NNN Options History — January 2015

In January 2015, NNN traded between $39.93 and $44.24. ATM implied volatility averaged 27.0%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 9.1% (HV 20d: 17.9%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.83.

Notable Days

  • 2015-01-06: Highest Volume — 932 contracts
  • 2015-01-23: Largest IV spike — 88.9% change
  • 2015-01-12: Highest IV Rank — 57.9%
  • 2015-01-15: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.68$39.93$44.24$39.93$42.91
Max Pain$40.75$40.00$45.00$40.00$45.00
ATM IV27.0%12.6%50.8%18.7%12.6%
Expected Move6.3%3.6%10.0%5.3%3.6%
HV 20d17.9%14.2%19.4%14.2%18.4%
HV 60d16.7%15.7%17.2%16.1%16.5%
IV Rank23.1%2.0%57.9%11.0%2.0%
IV Percentile68.4%2.4%98.0%54.0%2.4%
Term Structure1.7%-21.6%9.8%-0.0%4.3%
VWIV21.7%14.4%33.8%18.5%27.3%
Skew 25d12.2%-3.5%48.1%20.9%-3.3%
Skew 10d16.8%-3.1%53.7%28.6%5.7%
Call IV 25d22.1%11.2%40.7%40.7%17.9%
Put IV 25d34.3%14.6%77.1%61.5%14.6%
Bid-Ask Spread %121.16104.69128.62104.69121.71
Gamma HHI0.700.500.990.980.83
Net GEX-10.1K-373.3K169.1K-373.3K116.3K
Net DEX-1.8M-4.0M1.1M1.1M-1.2M
Net VEX-6.8K-9.3K-4.7K-8.6K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.0018.835.450.75
Total Volume309.650932768149
Total OI1,852.79112,6142,024911

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$39.93$40.0018.7%5.3%14.2%11.0%18.5%20.9%-0.0%-373.3K1.1M-8.6K5.45104.69N/AN/A1196497671,257
2015-01-05$40.41$40.0023.7%4.8%14.6%18.2%0.0%29.9%2.4%-178.2K447.2K-7.9K6.14115.10N/AN/A14867771,257
2015-01-06$41.52$40.0021.2%4.7%16.8%14.6%0.0%15.7%3.9%-190.5K-844.0K-7.0K18.83114.33N/AN/A478857841,325
2015-01-07$42.28$40.0030.0%5.9%17.4%27.5%0.0%9.0%1.0%-133.4K-1.4M-7.0K0.12117.65N/AN/A324388201,430
2015-01-08$41.63$40.0036.9%4.4%18.9%37.6%15.2%7.0%8.8%-207.8K-1.0M-9.3K0.14120.51N/AN/A411581,1371,456
2015-01-09$42.08$40.0038.2%8.8%18.5%39.5%15.3%28.6%5.7%-115.9K-1.5M-8.8K0.13123.07N/AN/A438581,1391,456
2015-01-12$42.39$40.0050.8%9.3%18.3%57.9%19.3%16.6%-0.5%-77.7K-1.7M-8.1K0.14124.20N/AN/A411581,1441,456
2015-01-13$42.28$40.0049.9%6.0%18.3%56.6%24.1%-3.5%0.9%-75.6K-1.9M-7.6K0.14124.11N/AN/A419581,1581,456
2015-01-14$42.68$40.0025.9%7.4%18.2%21.5%14.4%22.6%9.8%-66.5K-1.6M-8.1K0.13128.62N/AN/A395511,1421,456
2015-01-15$42.82$40.0034.7%10.0%18.2%34.4%25.4%3.2%-17.5%-47.5K-2.0M-7.1K0.13124.27N/AN/A389511,1241,459
2015-01-16$43.69$40.0027.1%7.8%17.8%23.2%0.0%2.3%-0.2%42.4K-2.1M-4.8K0.00121.96N/AN/A2401,1251,459
2015-01-20$43.23$40.0034.1%9.8%18.6%33.6%0.0%1.6%-21.6%141.3K-2.9M-5.0K0.00122.46N/AN/A001,049146
2015-01-21$43.41$40.0021.6%6.2%18.3%15.1%0.0%4.3%3.7%149.6K-2.9M-4.7K0.00124.19N/AN/A20201,049146
2015-01-22$43.70$40.0013.6%3.9%18.4%3.4%23.2%2.9%5.3%169.1K-3.2M-6.8K0.18113.27N/AN/A273501,221146
2015-01-23$43.76$40.0025.6%7.3%18.2%21.1%0.0%48.1%3.8%151.2K-3.1M-8.2K0.54126.69N/AN/A92501,221146
2015-01-26$44.24$40.0013.6%3.9%18.4%3.4%16.6%9.4%7.2%132.2K-4.0M-4.8K0.20122.12N/AN/A2041,229146
2015-01-27$43.92$40.0023.7%6.8%18.4%18.2%29.9%25.2%5.1%139.6K-2.3M-5.7K0.27127.84N/AN/A5114955150
2015-01-28$43.35$45.0025.0%7.2%19.4%20.1%33.8%0.2%4.9%102.4K-1.6M-6.0K0.69126.92N/AN/A9364814160
2015-01-29$43.30$45.0013.5%3.9%19.4%3.3%19.2%4.4%7.5%119.4K-1.5M-5.5K0.76119.58N/AN/A8464821160
2015-01-30$42.91$45.0012.6%3.6%18.4%2.0%27.3%-3.3%4.3%116.3K-1.2M-5.6K0.75121.71N/AN/A8564751160