NANR Options History — March 2022

In March 2022, NANR traded between $53.08 and $59.47. ATM implied volatility averaged 30.6%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 3.7% (HV 20d: 26.9%). Max pain ranged from $39.00 to $62.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.39.

Notable Days

2022-03-31: Highest Volume — 141 contracts
2022-03-30: Largest IV spike — 48.7% change
2022-03-07: Highest IV Rank — 85.5%
2022-03-07: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.53	$53.08	$59.47	$53.08	$58.51
Max Pain	$43.57	$39.00	$62.00	$39.00	$62.00
ATM IV	30.6%	19.5%	58.7%	35.8%	23.8%
Expected Move	8.8%	5.2%	16.8%	10.3%	6.1%
HV 20d	26.9%	22.1%	30.6%	22.8%	30.1%
HV 60d	24.5%	23.7%	25.7%	24.0%	25.6%
IV Rank	26.2%	2.7%	85.5%	37.2%	11.8%
IV Percentile	52.2%	0.8%	98.4%	84.5%	22.6%
Term Structure	-4.2%	-16.1%	7.7%	-5.5%	3.5%
VWIV	43.7%	20.2%	73.2%	72.7%	20.2%
Skew 25d	8.8%	0.3%	15.4%	7.0%	4.7%
Skew 10d	9.6%	-8.7%	27.1%	10.8%	6.0%
Call IV 25d	25.4%	16.8%	34.1%	33.4%	25.1%
Put IV 25d	34.2%	23.6%	43.7%	40.3%	29.8%
Bid-Ask Spread %	118.83	83.22	168.61	123.23	83.22
Gamma HHI	0.58	0.26	0.79	0.50	0.40
Net GEX	6.4K	-9.7K	14.5K	-138	-9.7K
Net DEX	-279.8K	-378.2K	-14.4K	-14.4K	-161.7K
Net VEX	-888	-2.2K	-12	-12	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.03	1.73	0.40	1.66
Total Volume	78.739	7	141	7	141
Total OI	90.609	5	228	5	228

Daily Data (23 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
2022-03-01	$53.08	$39.00	35.8%	10.3%	22.8%	37.2%	72.7%	7.0%	-5.5%	-138	-14.4K	-12	0.40	123.23	N/A	N/A	5	2	3	2
2022-03-02	$54.17	$39.00	33.0%	9.5%	22.1%	31.2%	56.1%	6.9%	-2.4%	296	-20.8K	-25	0.03	125.91	N/A	N/A	75	2	5	2
2022-03-03	$54.23	$39.00	35.9%	10.3%	22.1%	37.3%	61.8%	7.9%	-2.1%	5.8K	-283.0K	-794	0.16	125.72	N/A	N/A	75	12	75	2
2022-03-04	$55.87	$39.00	40.1%	11.5%	23.0%	46.2%	56.0%	4.3%	-1.2%	5.1K	-303.2K	-858	0.16	119.49	N/A	N/A	76	12	76	12
2022-03-07	$56.37	$39.00	58.7%	16.8%	23.0%	85.5%	73.2%	6.8%	-8.5%	5.1K	-312.5K	-871	0.16	121.03	N/A	N/A	76	12	76	12
2022-03-08	$56.33	$39.00	37.0%	15.7%	23.1%	39.6%	65.4%	5.6%	-2.7%	4.8K	-313.2K	-869	0.15	130.56	N/A	N/A	78	12	76	12
2022-03-09	$55.66	$39.00	26.4%	11.8%	23.4%	17.2%	37.7%	15.4%	-1.3%	6.2K	-310.4K	-810	0.15	124.33	N/A	N/A	80	12	78	12
2022-03-10	$57.05	$39.00	28.5%	11.9%	24.1%	21.6%	42.5%	7.9%	-5.8%	6.7K	-336.7K	-834	0.15	120.19	N/A	N/A	80	12	79	12
2022-03-11	$56.80	$39.00	32.6%	12.0%	23.8%	30.3%	46.6%	14.0%	-13.9%	6.2K	-334.3K	-841	0.15	124.17	N/A	N/A	81	12	79	12
2022-03-14	$54.75	$45.00	28.6%	7.8%	27.4%	22.0%	25.9%	13.3%	-3.3%	6.8K	-300.4K	-884	0.15	102.91	N/A	N/A	81	12	80	12
2022-03-15	$54.21	$45.00	32.8%	8.3%	27.3%	30.8%	25.3%	9.3%	-6.1%	7.1K	-287.3K	-851	0.15	104.92	N/A	N/A	82	12	80	12
2022-03-16	$54.11	$45.00	30.8%	7.3%	27.0%	26.6%	27.8%	8.5%	-5.1%	7.0K	-286.5K	-854	0.15	114.48	N/A	N/A	82	12	80	12
2022-03-17	$56.11	$0.00	26.7%	7.6%	29.0%	17.8%	0.0%	10.7%	-5.7%	8.6K	-330.4K	-755	0.15	168.61	N/A	N/A	82	12	80	12
2022-03-18	$56.13	$0.00	30.0%	6.3%	29.0%	24.8%	0.0%	12.4%	-11.4%	7.3K	-313.5K	-817	0.15	125.18	N/A	N/A	82	12	77	12
2022-03-21	$58.09	$0.00	25.5%	7.3%	29.9%	15.4%	0.0%	10.9%	7.7%	7.2K	-225.5K	-720	0.46	93.68	N/A	N/A	26	12	55	12
2022-03-22	$57.57	$0.00	26.5%	5.2%	30.0%	17.6%	0.0%	5.0%	-10.2%	8.7K	-297.9K	-1.0K	0.46	111.93	N/A	N/A	26	12	75	12
2022-03-23	$58.75	$0.00	32.9%	6.8%	30.3%	31.0%	0.0%	13.0%	-13.9%	8.1K	-318.4K	-996	0.36	110.00	N/A	N/A	33	12	75	12
2022-03-24	$58.53	$0.00	23.4%	6.7%	30.2%	10.9%	0.0%	9.4%	4.0%	10.2K	-333.3K	-1.1K	0.35	125.92	N/A	N/A	34	12	82	12
2022-03-25	$59.47	$0.00	19.9%	6.2%	29.1%	3.4%	0.0%	3.7%	3.0%	12.3K	-378.2K	-898	0.41	119.87	N/A	N/A	29	12	83	12
2022-03-28	$58.15	$0.00	26.8%	5.5%	30.6%	18.2%	0.0%	12.9%	-16.1%	11.8K	-338.8K	-1.0K	0.41	120.14	N/A	N/A	29	12	83	12
2022-03-29	$57.79	$0.00	19.5%	5.5%	30.6%	2.7%	22.7%	12.8%	5.4%	14.5K	-322.8K	-964	0.94	116.54	N/A	N/A	51	48	83	13
2022-03-30	$58.40	$62.00	29.0%	5.6%	30.1%	22.8%	21.0%	0.3%	-5.7%	7.2K	-312.6K	-1.4K	1.73	120.97	N/A	N/A	51	88	105	48
2022-03-31	$58.51	$62.00	23.8%	6.1%	30.1%	11.8%	20.2%	4.7%	3.5%	-9.7K	-161.7K	-2.2K	1.66	83.22	N/A	N/A	53	88	105	123