NANR Options History — October 2022

In October 2022, NANR traded between $49.85 and $55.03. ATM implied volatility averaged 38.8%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 1.3% (HV 20d: 40.1%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2022-10-20: Highest Volume — 21 contracts
  • 2022-10-06: Largest IV spike — 51.3% change
  • 2022-10-11: Highest IV Rank — 57.3%
  • 2022-10-31: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.27$49.85$55.03$50.21$54.68
ATM IV38.8%29.3%51.3%41.0%44.6%
Expected Move10.2%8.4%12.8%11.8%12.8%
HV 20d40.1%29.0%44.3%42.7%29.0%
HV 60d40.0%39.2%40.8%39.9%39.7%
IV Rank36.7%20.9%57.3%40.3%46.3%
IV Percentile72.8%40.5%95.6%84.5%89.7%
Term Structure-3.3%-20.1%6.8%-11.5%-11.7%
Skew 25d6.7%-5.9%16.9%16.9%4.7%
Skew 10d4.9%-10.7%15.2%5.2%6.4%
Call IV 25d39.6%26.0%45.1%42.2%45.1%
Put IV 25d46.3%33.4%59.1%59.1%49.8%
Bid-Ask Spread %127.32117.19143.05131.27127.66
Gamma HHI0.460.340.530.530.34
Net GEX2.7K1.8K4.4K2.0K3.8K
Net DEX-52.3K-76.8K-36.6K-36.6K-74.7K
Net VEX-138-170-117-131-155
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume8.61982188
Total OI19.33315281528

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$50.21$0.0041.0%11.8%42.7%40.3%0.0%16.9%-11.5%2.0K-36.6K-1310.00131.27N/AN/A80150
2022-10-04$51.93$0.0036.3%10.4%44.3%32.5%0.0%12.5%-8.8%2.1K-44.8K-1320.00117.19N/AN/A80150
2022-10-05$52.15$0.0033.3%9.5%44.3%27.5%0.0%16.5%0.1%2.1K-46.3K-1310.00126.07N/AN/A80150
2022-10-06$52.47$0.0050.3%9.6%44.3%55.6%0.0%5.1%-3.1%2.2K-47.0K-1270.00121.93N/AN/A80150
2022-10-07$51.67$0.0050.2%9.5%43.2%55.5%0.0%0.6%0.0%1.9K-46.0K-1280.00122.41N/AN/A80150
2022-10-10$51.21$0.0048.5%9.2%43.2%52.7%0.0%2.1%4.0%1.9K-44.8K-1250.00121.54N/AN/A80150
2022-10-11$50.46$0.0051.3%9.7%42.5%57.3%0.0%10.4%5.2%2.0K-40.9K-1240.00127.32N/AN/A80150
2022-10-12$50.91$0.0033.9%9.7%42.6%28.6%0.0%7.9%0.4%2.0K-40.7K-1250.00135.41N/AN/A80150
2022-10-13$52.09$0.0030.0%8.6%42.5%22.1%0.0%7.4%0.6%2.1K-46.5K-1240.00131.65N/AN/A80150
2022-10-14$49.85$0.0029.3%8.4%43.6%20.9%0.0%-5.9%2.5%2.1K-41.9K-1190.00124.59N/AN/A80150
2022-10-17$50.73$0.0034.4%9.9%43.9%29.5%0.0%7.2%6.8%1.8K-41.4K-1190.00119.89N/AN/A80150
2022-10-18$50.93$0.0032.9%9.4%43.8%27.0%0.0%4.3%-0.9%2.2K-41.3K-1190.00135.35N/AN/A80150
2022-10-19$51.25$0.0039.4%11.3%43.3%37.7%0.0%15.1%-1.9%2.3K-42.2K-1180.00134.91N/AN/A80150
2022-10-20$51.77$0.0040.9%11.7%43.4%40.2%0.0%5.4%-4.8%2.3K-45.3K-1170.00132.42N/AN/A210150
2022-10-21$53.66$0.0038.6%11.1%36.5%36.3%0.0%6.1%-20.1%3.9K-64.6K-1690.00120.67N/AN/A80280
2022-10-24$53.37$0.0034.2%9.8%35.0%29.1%0.0%2.2%-0.9%3.7K-64.2K-1660.00143.05N/AN/A80280
2022-10-25$53.83$0.0038.3%11.0%35.0%35.9%0.0%5.4%-11.9%4.3K-67.2K-1670.00132.06N/AN/A80280
2022-10-26$55.03$0.0029.8%8.5%33.1%21.8%0.0%12.1%-2.7%4.1K-75.3K-1690.00119.74N/AN/A80280
2022-10-27$54.92$0.0041.7%12.0%33.0%41.5%0.0%-4.7%-11.7%3.7K-76.8K-1700.00119.32N/AN/A80280
2022-10-28$54.46$0.0035.9%10.3%33.3%31.9%0.0%10.6%0.7%4.4K-70.3K-1590.00129.30N/AN/A80280
2022-10-31$54.68$0.0044.6%12.8%29.0%46.3%0.0%4.7%-11.7%3.8K-74.7K-1550.00127.66N/AN/A80280