NANR Options History — September 2022

In September 2022, NANR traded between $45.53 and $52.86. ATM implied volatility averaged 40.9%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 0.1% (HV 20d: 41.0%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.14.

Notable Days

2022-09-06: Highest Volume — 44 contracts
2022-09-13: Largest IV spike — 62.0% change
2022-09-13: Highest IV Rank — 100.0%
2022-09-27: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.88	$45.53	$52.86	$49.80	$47.74
Max Pain	$42.00	$42.00	$42.00	$42.00	$42.00
ATM IV	40.9%	31.1%	77.2%	40.3%	43.6%
Expected Move	10.2%	8.3%	12.7%	11.5%	12.5%
HV 20d	41.0%	31.1%	47.9%	46.8%	39.0%
HV 60d	39.7%	37.4%	41.9%	41.7%	38.6%
IV Rank	41.8%	24.0%	100.0%	43.2%	44.6%
IV Percentile	76.1%	50.0%	100.0%	82.9%	87.7%
Term Structure	-3.2%	-15.5%	8.2%	-7.7%	-15.5%
Skew 25d	8.1%	-2.2%	20.2%	5.0%	17.8%
Skew 10d	9.6%	-5.3%	23.1%	2.3%	14.3%
Call IV 25d	32.8%	18.5%	45.7%	38.7%	42.2%
Put IV 25d	40.9%	29.0%	60.1%	43.7%	60.1%
Bid-Ask Spread %	134.09	108.39	154.42	137.79	133.23
Gamma HHI	0.71	0.52	0.92	0.81	0.54
Net GEX	14.4K	1.5K	40.2K	18.0K	1.7K
Net DEX	-109.1K	-238.6K	-21.5K	-113.8K	-30.3K
Net VEX	-232	-427	-114	-376	-126
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.14	0.00	0.50	0.29	0.00
Total Volume	9.667	0	44	0	8
Total OI	63.619	15	108	108	15

Daily Data (21 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
2022-09-01	$49.80	$42.00	40.3%	11.5%	46.8%	43.2%	0.0%	5.0%	-7.7%	18.0K	-113.8K	-376	0.00	137.79	N/A	N/A	0	0	98	10
2022-09-02	$50.75	$42.00	38.3%	11.0%	47.0%	39.7%	0.0%	8.3%	-10.6%	23.0K	-149.6K	-427	0.00	135.47	N/A	N/A	0	0	98	10
2022-09-06	$50.46	$0.00	50.5%	9.6%	46.8%	61.9%	0.0%	3.9%	3.7%	20.0K	-219.0K	-425	0.29	108.39	N/A	N/A	34	10	98	10
2022-09-07	$50.50	$0.00	55.1%	10.1%	46.8%	70.3%	0.0%	4.6%	-0.8%	17.9K	-157.5K	-376	0.29	124.03	N/A	N/A	34	10	98	10
2022-09-08	$50.99	$0.00	44.4%	9.1%	46.5%	50.8%	0.0%	4.1%	-1.5%	27.5K	-131.7K	-329	0.00	144.59	N/A	N/A	0	0	98	10
2022-09-09	$52.62	$0.00	38.8%	8.3%	47.6%	40.6%	0.0%	14.4%	1.2%	37.8K	-215.9K	-371	0.00	153.09	N/A	N/A	0	0	98	10
2022-09-12	$52.86	$0.00	47.7%	10.4%	47.3%	56.7%	0.0%	3.3%	-1.8%	40.2K	-238.6K	-320	0.00	132.87	N/A	N/A	0	0	98	10
2022-09-13	$51.50	$0.00	77.2%	10.4%	47.9%	100.0%	0.0%	20.2%	0.9%	26.1K	-205.2K	-294	0.29	128.40	N/A	N/A	34	10	98	10
2022-09-14	$51.17	$0.00	31.2%	8.9%	47.9%	24.1%	0.0%	9.1%	2.8%	18.0K	-200.1K	-266	0.00	131.19	N/A	N/A	1	0	98	10
2022-09-15	$52.43	$0.00	32.1%	9.2%	39.2%	25.7%	0.0%	7.8%	-9.8%	33.7K	-225.5K	-233	0.00	129.66	N/A	N/A	0	0	97	10
2022-09-16	$50.63	$0.00	35.7%	10.2%	33.6%	31.5%	0.0%	12.9%	-10.7%	23.0K	-125.0K	-161	0.50	127.11	N/A	N/A	20	10	97	10
2022-09-19	$51.20	$0.00	32.7%	9.4%	33.7%	26.6%	0.0%	3.3%	-1.1%	2.1K	-41.6K	-145	0.00	154.42	N/A	N/A	0	0	15	0
2022-09-20	$50.80	$0.00	32.9%	9.4%	33.8%	27.0%	0.0%	4.5%	1.0%	2.1K	-39.9K	-144	0.00	153.93	N/A	N/A	0	0	15	0
2022-09-21	$49.86	$0.00	35.6%	10.2%	31.3%	31.4%	0.0%	-2.2%	-3.5%	1.9K	-39.6K	-141	0.00	134.03	N/A	N/A	0	0	15	0
2022-09-22	$49.85	$0.00	31.1%	8.9%	31.1%	24.0%	0.0%	0.2%	-1.2%	2.0K	-36.0K	-140	0.00	145.07	N/A	N/A	0	0	15	0
2022-09-23	$46.61	$0.00	38.2%	11.0%	37.5%	35.7%	0.0%	0.7%	-2.0%	1.7K	-21.5K	-116	0.00	140.75	N/A	N/A	0	0	15	0
2022-09-26	$45.53	$0.00	31.1%	8.9%	37.8%	24.0%	0.0%	14.8%	8.2%	1.5K	-22.0K	-114	0.00	122.26	N/A	N/A	8	0	15	0
2022-09-27	$46.14	$0.00	44.3%	12.7%	38.2%	45.7%	0.0%	11.7%	-1.7%	1.6K	-23.5K	-115	0.00	127.42	N/A	N/A	8	0	15	0
2022-09-28	$48.10	$0.00	39.7%	11.4%	40.5%	38.1%	0.0%	17.0%	-5.8%	1.7K	-27.5K	-125	0.00	127.99	N/A	N/A	8	0	15	0
2022-09-29	$47.87	$0.00	38.5%	11.0%	40.4%	36.2%	0.0%	9.0%	-11.5%	1.7K	-27.9K	-125	0.00	124.24	N/A	N/A	8	0	15	0
2022-09-30	$47.74	$0.00	43.6%	12.5%	39.0%	44.6%	0.0%	17.8%	-15.5%	1.7K	-30.3K	-126	0.00	133.23	N/A	N/A	8	0	15	0