NNN Options History — February 2015

In February 2015, NNN traded between $40.12 and $42.80. ATM implied volatility averaged 22.5%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.0% (HV 20d: 21.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 13.25.

Notable Days

  • 2015-02-23: Highest Volume — 1,987 contracts
  • 2015-02-19: Largest IV spike — 14.9% change
  • 2015-02-09: Highest IV Rank — 20.6%
  • 2015-02-02: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.17$40.12$42.80$42.48$40.20
Max Pain$40.79$40.00$45.00$45.00$40.00
ATM IV22.5%19.1%25.3%24.5%23.6%
Expected Move6.1%3.9%7.0%7.0%6.8%
HV 20d21.6%15.3%25.0%18.7%25.0%
HV 60d18.3%15.7%20.1%16.6%20.0%
IV Rank16.5%11.5%20.6%19.4%18.2%
IV Percentile73.5%56.0%82.5%80.6%77.4%
Term Structure-1.7%-9.0%2.0%-9.0%-2.0%
VWIV21.9%15.4%27.7%27.7%23.7%
Skew 25d9.3%-1.2%27.0%12.6%3.0%
Skew 10d21.4%-3.2%50.7%19.5%4.5%
Call IV 25d17.6%14.4%22.9%15.5%21.0%
Put IV 25d27.0%16.9%43.6%28.1%24.0%
Bid-Ask Spread %103.6197.35118.89113.07109.21
Gamma HHI0.740.520.890.770.87
Net GEX-328.6K-687.2K101.3K101.3K-571.6K
Net DEX1.4M-925.3K4.8M-925.3K3.8M
Net VEX-10.4K-16.2K-5.0K-5.0K-14.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.250.3690.367.6211.21
Total Volume9491631,9871,1121,209
Total OI2,653.5799143,9749143,607

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$42.48$45.0024.5%7.0%18.7%19.4%27.7%12.6%-9.0%101.3K-925.3K-5.0K7.62113.07N/AN/A129983754160
2015-02-03$42.32$45.0021.9%6.3%18.5%15.6%23.5%8.7%-4.1%-53.3K-433.7K-7.6K0.36103.16N/AN/A196718501,087
2015-02-04$42.30$45.0023.5%6.7%16.1%18.0%25.6%9.7%-2.5%-53.2K-437.3K-7.5K6.20118.89N/AN/A1931,1968501,112
2015-02-05$42.80$40.0024.9%3.9%15.3%20.0%15.4%1.8%1.1%53.6K-815.7K-6.0K14.2497.99N/AN/A841,196855652
2015-02-06$40.81$40.0025.2%6.4%22.4%20.5%22.3%-1.2%-1.8%-65.8K-10.7K-6.0K18.9398.74N/AN/A751,420865652
2015-02-09$40.66$40.0025.3%6.0%22.0%20.6%19.3%4.1%-1.2%-373.6K2.0M-11.8K1.20103.05N/AN/A74898611,879
2015-02-10$40.65$40.0023.2%5.8%21.7%17.5%20.4%23.2%-0.9%-427.7K2.1M-11.6K6.0598.44N/AN/A744488661,882
2015-02-11$40.56$40.0020.1%5.8%21.7%13.0%20.1%27.0%-0.5%-384.9K1.7M-9.8K2.9397.38N/AN/A852498621,599
2015-02-12$40.90$40.0019.9%5.7%21.7%12.7%19.8%19.0%-0.4%-473.1K1.3M-9.7K1.55101.86N/AN/A831298771,678
2015-02-13$40.99$40.0020.8%6.0%21.6%14.0%22.4%11.7%-1.2%-401.4K1.4M-10.3K0.4597.35N/AN/A146658891,759
2015-02-17$41.37$40.0021.8%6.3%20.4%15.5%20.6%14.0%-1.8%-305.3K843.3K-9.8K1.09106.76N/AN/A1691849431,780
2015-02-18$41.73$40.0019.1%5.5%20.6%11.5%19.5%6.3%0.8%-219.0K294.6K-8.9K9.01107.74N/AN/A1531,3799351,900
2015-02-19$40.54$40.0022.0%6.3%22.6%15.7%22.0%3.7%-2.1%-618.8K1.8M-9.9K15.13108.63N/AN/A152279471,885
2015-02-20$41.04$40.0021.6%6.2%23.0%15.1%21.6%17.0%-1.6%-232.1K1.1M-10.6K90.3697.95N/AN/A119949542,096
2015-02-23$41.60$40.0020.3%5.8%23.7%13.3%21.1%5.8%2.0%-488.7K1.2M-11.8K19.70100.47N/AN/A961,8919382,319
2015-02-24$40.47$40.0023.2%6.6%24.7%17.5%23.2%3.9%-1.6%-478.8K3.3M-15.5K19.34106.24N/AN/A951,8379382,503
2015-02-25$40.67$40.0023.7%6.8%24.9%18.3%23.8%4.6%-2.3%-563.8K3.4M-15.3K12.83102.19N/AN/A961,2329512,759
2015-02-26$40.12$40.0023.5%6.7%25.0%18.0%23.5%2.4%-2.2%-687.2K4.8M-16.2K13.5899.55N/AN/A1001,3589723,002
2015-02-27$40.20$40.0023.6%6.8%25.0%18.2%23.7%3.0%-2.0%-571.6K3.8M-14.7K11.21109.21N/AN/A991,1101,0062,601