NNN Options History — March 2015

In March 2015, NNN traded between $38.75 and $42.29. ATM implied volatility averaged 22.2%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 4.2% (HV 20d: 26.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 34.00.

Notable Days

  • 2015-03-19: Highest Volume — 2,097 contracts
  • 2015-03-06: Largest IV drop — 15.6% change
  • 2015-03-10: Highest IV Rank — 20.7%
  • 2015-03-04: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.54$38.75$42.29$40.75$40.93
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV22.2%20.0%25.4%23.5%21.9%
Expected Move6.3%5.7%6.9%6.7%6.3%
HV 20d26.5%25.6%30.2%25.7%26.0%
HV 60d22.5%20.1%23.8%20.1%23.5%
IV Rank16.1%12.8%20.7%17.9%15.6%
IV Percentile69.2%56.7%83.3%75.8%66.7%
Term Structure-0.3%-4.6%2.2%-1.9%0.4%
VWIV21.4%12.3%24.3%23.5%22.4%
Skew 25d10.3%1.1%29.1%25.6%13.5%
Skew 10d21.7%1.8%67.8%57.1%45.0%
Call IV 25d18.6%13.2%22.0%20.7%20.6%
Put IV 25d28.9%20.3%51.1%46.3%34.1%
Bid-Ask Spread %98.8383.43109.70109.70108.40
Gamma HHI0.810.530.950.880.54
Net GEX-452.5K-1.4M264.3K-636.1K140.3K
Net DEX1.8M-4.6M7.9M3.1M-1.7M
Net VEX-18.6K-30.3K-8.1K-14.2K-29.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio34.000.00575.009.4410.86
Total Volume551.95502,0971,107747
Total OI4,169.1363,5856,2043,7814,245

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$40.75$40.0023.5%6.7%25.7%17.9%23.5%25.6%-1.9%-636.1K3.1M-14.2K9.44109.70N/AN/A1061,0011,0302,751
2015-03-03$40.84$40.0023.9%6.9%25.6%18.6%23.9%28.6%-4.6%-694.4K3.1M-14.1K1.5999.33N/AN/A1913031,0392,801
2015-03-04$40.64$40.0024.2%6.9%25.6%19.0%24.3%29.1%-2.6%-709.4K3.4M-15.3K1.27104.31N/AN/A1912421,1242,986
2015-03-05$40.73$40.0024.8%6.1%25.6%19.9%21.2%9.4%-1.3%-666.6K3.0M-14.9K1.7997.35N/AN/A1913421,1242,986
2015-03-06$38.75$40.0020.9%6.1%30.2%14.2%21.5%6.2%-0.2%-739.7K7.9M-13.0K5.2689.81N/AN/A1859741,1243,136
2015-03-09$39.26$40.0023.1%6.3%26.2%17.4%21.8%6.9%-1.0%-795.0K6.2M-12.8K41.6783.43N/AN/A125001,1372,890
2015-03-10$39.20$40.0025.4%6.2%26.2%20.7%21.7%5.9%-0.4%-742.6K6.3M-12.7K6.0591.60N/AN/A221331,1492,890
2015-03-11$39.56$40.0021.6%6.2%26.5%15.1%21.6%6.7%-0.1%-856.2K5.9M-12.7K35.0094.05N/AN/A1351,1272,898
2015-03-12$39.83$40.0021.9%6.3%26.7%15.7%18.1%7.2%-0.6%-955.6K5.0M-13.2K1.0388.58N/AN/A76781,1282,933
2015-03-13$39.80$40.0022.0%6.3%26.5%15.7%0.0%7.2%-0.4%-1.0M5.4M-12.9K0.0090.59N/AN/A001,1843,011
2015-03-16$40.08$40.0022.4%6.4%26.6%16.4%0.0%8.0%-1.1%-1.2M4.7M-11.5K0.0097.79N/AN/A101,1843,011
2015-03-17$39.95$40.0021.2%6.1%26.3%14.6%0.0%1.1%-0.2%-1.4M5.0M-10.9K1.7097.67N/AN/A3385751,1853,011
2015-03-18$41.10$40.0020.0%5.7%28.2%12.8%0.0%4.4%0.6%-546.8K-754.5K-8.5K575.00101.30N/AN/A15751,4583,033
2015-03-19$41.18$40.0020.2%5.8%26.2%13.1%0.0%4.7%1.0%-348.5K-1.1M-8.1K0.00104.58N/AN/A2,09521,4592,692
2015-03-20$42.29$40.0020.9%6.0%27.5%14.2%0.0%9.2%1.8%235.2K-4.6M-29.5K0.11104.85N/AN/A234253,5142,690
2015-03-23$42.19$40.0022.0%6.3%27.1%15.8%12.3%8.0%2.2%264.3K-3.3M-30.3K0.00104.03N/AN/A2302,895690
2015-03-24$41.60$40.0022.7%6.5%25.7%16.7%22.7%6.1%-0.2%243.4K-2.6M-29.0K10.9697.12N/AN/A465042,899690
2015-03-25$41.12$40.0021.7%6.2%26.0%15.3%0.0%4.3%0.7%135.7K-1.8M-28.2K0.0299.64N/AN/A452102,9221,017
2015-03-26$40.69$40.0021.4%6.1%25.8%15.0%21.5%19.3%0.6%118.8K-1.4M-30.1K1.3995.48N/AN/A4916843,2111,027
2015-03-27$40.42$40.0021.5%6.2%25.9%15.1%0.0%2.6%0.7%119.3K-1.3M-28.6K0.00106.55N/AN/A1003,2121,003
2015-03-30$41.00$40.0022.0%6.3%26.0%15.8%22.6%12.4%0.3%148.0K-1.8M-29.5K10.86108.07N/AN/A636843,2221,003
2015-03-31$40.93$40.0021.9%6.3%26.0%15.6%22.4%13.5%0.4%140.3K-1.7M-29.5K10.86108.40N/AN/A636843,2421,003