NNN Options History — September 2015

In September 2015, NNN traded between $33.92 and $36.72. ATM implied volatility averaged 29.6%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 4.9% (HV 20d: 24.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2015-09-29: Highest Volume — 584 contracts
  • 2015-09-11: Largest IV spike — 103.7% change
  • 2015-09-11: Highest IV Rank — 57.7%
  • 2015-09-11: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.41$33.92$36.72$34.26$36.32
Max Pain$35.53$35.00$40.00$40.00$35.00
ATM IV29.6%20.1%50.6%35.5%23.3%
Expected Move8.1%5.8%14.5%10.2%6.7%
HV 20d24.7%18.5%28.5%24.6%18.5%
HV 60d19.7%19.0%20.1%19.2%19.9%
IV Rank26.9%13.0%57.7%35.5%17.6%
IV Percentile70.6%27.0%96.0%90.5%56.3%
Term Structure-4.0%-29.8%7.9%-3.0%-11.0%
VWIV28.6%15.9%53.8%36.1%17.7%
Skew 25d2.7%-17.7%31.7%5.7%-17.7%
Skew 10d14.3%-11.4%75.6%9.5%-6.1%
Call IV 25d27.7%15.3%50.1%30.7%32.7%
Put IV 25d30.4%15.0%57.2%36.4%15.0%
Bid-Ask Spread %113.1897.21128.98113.80125.97
Gamma HHI0.700.490.940.540.93
Net GEX162.7K-25.1K337.8K112.2K337.8K
Net DEX-1.1M-2.8M683.9K55.7K-2.7M
Net VEX-21.0K-24.6K-18.2K-21.6K-24.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.006.331.290.07
Total Volume256.61922584110566
Total OI7,828.3813,74810,26710,0284,428

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$34.26$40.0035.5%10.2%24.6%35.5%36.1%5.7%-3.0%112.2K55.7K-21.6K1.29113.80N/AN/A48628,9281,100
2015-09-02$34.49$40.0038.5%11.0%24.6%39.9%34.7%0.8%-17.3%144.8K-161.9K-22.1K1.29114.87N/AN/A48628,9281,101
2015-09-03$34.66$0.0047.8%7.5%24.8%53.6%0.0%-6.3%-1.3%167.2K-280.9K-23.1K0.93105.37N/AN/A67628,9281,101
2015-09-04$34.08$0.0028.7%8.1%25.0%25.6%28.2%6.6%-4.3%51.0K632.4K-19.8K0.6199.53N/AN/A101628,9331,101
2015-09-08$34.45$35.0035.4%9.4%25.6%35.4%0.0%-3.1%-10.4%36.9K176.7K-20.3K0.00102.09N/AN/A5208,9861,101
2015-09-09$33.92$35.0024.0%6.9%25.4%18.7%24.6%-1.8%-1.6%41.8K345.1K-20.4K0.4799.76N/AN/A132629,0411,101
2015-09-10$34.06$35.0024.8%7.1%25.5%19.9%25.4%2.6%-3.1%-11.9K683.9K-18.5K0.28107.57N/AN/A224629,0411,101
2015-09-11$34.77$35.0050.6%14.5%27.0%57.7%53.8%11.8%-29.8%4.1K143.4K-19.4K0.35121.59N/AN/A182649,1531,101
2015-09-14$34.86$35.0024.9%7.1%26.8%20.0%21.8%31.7%2.7%42.6K-367.7K-20.2K0.37119.26N/AN/A172649,1631,104
2015-09-15$35.07$35.0020.3%5.8%26.6%13.3%0.0%4.6%5.6%-25.1K-287.9K-20.4K6.33116.09N/AN/A3199,1601,104
2015-09-16$35.80$35.0023.4%6.7%27.9%17.9%23.1%9.5%-1.2%92.0K-1.3M-21.2K1.46121.99N/AN/A35519,1631,099
2015-09-17$36.27$35.0028.8%8.3%28.4%25.7%31.9%5.1%-9.2%147.1K-1.2M-19.1K2.84124.22N/AN/A511459,1631,096
2015-09-18$36.50$35.0022.4%6.4%28.5%16.4%20.8%8.3%3.3%297.4K-2.7M-22.4K3.30106.27N/AN/A431429,1561,096
2015-09-21$36.68$35.0020.1%5.8%28.3%13.0%15.9%7.9%6.5%305.9K-2.7M-22.7K1.1397.21N/AN/A32363,478270
2015-09-22$36.31$35.0023.3%6.7%25.1%17.7%22.1%3.2%1.1%268.2K-1.9M-19.9K0.81103.49N/AN/A32263,485267
2015-09-23$36.72$35.0022.7%6.5%22.1%16.8%19.6%6.4%7.9%292.5K-2.6M-21.9K0.06110.97N/AN/A454263,485267
2015-09-24$36.24$35.0037.4%10.7%22.1%38.4%48.8%-17.7%-6.0%308.8K-2.8M-24.4K0.06120.49N/AN/A455263,645267
2015-09-25$36.30$35.0037.5%10.7%20.9%38.5%37.7%-4.1%-10.4%249.9K-1.9M-19.0K0.05128.98N/AN/A528263,647267
2015-09-28$35.69$35.0024.6%7.1%21.8%19.6%25.3%3.9%4.9%291.4K-2.3M-22.7K0.07114.81N/AN/A545384,147267
2015-09-29$36.17$35.0027.2%7.8%19.5%23.3%27.0%-1.5%-7.4%262.9K-1.4M-18.2K0.07122.40N/AN/A545394,148279
2015-09-30$36.32$35.0023.3%6.7%18.5%17.6%17.7%-17.7%-11.0%337.8K-2.7M-24.6K0.07125.97N/AN/A527394,148280