$47.91	$0.00	26.9%	7.7%	16.0%	8.0%	0.0%	-2.4%	-8.7%	-129	-11.4K	-23	1.33	136.75	N/A	N/A	3	4	3	4
2022-01-21	$46.44	$0.00	32.8%	9.4%	20.7%	13.6%	0.0%	-9.2%	-2.1%	-174	-8.8K	-31	1.33	147.24	N/A	N/A	3	4	3	4
2022-01-24	$45.91	$0.00	27.5%	7.9%	21.3%	8.6%	0.0%	4.7%	-0.6%	-20	-9.9K	-21	0.67	131.02	N/A	N/A	3	2	3	2
2022-01-25	$47.12	$0.00	38.8%	11.1%	22.5%	19.1%	0.0%	5.9%	-3.4%	-192	-10.9K	-21	0.67	146.90	N/A	N/A	3	2	3	2
2022-01-26	$46.79	$0.00	52.0%	14.9%	22.8%	31.5%	0.0%	3.4%	-22.5%	-69	-9.3K	-30	0.67	161.34	N/A	N/A	3	2	3	2
2022-01-27	$46.88	$0.00	27.7%	7.9%	22.8%	8.8%	0.0%	4.2%	-0.9%	-45	-10.2K	-27	0.67	139.25	N/A	N/A	3	2	3	2
2022-01-28	$46.33	$0.00	28.5%	8.2%	23.4%	9.6%	0.0%	-0.1%	-5.5%	-79	-9.9K	-26	0.67	149.38	N/A	N/A	3	2	3	2
2022-01-31	$47.20	$0.00	29.8%	8.5%	24.0%	10.8%	39.7%	10.0%	0.7%	-218	-11.1K	-20	1.00	138.11	N/A	N/A	3	3	3	2