NANR Options History — June 2022

In June 2022, NANR traded between $48.50 and $60.66. ATM implied volatility averaged 35.3%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 1.1% (HV 20d: 34.2%). Max pain ranged from $56.00 to $57.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 5.12.

Notable Days

  • 2022-06-17: Highest Volume — 232 contracts
  • 2022-06-07: Largest IV drop — 27.5% change
  • 2022-06-06: Highest IV Rank — 58.6%
  • 2022-06-24: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.82$48.50$60.66$59.25$49.19
Max Pain$56.89$56.00$57.00$56.00$57.00
ATM IV35.3%24.6%44.8%29.0%41.5%
Expected Move9.6%7.1%12.1%8.3%11.9%
HV 20d34.2%25.5%41.4%40.0%41.4%
HV 60d34.5%32.0%38.0%33.2%38.0%
IV Rank38.9%16.7%58.6%25.9%51.8%
IV Percentile74.8%21.0%94.4%52.0%89.7%
Term Structure-1.7%-12.2%7.5%-2.3%4.4%
VWIV42.1%33.8%53.9%33.8%51.4%
Skew 25d3.5%-10.8%20.0%-8.6%20.0%
Skew 10d7.4%-2.9%28.7%4.2%26.9%
Call IV 25d39.0%24.7%50.8%40.7%39.3%
Put IV 25d42.5%29.6%59.3%32.2%59.3%
Bid-Ask Spread %126.53110.31145.30119.31120.53
Gamma HHI0.750.560.870.720.85
Net GEX-22.3K-66.3K11.7K-40.4K9.5K
Net DEX-29.9K-325.6K671.9K-104.3K-149.9K
Net VEX-1.1K-1.5K-801-1.5K-828
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.121.1013.506.501.10
Total Volume93.0952123212021
Total OI224.476100305294100

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$59.25$56.0029.0%8.3%40.0%25.9%33.8%-8.6%-2.3%-40.4K-104.3K-1.5K6.50119.31N/AN/A1610481213
2022-06-02$59.81$0.0034.9%7.3%38.5%38.0%0.0%5.0%0.2%-33.6K-155.2K-1.5K6.50121.23N/AN/A1610486214
2022-06-03$59.74$0.0035.6%8.0%37.5%39.5%0.0%13.5%4.9%-33.8K-161.4K-1.5K6.50124.86N/AN/A1610486214
2022-06-06$59.59$0.0044.8%8.1%37.5%58.6%0.0%3.3%-3.1%-35.1K-143.2K-1.4K6.50136.32N/AN/A1610486214
2022-06-07$60.66$0.0032.5%7.9%25.5%33.0%0.0%6.9%-2.2%-55.9K-325.6K-9766.50130.29N/AN/A1610486214
2022-06-08$60.34$0.0024.6%7.1%25.7%16.7%0.0%2.3%3.6%-25.5K-281.0K-1.1K6.50118.77N/AN/A1610486214
2022-06-09$59.01$0.0029.8%8.5%27.4%27.4%0.0%-4.5%-2.9%-36.9K-137.2K-1.3K6.50137.84N/AN/A1610486214
2022-06-10$58.54$0.0032.2%9.2%25.7%32.5%0.0%7.0%-11.4%-48.7K-31.7K-1.4K6.56134.10N/AN/A1610586214
2022-06-13$55.41$0.0031.3%9.0%31.0%30.7%0.0%7.3%5.4%-60.7K216.7K-1.4K6.56110.31N/AN/A1610586214
2022-06-14$55.42$0.0035.9%10.3%29.8%40.1%0.0%1.0%-2.0%-66.3K263.9K-1.4K6.56118.80N/AN/A1610591214
2022-06-15$54.88$0.0033.0%9.5%29.1%34.2%0.0%-4.2%0.8%-64.7K424.3K-1.3K6.56124.21N/AN/A1610591214
2022-06-16$52.82$0.0036.9%10.6%30.1%42.2%0.0%11.8%-4.1%-34.0K578.8K-1.2K13.44135.90N/AN/A1621591214
2022-06-17$51.02$0.0038.1%10.9%31.1%44.7%41.3%0.4%-7.2%-18.0K671.9K-98713.50122.61N/AN/A1621691214
2022-06-21$52.92$57.0036.0%10.3%34.5%40.4%37.2%3.0%-2.5%11.4K-231.0K-9421.10145.30N/AN/A10118911
2022-06-22$51.12$57.0037.1%10.6%34.0%42.7%36.2%3.9%-2.9%11.2K-191.7K-9101.10132.67N/AN/A10118911
2022-06-23$48.50$57.0039.5%11.3%37.6%47.6%53.9%-5.3%-5.0%9.9K-132.2K-8011.10119.26N/AN/A10118911
2022-06-24$49.89$57.0042.3%12.1%39.4%53.4%44.7%16.6%-12.2%10.1K-166.9K-8801.10132.75N/AN/A10118911
2022-06-27$51.05$57.0035.7%10.2%40.7%39.7%39.9%7.2%-1.8%11.2K-181.8K-8961.10127.62N/AN/A10118911
2022-06-28$51.60$57.0035.8%10.3%40.7%40.0%35.9%-1.6%-3.6%11.1K-205.0K-8961.10121.77N/AN/A10118911
2022-06-29$50.46$57.0034.5%9.9%41.0%37.2%46.4%-10.8%7.5%11.7K-185.2K-8771.10122.68N/AN/A10118911
2022-06-30$49.19$57.0041.5%11.9%41.4%51.8%51.4%20.0%4.4%9.5K-149.9K-8281.10120.53N/AN/A10118911