NNN Options History — August 2015

In August 2015, NNN traded between $34.40 and $37.89. ATM implied volatility averaged 25.2%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 7.8% (HV 20d: 17.4%). 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 10 of 21 days. Put/call ratio averaged 2.27.

Notable Days

  • 2015-08-06: Highest Volume — 411 contracts
  • 2015-08-24: Largest IV spike — 46.3% change
  • 2015-08-26: Highest IV Rank — 44.2%
  • 2015-08-26: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.61$34.40$37.89$37.89$34.78
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV25.2%16.4%41.4%20.1%40.7%
Expected Move7.0%4.4%11.9%5.8%11.7%
HV 20d17.4%13.4%24.7%13.4%24.7%
HV 60d16.0%14.7%19.0%16.7%19.0%
IV Rank20.5%7.6%44.2%13.0%43.2%
IV Percentile55.2%11.1%94.4%33.7%94.0%
Term Structure-1.4%-25.3%10.2%8.5%-25.3%
VWIV26.4%17.7%38.7%20.2%36.6%
Skew 25d1.0%-8.4%9.6%2.8%-8.4%
Skew 10d7.5%-4.5%44.3%5.9%3.4%
Call IV 25d24.2%18.5%38.2%18.5%38.2%
Put IV 25d25.2%16.1%34.8%21.4%29.7%
Bid-Ask Spread %107.4198.19115.17115.07108.03
Gamma HHI0.690.580.800.690.60
Net GEX452.5K177.8K652.1K646.5K185.0K
Net DEX-2.9M-5.4M-15.3K-5.4M-447.3K
Net VEX-35.5K-47.3K-22.3K-47.3K-24.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.716.223.000.71
Total Volume228.76204114111
Total OI10,089.6199,97310,1869,97310,028

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$37.89$40.0020.1%5.8%13.4%13.0%0.0%2.8%8.5%646.5K-5.4M-47.3K3.00115.07N/AN/A138,7331,240
2015-08-04$37.25$40.0021.3%6.1%14.6%14.8%20.2%-1.4%-6.1%631.4K-5.2M-44.5K1.69109.29N/AN/A1161968,7421,237
2015-08-05$36.76$40.0017.5%5.0%15.4%9.1%17.7%-1.2%0.9%469.6K-3.3M-38.8K1.01106.93N/AN/A1891918,7421,237
2015-08-06$36.71$40.0017.8%5.4%15.3%9.5%19.4%1.3%4.4%372.4K-1.9M-33.0K0.92106.42N/AN/A2141978,8181,238
2015-08-07$36.91$40.0020.5%4.9%15.1%13.5%17.7%-2.7%5.4%404.5K-2.9M-36.5K1.27107.90N/AN/A1551978,9181,234
2015-08-10$36.65$40.0029.9%6.4%15.2%27.3%21.7%-3.2%-4.4%483.8K-3.9M-41.7K1.27105.94N/AN/A1551978,9181,234
2015-08-11$37.01$40.0020.8%4.4%15.6%14.0%24.6%-4.4%6.5%569.6K-4.2M-43.5K0.83106.48N/AN/A24208,9091,234
2015-08-12$37.15$40.0018.8%5.4%15.4%11.0%20.0%2.5%6.4%476.4K-2.8M-35.5K1.27104.73N/AN/A1672128,9221,254
2015-08-13$36.99$40.0023.5%6.7%15.2%18.0%22.6%-0.1%-3.5%558.4K-4.2M-40.5K2.33100.39N/AN/A912128,9221,236
2015-08-14$37.24$40.0019.4%5.6%15.4%12.0%23.3%2.4%4.9%496.7K-3.0M-35.3K4.16106.06N/AN/A512128,9221,236
2015-08-17$37.60$40.0020.4%5.9%15.8%13.4%25.9%3.5%-3.7%631.9K-4.4M-40.2K4.16112.58N/AN/A512128,9221,236
2015-08-18$37.67$40.0023.1%6.6%15.7%17.4%29.2%8.6%-4.8%651.1K-4.7M-40.5K4.49115.16N/AN/A512298,9241,236
2015-08-19$37.46$40.0016.4%4.7%15.8%7.6%0.0%-3.8%3.3%652.1K-4.1M-37.8K0.00105.01N/AN/A008,9151,221
2015-08-20$37.30$40.0021.9%6.3%15.0%15.6%25.0%2.7%10.2%586.1K-3.7M-36.3K6.22108.46N/AN/A513178,9241,221
2015-08-21$36.83$40.0023.3%6.7%14.5%17.6%27.9%4.9%5.6%555.6K-2.9M-34.9K4.4798.19N/AN/A512288,9241,262
2015-08-24$35.50$40.0034.0%9.8%19.4%33.4%33.6%6.7%-3.6%273.5K-1.6M-30.5K4.39109.52N/AN/A441938,9081,122
2015-08-25$34.40$40.0035.7%10.2%21.9%35.8%35.4%3.7%-10.5%181.0K-15.3K-22.3K1.05108.41N/AN/A65688,9081,122
2015-08-26$35.05$40.0041.4%11.9%23.3%44.2%38.7%-2.9%-15.0%229.0K-640.6K-25.8K0.71115.17N/AN/A65468,9281,099
2015-08-27$35.78$40.0029.6%8.5%24.7%27.0%30.3%-0.3%-3.4%177.8K-1.0M-26.9K0.7198.21N/AN/A65468,9281,100
2015-08-28$35.79$40.0034.0%9.7%24.4%33.4%31.8%9.6%-4.3%269.5K-1.6M-29.0K0.71107.76N/AN/A65468,9281,100
2015-08-31$34.78$40.0040.7%11.7%24.7%43.2%36.6%-8.4%-25.3%185.0K-447.3K-24.3K0.71108.03N/AN/A65468,9281,100