NNN Options History — December 2015

In December 2015, NNN traded between $37.54 and $40.17. ATM implied volatility averaged 21.0%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.5% (HV 20d: 18.5%). 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 14 of 22 days. Put/call ratio averaged 22.82.

Notable Days

  • 2015-12-07: Highest Volume — 5,334 contracts
  • 2015-12-15: Largest IV spike — 48.5% change
  • 2015-12-15: Highest IV Rank — 27.8%
  • 2015-12-15: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.92$37.54$40.17$39.04$40.16
Max Pain$35.23$35.00$40.00$40.00$35.00
ATM IV21.0%15.1%30.6%24.6%17.9%
Expected Move5.7%4.3%8.8%7.0%5.1%
HV 20d18.5%14.8%26.9%25.4%14.8%
HV 60d19.2%18.5%19.8%19.1%18.5%
IV Rank13.0%3.8%27.8%18.5%8.3%
IV Percentile30.7%2.0%83.3%61.5%9.5%
Term Structure1.6%-5.4%8.3%0.7%4.0%
VWIV24.6%13.9%44.4%41.3%18.0%
Skew 25d14.7%-3.1%52.0%12.8%1.4%
Skew 10d21.9%-10.1%60.8%17.2%3.3%
Call IV 25d23.5%16.3%40.6%26.1%21.3%
Put IV 25d38.3%16.6%75.9%38.8%22.6%
Bid-Ask Spread %105.9292.54120.7997.93102.86
Gamma HHI0.740.500.930.600.92
Net GEX596.4K106.8K1.4M1.1M595.7K
Net DEX-5.0M-8.5M-1.2M-8.5M-6.3M
Net VEX-29.2K-49.3K-22.9K-49.3K-23.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.820.31409.310.311.55
Total Volume693.6821435,334143186
Total OI8,323.3643,24015,52015,5203,485

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$39.04$40.0024.6%7.0%25.4%18.5%41.3%12.8%0.7%1.1M-8.5M-49.3K0.3197.93N/AN/A109348,4187,102
2015-12-02$38.30$35.0026.3%7.6%26.3%21.3%44.4%12.5%-5.4%413.2K-4.0M-42.9K1.9497.35N/AN/A1593085,8237,132
2015-12-03$37.90$35.0030.3%6.2%26.4%27.3%28.3%5.1%-0.6%164.1K-1.2M-41.4K4.66105.39N/AN/A612845,8237,157
2015-12-04$38.58$35.0026.3%6.4%26.9%21.2%30.1%5.6%-0.6%161.1K-2.4M-39.6K4.66103.89N/AN/A612845,8237,203
2015-12-07$38.67$35.0028.4%6.1%16.6%24.4%0.0%0.5%-0.0%492.8K-3.9M-37.9K409.31107.83N/AN/A135,3215,8177,213
2015-12-08$38.60$35.0028.9%6.0%15.5%25.3%28.2%3.9%-0.4%1.0M-6.9M-32.6K7.83102.78N/AN/A594625,8265,670
2015-12-09$38.18$35.0016.4%4.7%15.1%5.8%28.2%7.3%3.5%390.6K-2.6M-32.1K50.62105.76N/AN/A613,0885,8265,670
2015-12-10$37.66$35.0020.0%5.7%16.1%11.5%29.5%5.9%-1.4%593.0K-3.8M-29.3K2.5596.32N/AN/A781995,8263,385
2015-12-11$37.54$35.0022.4%6.4%16.1%15.2%27.1%0.8%-2.5%106.8K-2.2M-22.9K2.7595.41N/AN/A721985,8373,378
2015-12-14$37.67$35.0020.6%5.9%16.0%12.3%30.3%7.2%2.6%409.6K-2.8M-24.9K2.48105.18N/AN/A862135,8373,373
2015-12-15$38.45$35.0030.6%8.8%17.0%27.8%30.4%6.7%-3.0%788.6K-5.2M-26.9K0.96113.85N/AN/A2232135,9223,362
2015-12-16$39.23$35.0017.3%5.0%18.2%7.2%0.0%52.0%6.1%1.3M-8.0M-25.5K1.22115.88N/AN/A2232735,9223,362
2015-12-17$39.33$35.0018.8%5.4%17.9%9.5%0.0%33.0%2.8%1.4M-8.4M-25.5K0.5093.61N/AN/A5122555,9223,429
2015-12-18$39.27$35.0019.5%5.6%17.6%10.7%14.7%-3.1%1.2%416.5K-4.8M-24.2K0.5092.54N/AN/A5122556,1693,429
2015-12-21$39.22$35.0017.3%5.0%17.3%7.3%17.6%1.5%8.3%431.4K-4.8M-23.2K0.31102.20N/AN/A3221013,011229
2015-12-22$39.24$35.0016.9%4.9%17.3%6.7%18.3%0.4%2.7%524.3K-5.1M-23.7K1.19120.79N/AN/A881053,194229
2015-12-23$39.42$35.0015.3%4.4%17.4%4.1%15.8%41.1%4.2%534.1K-4.9M-23.1K1.74113.03N/AN/A611063,218231
2015-12-24$39.53$35.0017.5%5.0%17.4%7.5%18.7%36.5%1.4%536.6K-5.2M-23.5K1.61114.00N/AN/A661063,221232
2015-12-28$39.84$35.0015.6%4.5%17.3%4.7%15.4%42.8%5.3%553.1K-5.6M-23.4K1.68106.70N/AN/A631063,226232
2015-12-29$40.17$35.0016.5%4.7%17.3%6.0%16.4%33.6%3.4%601.6K-6.3M-23.7K1.80118.64N/AN/A591063,238232
2015-12-30$40.17$35.0015.1%4.3%16.6%3.8%13.9%16.7%4.0%629.4K-6.3M-23.5K1.88118.23N/AN/A591113,248232
2015-12-31$40.16$35.0017.9%5.1%14.8%8.3%18.0%1.4%4.0%595.7K-6.3M-23.5K1.55102.86N/AN/A731133,248237