NANR Options History — October 2023

In October 2023, NANR traded between $49.63 and $54.04. ATM implied volatility averaged 25.4%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.9% (HV 20d: 19.5%). Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 4 of 22 days.

Notable Days

  • 2023-10-11: Largest IV drop — 30.1% change
  • 2023-10-10: Highest IV Rank — 30.3%
  • 2023-10-04: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.90$49.63$54.04$51.50$49.63
ATM IV25.4%21.3%31.4%25.4%27.0%
Expected Move6.9%6.0%8.6%7.3%7.7%
HV 20d19.5%15.9%21.1%15.9%19.2%
HV 60d16.9%16.5%17.3%16.6%16.8%
IV Rank17.0%7.9%30.3%17.1%20.5%
IV Percentile41.3%7.9%75.8%41.7%60.3%
Term Structure-1.6%-6.5%2.1%-1.2%-4.5%
Skew 25d0.6%-3.6%3.2%0.0%0.4%
Skew 10d4.4%-6.0%16.6%-3.4%-3.6%
Call IV 25d26.3%20.3%32.2%29.2%32.2%
Put IV 25d26.9%16.7%32.6%29.2%32.6%
Bid-Ask Spread %160.26149.72165.35163.12160.92
Gamma HHI1.001.001.001.001.00
Net GEX-211-2.1K163149-2.1K
Net DEX-1.5K-4.7K12.9K-4.0K12.9K
Net VEX-17-67-4-6-67
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI2.818111111

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$51.50$0.0025.4%7.3%15.9%17.1%0.0%0.0%-1.2%149-4.0K-60.00163.12N/AN/A0010
2023-10-03$51.37$0.0027.4%7.9%15.9%21.4%0.0%1.5%-6.5%147-3.9K-70.00163.21N/AN/A0010
2023-10-04$50.25$0.0029.9%8.6%17.3%26.9%0.0%0.1%-2.8%163-3.4K-80.00160.59N/AN/A0010
2023-10-05$50.36$0.0029.4%6.5%17.4%25.9%0.0%3.2%-2.6%163-3.5K-80.00157.34N/AN/A0010
2023-10-06$51.17$0.0026.6%6.0%18.5%19.5%0.0%1.2%1.3%157-3.8K-70.00149.72N/AN/A0010
2023-10-09$52.40$0.0031.3%6.2%20.7%30.0%0.0%1.5%-1.0%128-4.3K-60.00158.15N/AN/A0010
2023-10-10$52.64$0.0031.4%6.4%20.0%30.3%0.0%1.0%-0.7%120-4.3K-60.00162.97N/AN/A0010
2023-10-11$52.30$0.0022.0%6.3%20.1%9.4%0.0%1.5%-0.6%130-4.1K-60.00158.59N/AN/A0010
2023-10-12$52.01$0.0021.3%6.1%18.8%7.9%0.0%1.1%1.3%134-4.1K-60.00159.31N/AN/A0010
2023-10-13$52.87$0.0021.9%6.3%20.0%9.4%0.0%1.2%1.1%121-4.3K-60.00159.82N/AN/A0010
2023-10-16$53.42$0.0022.1%6.3%20.4%9.8%0.0%1.1%-0.1%118-4.7K-40.00159.71N/AN/A0010
2023-10-17$54.04$0.0021.4%6.1%20.8%8.3%0.0%1.6%-0.4%117-4.7K-40.00161.29N/AN/A0010
2023-10-18$53.83$0.0021.8%6.3%20.8%9.2%0.0%-0.1%-0.4%101-4.6K-50.00160.12N/AN/A0010
2023-10-19$53.76$0.0022.6%6.5%19.7%10.9%0.0%0.5%-0.8%103-4.6K-50.00159.66N/AN/A0010
2023-10-20$53.11$0.0024.0%6.9%20.2%14.0%0.0%-3.6%2.1%122-4.5K-40.00158.01N/AN/A0010
2023-10-23$52.16$0.0024.5%7.0%21.1%15.1%0.0%0.2%-1.1%134-4.2K-50.00160.27N/AN/A0010
2023-10-24$51.72$0.0024.4%7.0%21.0%14.9%0.0%0.3%-2.6%145-4.1K-50.00163.36N/AN/A0010
2023-10-25$51.45$0.0025.7%7.4%21.0%17.6%0.0%0.7%-3.4%161-4.1K-50.00165.35N/AN/A0010
2023-10-26$51.09$0.0025.7%7.4%20.9%17.6%0.0%0.9%-3.2%-1.5K8.3K-640.00164.28N/AN/A00110
2023-10-27$50.56$0.0025.1%7.2%21.0%16.3%0.0%-0.9%-4.3%-1.6K9.7K-660.00158.76N/AN/A00110
2023-10-30$50.20$0.0027.8%8.0%18.9%22.2%0.0%0.0%-4.0%-1.8K11.0K-650.00161.13N/AN/A00110
2023-10-31$49.63$0.0027.0%7.7%19.2%20.5%0.0%0.4%-4.5%-2.1K12.9K-670.00160.92N/AN/A00110