NNN Options History — November 2015

In November 2015, NNN traded between $35.95 and $38.61. ATM implied volatility averaged 25.3%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 2.7% (HV 20d: 22.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 12.73.

Notable Days

  • 2015-11-30: Highest Volume — 4,227 contracts
  • 2015-11-06: Largest IV spike — 68.8% change
  • 2015-11-17: Highest IV Rank — 32.6%
  • 2015-11-17: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.60$35.95$38.61$38.44$38.46
Max Pain$36.50$35.00$40.00$35.00$40.00
ATM IV25.3%13.3%33.5%19.5%22.9%
Expected Move7.2%4.5%9.6%5.6%6.6%
HV 20d22.6%12.0%25.7%12.4%25.1%
HV 60d21.2%19.3%23.3%19.6%19.3%
IV Rank20.0%1.3%32.6%12.6%16.0%
IV Percentile58.8%2.0%85.7%19.8%48.8%
Term Structure-2.5%-8.9%6.4%-2.4%6.4%
VWIV29.5%17.8%41.7%22.3%24.2%
Skew 25d7.9%-3.4%18.1%-3.4%16.1%
Skew 10d14.8%-4.4%51.6%-4.4%15.8%
Call IV 25d23.7%16.1%30.3%24.1%21.7%
Put IV 25d31.6%19.9%42.8%20.6%37.8%
Bid-Ask Spread %97.2887.19109.53109.53105.52
Gamma HHI0.630.490.970.970.61
Net GEX311.1K-183.6K920.8K805.3K662.1K
Net DEX-2.3M-7.0M1.1M-6.6M-5.9M
Net VEX-38.3K-53.5K-22.5K-35.4K-34.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.730.4794.250.610.55
Total Volume880.1514,2271134,227
Total OI9,243.555,70212,9545,80212,797

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$38.44$35.0019.5%5.6%12.4%12.6%22.3%-3.4%-2.4%805.3K-6.6M-35.4K0.61109.53N/AN/A70435,510292
2015-11-03$38.58$35.0019.2%5.5%12.0%12.1%21.9%-1.5%-4.4%920.8K-7.0M-36.8K0.5199.82N/AN/A85435,520292
2015-11-04$38.23$35.0019.6%5.6%12.3%11.1%20.0%1.2%-3.0%901.4K-6.9M-36.5K0.51108.04N/AN/A85435,518292
2015-11-05$38.59$35.0013.3%4.5%12.5%1.3%17.8%1.9%1.5%897.6K-6.8M-35.4K0.4798.67N/AN/A92435,518292
2015-11-06$36.46$40.0022.4%6.6%24.3%15.5%23.8%0.9%2.9%453.2K-2.8M-23.8K29.04102.46N/AN/A267555,410292
2015-11-09$35.95$40.0024.2%7.1%24.5%18.3%25.0%7.3%-2.6%208.6K-981.2K-23.5K94.2598.26N/AN/A43775,4201,028
2015-11-10$36.65$35.0027.4%6.3%25.6%23.1%24.4%14.4%0.1%220.6K-754.5K-22.5K9.8797.39N/AN/A777605,4281,285
2015-11-11$36.71$35.0028.3%8.1%25.7%24.5%28.2%3.7%-5.5%210.5K-958.4K-29.9K9.8789.68N/AN/A777605,4281,990
2015-11-12$36.58$35.0028.7%8.2%25.6%25.2%30.2%14.3%-4.8%173.3K-479.3K-33.0K7.2489.74N/AN/A825945,4282,690
2015-11-13$36.45$35.0028.9%8.3%25.4%25.4%28.8%9.8%-1.9%17.2K398.2K-33.9K11.7693.61N/AN/A637415,4283,147
2015-11-16$36.89$40.0029.1%8.3%25.2%25.7%30.9%10.7%-4.2%10.3K1.0M-33.9K15.79104.83N/AN/A619635,4223,696
2015-11-17$37.02$35.0033.5%9.6%25.3%32.6%34.2%3.8%-8.9%9.1K1.1M-37.1K19.0196.65N/AN/A861,6355,4534,439
2015-11-18$37.46$35.0030.2%8.7%25.7%27.5%30.6%6.9%1.0%-183.6K1.1M-44.3K2.0995.96N/AN/A2625475,4545,764
2015-11-19$37.89$35.0021.9%6.3%25.2%14.7%36.0%8.8%-1.2%97.9K-220.0K-49.4K11.5387.19N/AN/A901,0385,6366,113
2015-11-20$38.27$35.0028.6%8.2%25.2%25.0%37.3%10.7%-2.2%90.5K-1.2M-53.5K1.7394.93N/AN/A1963395,6936,966
2015-11-23$38.27$40.0023.4%6.7%25.1%17.0%37.8%18.1%-8.0%182.3K-2.2M-52.8K1.8391.41N/AN/A18335,6947,039
2015-11-24$38.29$40.0029.1%8.3%25.1%25.8%41.7%13.8%-4.6%171.4K-1.9M-51.4K21.5088.08N/AN/A122585,7077,039
2015-11-25$38.24$35.0026.5%7.6%25.1%21.5%41.3%11.7%-3.4%182.0K-2.2M-49.8K14.6698.78N/AN/A1642,4055,7187,236
2015-11-27$38.61$35.0029.3%8.4%25.3%25.8%34.5%9.7%-5.7%190.5K-2.6M-49.0K1.7295.14N/AN/A1652835,7287,069
2015-11-30$38.46$40.0022.9%6.6%25.1%16.0%24.2%16.1%6.4%662.1K-5.9M-34.9K0.55105.52N/AN/A2,7231,5045,7287,069