NNN Options History — May 2015

In May 2015, NNN traded between $36.88 and $38.89. ATM implied volatility averaged 27.7%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.2% (HV 20d: 23.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2015-05-01: Highest Volume — 2,144 contracts
  • 2015-05-11: Largest IV spike — 193.7% change
  • 2015-05-12: Highest IV Rank — 92.1%
  • 2015-05-29: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.11$36.88$38.89$38.69$37.46
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV27.7%17.6%74.0%21.1%40.0%
Expected Move6.1%5.0%11.5%6.0%11.5%
HV 20d23.5%16.6%26.5%16.6%24.4%
HV 60d23.0%21.9%24.2%23.1%22.6%
IV Rank24.1%9.3%92.1%14.4%42.1%
IV Percentile60.7%26.2%99.6%54.8%94.8%
Term Structure-1.3%-20.6%1.4%-0.2%-20.6%
VWIV23.6%18.4%42.0%21.2%42.0%
Skew 25d4.1%-5.4%9.3%9.3%-5.4%
Skew 10d7.0%-1.7%20.6%9.2%7.5%
Call IV 25d20.9%18.7%30.7%22.2%30.7%
Put IV 25d25.0%22.9%31.5%31.5%25.2%
Bid-Ask Spread %95.6485.36102.9499.9896.66
Gamma HHI0.530.460.580.460.53
Net GEX390.0K226.2K496.9K247.6K376.2K
Net DEX-3.5M-5.3M-1.4M-2.1M-3.6M
Net VEX-37.8K-46.3K-27.6K-28.9K-39.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.001.560.030.44
Total Volume29872,1442,144151
Total OI6,537.64,7617,0334,7616,979

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$38.69$40.0021.1%6.0%16.6%14.4%21.2%9.3%-0.2%247.6K-2.1M-28.9K0.0399.98N/AN/A2,076684,196565
2015-05-04$38.88$40.0021.7%6.1%16.6%15.3%21.1%5.2%-0.4%371.9K-3.8M-37.3K0.3794.95N/AN/A62235,158565
2015-05-05$37.61$40.0029.4%5.8%18.7%26.6%24.2%3.9%-0.2%295.1K-2.4M-32.0K0.6496.63N/AN/A1811165,206581
2015-05-06$36.88$40.0024.4%7.2%19.4%19.4%24.6%3.2%-0.9%226.2K-1.4M-27.6K0.9197.56N/AN/A1181075,262624
2015-05-07$37.70$40.0048.4%5.6%21.1%54.5%24.7%4.3%0.7%288.0K-2.3M-31.9K1.0296.75N/AN/A1081105,247627
2015-05-08$38.40$40.0018.7%5.5%22.1%11.0%19.1%3.4%1.4%345.2K-3.1M-34.1K0.7595.25N/AN/A865,256630
2015-05-11$37.62$40.0055.0%5.5%22.9%64.1%0.0%4.1%1.1%283.9K-2.2M-30.7K0.0591.43N/AN/A1,040565,264630
2015-05-12$38.17$40.0074.0%5.4%23.6%92.1%22.6%4.0%0.7%444.5K-3.9M-39.9K1.5697.87N/AN/A1031616,304683
2015-05-13$37.45$40.0025.0%7.2%24.2%20.2%24.4%3.7%-0.3%371.7K-3.1M-37.9K1.4588.48N/AN/A1101596,300733
2015-05-14$38.34$40.0019.9%5.7%25.7%12.6%18.4%3.9%0.5%454.6K-4.1M-41.9K1.0596.07N/AN/A1111176,295733
2015-05-15$38.89$40.0019.6%5.6%26.5%12.3%20.5%4.1%0.3%496.9K-5.3M-46.3K0.8294.96N/AN/A1361116,296736
2015-05-18$38.86$40.0019.5%5.6%26.4%12.1%20.5%5.8%-0.2%491.3K-5.1M-44.4K0.2695.42N/AN/A38106,223722
2015-05-19$38.72$40.0020.0%5.7%26.4%12.8%20.0%5.1%-0.2%479.6K-4.9M-44.0K0.00102.94N/AN/A706,255732
2015-05-20$38.59$40.0019.7%5.6%26.4%12.4%20.3%4.3%-0.7%489.8K-4.9M-43.4K0.7996.79N/AN/A73586,260732
2015-05-21$38.17$40.0019.1%5.5%26.3%11.5%24.0%4.2%0.2%446.7K-4.2M-41.3K0.6397.54N/AN/A68436,262730
2015-05-22$38.07$40.0017.6%5.0%26.3%9.3%31.5%3.2%-0.5%454.0K-3.9M-39.5K0.63101.59N/AN/A68436,262735
2015-05-26$37.83$40.0021.2%6.1%26.3%14.5%24.7%5.4%-1.4%405.9K-3.5M-38.6K0.7785.36N/AN/A62486,262735
2015-05-27$37.92$40.0020.4%5.9%25.7%13.5%22.9%5.7%-1.2%413.9K-3.5M-37.2K0.9190.06N/AN/A53486,261735
2015-05-28$37.98$40.0019.5%5.6%24.5%12.0%22.6%5.1%-3.8%417.6K-3.7M-38.8K0.8796.55N/AN/A55486,260716
2015-05-29$37.46$40.0040.0%11.5%24.4%42.1%42.0%-5.4%-20.6%376.2K-3.6M-39.4K0.4496.66N/AN/A105466,264715