NNN Options History — April 2015

In April 2015, NNN traded between $38.40 and $41.81. ATM implied volatility averaged 21.7%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.0% (HV 20d: 18.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 3.47.

Notable Days

  • 2015-04-29: Highest Volume — 1,239 contracts
  • 2015-04-07: Largest IV spike — 19.8% change
  • 2015-04-07: Highest IV Rank — 18.4%
  • 2015-04-09: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.69$38.40$41.81$40.97$38.40
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV21.7%19.9%23.8%22.0%21.9%
Expected Move6.3%6.0%6.6%6.3%6.3%
HV 20d18.7%14.3%26.4%25.9%17.5%
HV 60d22.7%22.2%23.4%23.4%23.1%
IV Rank15.4%12.6%18.4%15.7%15.7%
IV Percentile63.3%52.4%77.8%67.1%65.1%
Term Structure-1.0%-1.7%0.8%0.8%-1.7%
VWIV22.2%19.9%24.9%22.5%22.5%
Skew 25d5.9%-17.0%40.8%10.5%-17.0%
Skew 10d12.0%-7.8%72.9%50.7%-4.1%
Call IV 25d19.9%16.0%38.3%24.7%38.3%
Put IV 25d25.9%21.1%61.6%35.2%21.3%
Bid-Ask Spread %101.4655.58112.11103.94106.99
Gamma HHI0.670.440.890.540.44
Net GEX171.4K18.0K265.0K139.1K217.7K
Net DEX-1.6M-2.9M-472.1K-1.8M-1.6M
Net VEX-24.3K-30.8K-16.7K-29.2K-26.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.470.0613.1410.030.06
Total Volume368.143131,2396951,175
Total OI4,029.813,5664,7294,2454,729

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$40.97$40.0022.0%6.3%25.9%15.7%22.5%10.5%0.8%139.1K-1.8M-29.2K10.03103.94N/AN/A636323,2421,003
2015-04-02$41.60$40.0021.2%6.4%26.4%14.6%21.2%5.5%-0.5%210.7K-2.6M-30.8K11.7294.75N/AN/A546333,242997
2015-04-06$41.81$40.0019.9%6.5%18.4%12.6%19.9%3.3%-0.9%222.7K-2.9M-30.2K12.98102.55N/AN/A496363,238999
2015-04-07$40.95$40.0023.8%6.5%20.0%18.4%21.8%4.2%-0.7%137.5K-1.8M-28.4K13.1498.93N/AN/A496443,2351,001
2015-04-08$41.02$40.0022.8%6.5%19.9%16.9%22.8%10.5%-0.6%130.7K-1.9M-28.0K0.3094.95N/AN/A1033,2351,010
2015-04-09$40.31$40.0023.1%6.6%20.9%17.3%22.8%8.5%-0.9%48.4K-946.9K-24.1K1.8298.63N/AN/A731333,2341,010
2015-04-10$40.62$40.0022.5%6.5%21.0%16.5%21.4%9.0%-0.7%51.2K-1.3M-25.8K1.8299.54N/AN/A731333,2541,010
2015-04-13$40.65$40.0022.5%6.5%21.0%16.5%23.0%9.7%-1.0%64.4K-1.5M-25.3K1.90104.53N/AN/A701333,2491,010
2015-04-14$40.92$40.0021.9%6.3%20.9%15.6%20.9%4.3%-1.7%91.5K-1.7M-25.0K1.19106.69N/AN/A1832173,2491,010
2015-04-15$40.66$40.0021.3%6.1%21.1%14.8%21.0%3.5%-0.9%18.0K-1.2M-23.4K0.73106.95N/AN/A1831333,2171,065
2015-04-16$41.05$40.0021.1%6.0%18.7%14.4%20.7%4.6%-1.0%168.0K-1.9M-22.8K1.45106.06N/AN/A911323,2171,068
2015-04-17$40.86$40.0021.1%6.1%18.8%14.5%21.1%3.6%-1.1%240.0K-1.8M-22.2K1.86104.30N/AN/A711323,2171,070
2015-04-20$40.87$40.0021.8%6.2%15.9%15.4%21.7%4.8%-1.2%248.4K-1.7M-22.5K3.1055.58N/AN/A21653,049517
2015-04-21$40.98$40.0021.6%6.2%15.9%15.2%24.9%4.5%-1.5%255.5K-1.8M-22.2K2.5487.36N/AN/A24613,061518
2015-04-22$40.96$40.0021.2%6.1%15.2%14.5%24.9%3.7%-1.0%252.2K-1.7M-22.1K2.42111.57N/AN/A24583,064520
2015-04-23$41.18$40.0021.6%6.2%14.8%15.1%23.5%4.2%-1.6%259.5K-1.7M-21.6K2.21107.80N/AN/A28623,064536
2015-04-24$41.03$40.0021.1%6.1%14.3%14.5%24.3%3.8%-1.3%265.0K-1.7M-22.5K1.09108.25N/AN/A57623,057541
2015-04-27$40.68$40.0021.6%6.2%14.5%15.1%21.7%40.8%-1.2%228.5K-1.3M-19.9K1.42108.09N/AN/A60853,070541
2015-04-28$39.91$40.0021.0%6.0%15.1%14.3%21.9%2.1%-1.1%205.1K-1.1M-20.4K1.09112.11N/AN/A86943,070571
2015-04-29$39.00$40.0021.6%6.2%16.9%15.1%21.9%0.6%-1.2%146.3K-472.1K-16.7K0.06111.08N/AN/A1,169703,064572
2015-04-30$38.40$40.0021.9%6.3%17.5%15.7%22.5%-17.0%-1.7%217.7K-1.6M-26.7K0.06106.99N/AN/A1,107684,154575