NNN Options History — June 2015

In June 2015, NNN traded between $35.03 and $37.74. ATM implied volatility averaged 26.6%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 9.9% (HV 20d: 16.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.65.

Notable Days

  • 2015-06-26: Highest Volume — 1,233 contracts
  • 2015-06-29: Largest IV spike — 90.9% change
  • 2015-06-29: Highest IV Rank — 38.3%
  • 2015-06-29: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.29$35.03$37.74$37.74$35.03
Max Pain$35.68$35.00$40.00$40.00$35.00
ATM IV26.6%18.0%37.4%20.1%22.8%
Expected Move7.6%5.2%10.7%5.8%6.5%
HV 20d16.7%11.8%24.4%24.4%15.9%
HV 60d19.8%18.8%22.7%22.7%19.1%
IV Rank22.6%9.9%38.3%12.9%17.0%
IV Percentile70.6%22.2%93.3%44.4%62.7%
Term Structure-4.9%-23.2%6.5%-4.4%-1.2%
VWIV24.5%16.1%30.4%25.7%21.9%
Skew 25d7.7%-4.7%25.3%5.7%4.6%
Skew 10d18.5%-1.1%71.8%9.2%9.3%
Call IV 25d21.2%17.4%28.8%24.0%22.8%
Put IV 25d28.9%18.1%43.6%29.7%27.4%
Bid-Ask Spread %112.98100.58122.26100.58104.84
Gamma HHI0.530.450.630.580.53
Net GEX131.3K-728.8K402.2K402.2K-260.6K
Net DEX-1.0M-3.3M2.1M-3.2M2.1M
Net VEX-33.9K-39.5K-28.3K-35.0K-33.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.650.0712.490.443.18
Total Volume518.636191,233150405
Total OI8,604.1366,97110,2836,97910,283

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$37.74$40.0020.1%5.8%24.4%12.9%25.7%5.7%-4.4%402.2K-3.2M-35.0K0.44100.58N/AN/A104466,264715
2015-06-02$37.46$40.0027.4%7.8%24.4%23.6%16.1%9.2%-0.1%373.3K-2.7M-32.3K0.46103.49N/AN/A1366,267715
2015-06-03$36.77$40.0026.4%7.6%22.4%22.2%25.5%10.4%1.7%312.5K-2.0M-30.1K0.53106.04N/AN/A106566,260711
2015-06-04$36.72$35.0026.8%6.9%21.3%22.8%24.1%3.3%0.0%316.1K-2.2M-30.5K0.10105.24N/AN/A600586,271719
2015-06-05$36.42$35.0025.9%6.5%19.8%21.5%24.9%10.1%3.8%352.0K-3.3M-38.0K0.07110.81N/AN/A832616,733720
2015-06-08$36.61$35.0027.6%8.8%18.5%23.9%26.1%6.1%-5.7%358.0K-2.8M-35.5K0.57114.02N/AN/A3371927,036733
2015-06-09$36.05$35.0028.2%9.0%17.9%24.8%26.3%0.5%-12.9%291.9K-1.6M-31.2K0.60117.52N/AN/A3382027,036854
2015-06-10$36.09$35.0030.8%8.8%16.9%28.6%23.9%-4.7%-14.4%271.0K-1.3M-28.3K1.07116.70N/AN/A89957,036849
2015-06-11$36.46$35.0031.8%9.1%16.3%30.2%25.7%8.3%-15.2%340.4K-2.8M-38.9K7.25122.26N/AN/A896457,038892
2015-06-12$36.39$35.0033.1%9.5%13.4%32.0%29.2%11.5%-12.0%238.9K-1.2M-35.3K1.12121.02N/AN/A891007,0381,442
2015-06-15$36.23$35.0021.8%6.2%11.8%15.4%25.0%7.6%4.2%187.6K-807.8K-32.4K11.43119.14N/AN/A354007,0381,486
2015-06-16$36.24$35.0033.5%9.6%11.9%32.6%29.7%10.8%-13.5%164.0K-561.3K-33.2K9.69118.45N/AN/A262527,0381,778
2015-06-17$36.49$35.0030.8%8.8%12.4%28.6%27.7%10.5%-10.9%156.6K-541.8K-32.9K12.49116.80N/AN/A394877,0391,978
2015-06-18$37.06$35.0021.0%6.0%14.1%14.4%24.9%4.4%6.4%219.7K-1.6M-38.9K0.93113.81N/AN/A5254877,0472,014
2015-06-19$36.73$35.0029.3%8.4%13.9%26.4%27.1%4.1%-8.3%258.1K-1.9M-39.5K1.18109.48N/AN/A3303887,5472,014
2015-06-22$36.32$35.0021.0%6.0%14.3%14.4%22.0%4.9%3.4%84.5K-883.9K-37.4K0.71119.20N/AN/A5473897,0352,099
2015-06-23$35.66$35.0034.7%9.9%15.3%34.3%27.2%10.8%-18.5%39.5K186.5K-33.1K0.56114.77N/AN/A2841607,5472,129
2015-06-24$35.27$35.0018.6%5.3%15.4%10.7%18.5%24.7%2.4%-199.9K1.4M-33.8K0.45113.03N/AN/A3361507,5482,230
2015-06-25$35.35$35.0018.0%5.2%15.5%9.9%19.6%25.3%4.9%-237.6K1.8M-31.6K0.63112.06N/AN/A3462177,6032,311
2015-06-26$35.78$35.0019.6%5.6%15.9%12.2%16.9%-2.6%6.5%-728.8K156.6K-32.6K2.59115.07N/AN/A3438907,6142,388
2015-06-29$35.46$35.0037.4%10.7%15.7%38.3%30.4%3.7%-23.2%-51.6K949.5K-31.8K2.29111.25N/AN/A962207,6152,581
2015-06-30$35.03$35.0022.8%6.5%15.9%17.0%21.9%4.6%-1.2%-260.6K2.1M-33.3K3.18104.84N/AN/A973087,6182,665