NANR Options History — July 2022

In July 2022, NANR traded between $45.01 and $50.67. ATM implied volatility averaged 42.5%, placing in the 50.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 1.7% (HV 20d: 40.9%). Max pain ranged from $57.00 to $57.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.00.

Notable Days

2022-07-27: Highest Volume — 25 contracts
2022-07-13: Largest IV drop — 49.8% change
2022-07-12: Highest IV Rank — 100.0%
2022-07-01: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.41	$45.01	$50.67	$49.82	$50.67
Max Pain	$57.00	$57.00	$57.00	$57.00	$57.00
ATM IV	42.5%	25.1%	71.4%	46.8%	33.4%
Expected Move	10.5%	7.2%	13.4%	13.4%	9.6%
HV 20d	40.9%	33.4%	45.3%	41.7%	35.2%
HV 60d	39.0%	38.1%	39.7%	38.1%	39.2%
IV Rank	50.2%	15.6%	100.0%	62.8%	30.7%
IV Percentile	81.2%	19.4%	100.0%	95.6%	67.1%
Term Structure	-3.9%	-13.4%	6.3%	-13.4%	-5.8%
VWIV	47.8%	47.8%	47.8%	47.8%	47.8%
Skew 25d	5.5%	-7.7%	22.5%	5.3%	-0.3%
Skew 10d	7.2%	-5.7%	29.3%	25.1%	-5.7%
Call IV 25d	34.2%	23.6%	44.8%	36.6%	36.8%
Put IV 25d	39.8%	25.3%	47.6%	41.9%	36.5%
Bid-Ask Spread %	127.35	107.08	140.59	127.27	138.09
Gamma HHI	0.82	0.71	0.91	0.80	0.91
Net GEX	8.9K	4.6K	16.7K	8.9K	16.7K
Net DEX	-94.0K	-160.2K	-28.1K	-155.7K	-160.2K
Net VEX	-594	-822	-411	-822	-676
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.67	1.10	1.10	0.67
Total Volume	21.25	20	25	21	25
Total OI	100.5	99	109	100	109

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
2022-07-01	$49.82	$57.00	46.8%	13.4%	41.7%	62.8%	47.8%	5.3%	-13.4%	8.9K	-155.7K	-822	1.10	127.27	N/A	N/A	10	11	89	11
2022-07-05	$47.39	$0.00	54.3%	10.1%	44.0%	78.4%	0.0%	-3.7%	6.3%	9.1K	-108.3K	-726	1.10	109.67	N/A	N/A	10	11	89	11
2022-07-06	$46.95	$0.00	48.1%	10.5%	43.8%	65.5%	0.0%	0.4%	2.0%	7.4K	-63.2K	-550	1.10	112.49	N/A	N/A	10	11	89	11
2022-07-07	$48.44	$0.00	55.5%	12.3%	45.3%	80.8%	0.0%	12.6%	-7.8%	9.1K	-125.3K	-755	1.10	107.08	N/A	N/A	10	11	89	11
2022-07-08	$48.09	$0.00	55.5%	11.7%	45.3%	80.8%	0.0%	9.7%	2.8%	8.2K	-118.8K	-733	1.10	111.55	N/A	N/A	10	11	89	11
2022-07-11	$47.10	$0.00	60.9%	11.0%	45.2%	92.1%	0.0%	8.9%	-5.6%	9.5K	-81.6K	-612	1.10	110.37	N/A	N/A	10	11	89	11
2022-07-12	$46.10	$0.00	71.4%	10.4%	45.3%	100.0%	0.0%	8.7%	-0.6%	8.0K	-62.6K	-530	1.10	121.78	N/A	N/A	10	11	89	11
2022-07-13	$46.44	$0.00	35.9%	10.3%	42.8%	35.2%	0.0%	5.5%	-1.3%	7.3K	-59.6K	-498	1.10	125.98	N/A	N/A	10	11	89	11
2022-07-14	$45.01	$0.00	36.4%	10.4%	43.4%	36.1%	0.0%	2.2%	-1.6%	4.6K	-28.1K	-411	1.10	136.84	N/A	N/A	10	11	89	11
2022-07-15	$45.36	$0.00	44.6%	12.8%	43.9%	51.2%	0.0%	11.4%	-6.2%	6.0K	-83.7K	-592	1.10	140.59	N/A	N/A	10	11	89	11
2022-07-18	$46.31	$0.00	33.8%	9.7%	43.7%	31.3%	0.0%	-2.4%	-1.4%	7.4K	-66.2K	-494	1.00	135.26	N/A	N/A	10	10	89	10
2022-07-19	$47.58	$0.00	36.7%	10.5%	44.0%	36.8%	0.0%	9.1%	-11.3%	7.5K	-99.8K	-609	1.00	133.06	N/A	N/A	10	10	89	10
2022-07-20	$47.68	$0.00	37.5%	10.7%	41.4%	38.1%	0.0%	10.4%	-10.3%	8.4K	-91.7K	-579	1.00	137.20	N/A	N/A	10	10	89	10
2022-07-21	$47.00	$0.00	35.3%	10.1%	40.1%	34.1%	0.0%	22.5%	-9.1%	8.3K	-66.0K	-474	1.00	130.68	N/A	N/A	10	10	89	10
2022-07-22	$46.51	$0.00	30.9%	8.9%	36.0%	26.2%	0.0%	-7.7%	-8.9%	9.1K	-88.1K	-548	1.00	131.96	N/A	N/A	10	10	89	10
2022-07-25	$47.12	$0.00	35.9%	10.3%	34.6%	35.2%	0.0%	4.7%	-6.1%	8.5K	-69.1K	-468	1.00	130.24	N/A	N/A	10	10	89	10
2022-07-26	$47.33	$0.00	37.3%	10.7%	33.4%	37.8%	0.0%	2.6%	-2.2%	9.5K	-114.8K	-585	1.00	137.54	N/A	N/A	10	10	89	10
2022-07-27	$48.52	$0.00	35.5%	10.2%	34.6%	34.6%	0.0%	5.4%	-1.6%	10.5K	-119.6K	-612	0.67	136.93	N/A	N/A	15	10	89	10
2022-07-28	$48.87	$0.00	25.1%	7.2%	34.0%	15.6%	0.0%	5.3%	3.5%	13.4K	-117.1K	-604	0.67	132.42	N/A	N/A	15	10	99	10
2022-07-29	$50.67	$0.00	33.4%	9.6%	35.2%	30.7%	0.0%	-0.3%	-5.8%	16.7K	-160.2K	-676	0.67	138.09	N/A	N/A	15	10	99	10