NNN Options History — October 2015

In October 2015, NNN traded between $36.02 and $38.89. ATM implied volatility averaged 28.2%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 12.9% (HV 20d: 15.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.28.

Notable Days

  • 2015-10-12: Highest Volume — 909 contracts
  • 2015-10-06: Largest IV spike — 144.5% change
  • 2015-10-12: Highest IV Rank — 95.7%
  • 2015-10-02: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.63$36.02$38.89$36.02$38.04
Max Pain$35.91$35.00$40.00$35.00$35.00
ATM IV28.2%16.2%76.5%21.6%17.9%
Expected Move6.4%4.6%11.1%6.2%5.1%
HV 20d15.3%12.3%18.8%18.8%13.1%
HV 60d20.1%19.4%20.4%20.0%19.6%
IV Rank25.0%7.5%95.7%15.2%10.2%
IV Percentile45.8%6.7%99.2%40.1%12.7%
Term Structure-0.6%-16.5%6.9%-3.5%-0.8%
VWIV22.8%15.9%42.2%15.9%19.3%
Skew 25d3.2%-26.9%30.1%-12.3%-0.5%
Skew 10d7.8%-29.6%46.6%2.7%-3.0%
Call IV 25d23.3%17.4%60.9%25.7%19.5%
Put IV 25d26.5%13.4%58.3%13.4%19.1%
Bid-Ask Spread %104.3092.17123.07123.07104.67
Gamma HHI0.950.920.970.920.97
Net GEX552.8K287.2K804.6K287.2K799.0K
Net DEX-4.8M-7.4M-2.2M-2.2M-6.9M
Net VEX-30.8K-39.0K-21.5K-21.5K-37.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.000.560.560.40
Total Volume304.6365909109182
Total OI5,032.6364,4275,8334,4285,800

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$36.02$35.0021.6%6.2%18.8%15.2%15.9%-12.3%-3.5%287.2K-2.2M-21.5K0.56123.07N/AN/A70394,148280
2015-10-02$36.19$35.0038.8%11.1%18.8%40.4%42.2%-26.9%-16.5%317.4K-2.6M-23.8K0.46121.99N/AN/A78364,148280
2015-10-05$36.80$40.0019.5%6.8%18.1%12.1%0.0%5.8%0.2%357.0K-3.4M-26.3K0.00104.10N/AN/A504,145282
2015-10-06$36.56$40.0047.7%7.0%18.2%53.5%23.8%-0.7%-1.6%341.1K-2.5M-23.3K0.2795.85N/AN/A133364,148282
2015-10-07$36.94$40.0030.3%7.0%17.0%27.9%23.7%6.5%-2.7%354.2K-3.1M-24.7K0.2797.89N/AN/A133364,156282
2015-10-08$37.15$40.0023.6%7.2%17.0%18.0%24.8%3.4%-0.9%393.9K-3.4M-26.7K0.4897.52N/AN/A134644,156282
2015-10-09$37.07$35.0052.7%7.2%16.0%60.8%24.6%2.7%-1.2%389.8K-3.6M-28.0K0.4896.21N/AN/A134644,157291
2015-10-12$37.37$35.0076.5%7.3%16.1%95.7%23.9%2.0%-0.6%434.3K-3.4M-25.9K0.07103.14N/AN/A849604,158291
2015-10-13$37.24$35.0052.6%6.6%16.3%60.6%24.1%5.6%6.9%482.0K-4.5M-31.1K0.07105.77N/AN/A849604,835291
2015-10-14$37.23$35.0027.4%7.9%14.9%23.7%25.6%-0.6%-3.0%505.5K-3.9M-30.4K0.15104.53N/AN/A407604,835291
2015-10-15$37.41$35.0025.8%7.4%14.4%21.3%25.5%8.2%5.2%522.5K-3.8M-28.8K0.15104.67N/AN/A407604,835291
2015-10-16$37.68$35.0018.5%5.3%14.4%11.0%22.5%7.2%0.5%532.4K-4.6M-31.1K0.1598.90N/AN/A397604,835291
2015-10-19$38.24$35.0016.4%4.7%15.1%7.8%21.7%7.0%2.3%586.3K-5.0M-31.4K0.1892.17N/AN/A231424,824284
2015-10-20$38.17$35.0017.2%4.9%14.5%9.0%22.1%1.9%-0.8%627.3K-5.6M-33.4K0.1895.23N/AN/A229424,977282
2015-10-21$38.20$35.0018.8%5.4%14.2%11.4%22.4%1.4%-2.8%669.7K-5.8M-33.6K0.1797.20N/AN/A245424,980282
2015-10-22$38.89$35.0016.5%4.7%14.0%8.0%17.4%29.4%2.8%719.5K-6.5M-35.0K0.32109.15N/AN/A103334,980282
2015-10-23$38.47$35.0017.6%5.1%14.9%9.7%17.4%0.3%3.0%719.7K-6.5M-34.5K0.41104.18N/AN/A106435,011282
2015-10-26$38.68$35.0018.7%5.4%13.0%11.4%20.3%30.1%-0.7%745.8K-6.4M-34.8K0.09104.85N/AN/A626575,014292
2015-10-27$38.56$35.0016.2%4.6%12.7%7.5%20.1%-2.6%0.9%804.6K-6.5M-37.6K0.45103.98N/AN/A128575,536297
2015-10-28$38.50$35.0025.0%7.2%12.8%20.9%21.6%3.4%0.4%801.0K-7.3M-39.0K0.45122.67N/AN/A128575,508297
2015-10-29$38.43$35.0020.4%5.8%12.3%13.8%20.5%-1.1%0.6%771.9K-7.4M-38.7K0.41106.79N/AN/A128525,508292
2015-10-30$38.04$35.0017.9%5.1%13.1%10.2%19.3%-0.5%-0.8%799.0K-6.9M-37.8K0.40104.67N/AN/A130525,508292