NANR Options History — July 2023

In July 2023, NANR traded between $50.05 and $55.27. ATM implied volatility averaged 22.9%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.3% (HV 20d: 20.6%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days.

Notable Days

  • 2023-07-31: Largest IV spike — 33.7% change
  • 2023-07-10: Highest IV Rank — 16.3%
  • 2023-07-05: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.85$50.05$55.27$52.05$55.27
ATM IV22.9%17.7%29.9%23.2%24.2%
Expected Move6.1%5.1%7.5%6.7%6.9%
HV 20d20.6%17.1%23.0%17.1%20.5%
HV 60d20.0%19.0%20.6%19.0%19.8%
IV Rank6.3%0.0%16.3%4.3%11.0%
IV Percentile13.8%0.0%51.2%9.9%22.6%
Term Structure-1.9%-5.7%5.8%-1.5%-5.4%
Skew 25d1.6%-4.3%11.6%5.4%0.7%
Skew 10d9.3%-3.4%20.5%20.5%6.8%
Call IV 25d23.0%12.3%30.2%23.4%27.2%
Put IV 25d24.5%18.2%30.6%28.8%27.9%
Bid-Ask Spread %153.11144.92161.72160.74150.18
Gamma HHI1.001.001.001.001.00
Net GEX1026313310963
Net DEX-4.3K-5.1K-3.5K-4.0K-5.1K
Net VEX-9-11-4-10-4
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI11111

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$52.05$0.0023.2%6.7%17.1%4.3%0.0%5.4%-1.5%109-4.0K-100.00160.74N/AN/A0010
2023-07-05$51.29$0.0026.2%7.5%17.9%9.7%0.0%0.5%-5.7%116-3.7K-110.00159.28N/AN/A0010
2023-07-06$50.05$0.0026.2%5.9%19.7%9.7%0.0%0.6%-3.0%125-3.5K-110.00154.86N/AN/A0010
2023-07-07$51.09$0.0026.0%5.6%20.5%9.2%0.0%2.4%-1.5%122-3.7K-110.00153.48N/AN/A0010
2023-07-10$51.18$0.0029.9%6.1%20.5%16.3%0.0%1.8%-2.3%133-3.9K-100.00153.90N/AN/A0010
2023-07-11$51.97$0.0029.8%5.8%21.1%16.1%0.0%11.6%-1.4%114-3.9K-100.00159.55N/AN/A0010
2023-07-12$52.80$0.0020.6%5.9%21.7%0.0%0.0%1.6%-1.3%102-4.3K-90.00153.28N/AN/A0010
2023-07-13$53.17$0.0021.0%6.0%21.5%0.7%0.0%1.6%-2.0%102-4.5K-80.00147.82N/AN/A0010
2023-07-14$52.06$0.0021.2%6.1%22.7%1.0%0.0%-0.4%0.5%104-4.2K-90.00150.02N/AN/A0010
2023-07-17$52.01$0.0022.2%6.4%22.4%2.7%0.0%1.5%-3.5%114-4.2K-90.00149.31N/AN/A0010
2023-07-18$52.79$0.0018.7%5.3%23.0%0.0%0.0%1.2%0.8%107-4.2K-90.00151.88N/AN/A0010
2023-07-19$53.02$0.0017.7%5.1%21.2%0.0%0.0%0.7%2.8%103-4.5K-80.00150.41N/AN/A0010
2023-07-20$53.17$0.0022.1%6.3%21.0%7.5%0.0%1.5%-3.1%98-4.4K-80.00157.16N/AN/A0010
2023-07-21$53.24$0.0022.7%6.5%20.4%8.4%0.0%0.9%-3.1%99-4.2K-100.00161.72N/AN/A0010
2023-07-24$54.06$0.0022.1%6.3%20.0%7.5%0.0%-4.3%-3.7%88-4.7K-70.00156.20N/AN/A0010
2023-07-25$54.80$0.0021.1%6.1%19.7%5.7%0.0%2.1%-3.2%83-4.7K-70.00144.92N/AN/A0010
2023-07-26$54.59$0.0022.5%6.4%19.9%8.1%0.0%1.3%-3.9%85-4.8K-60.00149.07N/AN/A0010
2023-07-27$54.00$0.0022.4%6.4%20.4%8.0%0.0%-0.4%-3.0%85-4.6K-70.00145.53N/AN/A0010
2023-07-28$54.44$0.0018.1%5.2%20.4%0.7%0.0%1.2%5.8%91-4.7K-70.00152.80N/AN/A0010
2023-07-31$55.27$0.0024.2%6.9%20.5%11.0%0.0%0.7%-5.4%63-5.1K-40.00150.18N/AN/A0010