NNN Options History — July 2015

In July 2015, NNN traded between $35.38 and $37.27. ATM implied volatility averaged 32.5%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 17.7% (HV 20d: 14.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 4.15.

Notable Days

  • 2015-07-14: Highest Volume — 1,604 contracts
  • 2015-07-13: Largest IV spike — 182.9% change
  • 2015-07-14: Highest IV Rank — 96.6%
  • 2015-07-31: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.71$35.38$37.27$35.38$37.14
Max Pain$35.45$35.00$40.00$35.00$40.00
ATM IV32.5%20.4%77.1%23.5%50.7%
Expected Move7.8%5.6%14.5%6.8%14.5%
HV 20d14.8%12.2%16.9%15.5%12.2%
HV 60d18.8%16.8%19.2%18.9%16.8%
IV Rank31.2%13.4%96.6%18.0%57.9%
IV Percentile76.1%36.5%99.6%67.9%96.0%
Term Structure-6.2%-25.3%7.5%-1.3%-13.6%
VWIV25.0%19.4%37.2%24.9%36.1%
Skew 25d8.6%-9.3%68.5%68.5%32.1%
Skew 10d25.8%5.1%118.1%118.1%29.5%
Call IV 25d21.7%16.0%38.7%23.0%20.7%
Put IV 25d30.3%18.3%91.5%91.5%52.9%
Bid-Ask Spread %116.4498.83132.79115.89132.79
Gamma HHI0.590.450.730.550.66
Net GEX203.0K-354.6K632.7K-354.6K518.0K
Net DEX-1.6M-4.1M2.0M2.0M-3.7M
Net VEX-34.8K-41.1K-27.4K-34.2K-39.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.150.2511.021.131.63
Total Volume866.4552191,604253323
Total OI10,099.3648,83110,92510,3689,983

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$35.38$35.0023.5%6.8%15.5%18.0%24.9%68.5%-1.3%-354.6K2.0M-34.2K1.13115.89N/AN/A1191347,6192,749
2015-07-02$35.73$35.0023.9%6.9%16.1%18.5%24.2%18.8%1.1%-209.6K1.1M-35.3K4.37102.72N/AN/A1225337,6442,778
2015-07-06$36.13$35.0029.4%7.2%16.5%26.6%24.7%4.5%-2.9%-307.9K988.6K-33.6K5.8698.83N/AN/A1227157,6513,138
2015-07-07$36.55$35.0030.0%6.6%16.9%27.5%21.0%-1.6%-8.8%-153.2K731.2K-30.5K11.02117.98N/AN/A1221,3457,6543,271
2015-07-08$36.61$35.0030.4%5.8%15.9%28.0%21.7%12.8%2.3%-105.1K-1.0M-35.3K10.74116.39N/AN/A1221,3107,6552,894
2015-07-09$36.38$35.0030.6%7.5%16.1%28.3%20.5%7.3%-3.6%-74.4K-1.2M-36.5K10.32100.13N/AN/A1191,2287,6562,894
2015-07-10$36.67$35.0023.0%9.0%15.9%17.3%37.2%-9.3%-3.9%86.1K-1.4M-32.4K10.07123.62N/AN/A1221,2287,6572,894
2015-07-13$36.46$35.0065.1%6.8%16.1%79.0%20.2%6.2%0.6%-29.0K-203.1K-31.0K10.09112.75N/AN/A1221,2317,6582,894
2015-07-14$36.55$35.0077.1%5.6%16.0%96.6%19.4%0.3%7.5%-9.1K-683.7K-31.8K3.37122.78N/AN/A3671,2377,6582,899
2015-07-15$36.81$35.0026.2%7.5%16.2%21.9%32.2%-7.5%-7.0%54.8K-771.9K-31.6K3.33122.99N/AN/A3691,2287,9082,903
2015-07-16$37.12$35.0021.0%6.0%16.2%14.4%20.4%4.2%-2.7%243.5K-2.1M-33.0K3.32118.68N/AN/A3691,2257,9072,916
2015-07-17$37.12$35.0020.4%5.8%15.3%13.4%20.4%8.0%4.8%481.8K-3.1M-35.2K3.30116.19N/AN/A3691,2187,9072,926
2015-07-20$37.09$35.0022.5%6.4%14.9%16.5%21.5%3.4%-2.0%486.5K-3.0M-34.1K0.60108.70N/AN/A137827,875956
2015-07-21$36.98$35.0036.5%10.5%14.3%37.0%23.1%13.4%-21.0%632.7K-4.1M-38.1K1.35119.07N/AN/A1211637,875973
2015-07-22$37.17$35.0022.6%6.5%12.5%16.7%23.1%6.5%-1.4%440.6K-3.0M-33.8K1.02119.59N/AN/A1211237,8751,044
2015-07-23$36.65$35.0022.8%6.5%12.9%16.9%20.8%6.7%2.3%483.9K-2.6M-31.5K2.04112.39N/AN/A1112267,8751,045
2015-07-24$37.27$35.0034.6%9.9%14.0%34.2%29.6%4.2%-25.3%387.4K-1.0M-27.4K0.25123.86N/AN/A9832437,8741,202
2015-07-27$37.19$35.0037.4%10.7%13.6%38.4%33.2%-2.9%-23.0%514.3K-3.3M-41.0K2.11123.74N/AN/A1152438,7481,222
2015-07-28$36.96$35.0028.7%8.2%13.3%25.5%24.1%7.6%-9.7%476.9K-3.2M-41.1K2.09114.61N/AN/A1162438,7481,222
2015-07-29$36.94$35.0032.4%9.3%12.3%31.0%28.3%3.7%-20.1%427.5K-3.3M-39.6K1.68123.45N/AN/A1181988,7411,222
2015-07-30$36.78$40.0026.1%7.5%12.2%21.7%23.6%2.5%-9.1%475.5K-2.9M-39.2K1.71114.47N/AN/A1182028,7421,234
2015-07-31$37.14$40.0050.7%14.5%12.2%57.9%36.1%32.1%-13.6%518.0K-3.7M-39.5K1.63132.79N/AN/A1232008,7421,241