NNN Options History — January 2016

In January 2016, NNN traded between $38.96 and $42.94. ATM implied volatility averaged 24.1%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.4% (HV 20d: 20.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.00.

Notable Days

  • 2016-01-21: Highest Volume — 427 contracts
  • 2016-01-11: Largest IV spike — 45.6% change
  • 2016-01-11: Highest IV Rank — 29.3%
  • 2016-01-27: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.49$38.96$42.94$39.49$42.94
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV24.1%18.4%31.5%18.4%24.5%
Expected Move6.7%5.7%8.4%5.7%7.0%
HV 20d20.6%15.6%27.8%15.6%27.8%
HV 60d21.0%18.8%23.4%18.8%23.4%
IV Rank17.7%9.0%29.3%9.0%18.4%
IV Percentile54.9%10.3%84.5%10.3%62.7%
Term Structure0.6%-7.3%8.5%0.2%6.3%
VWIV22.7%13.5%27.9%20.1%13.5%
Skew 25d14.3%-0.6%27.6%23.5%20.8%
Skew 10d22.8%0.4%46.9%34.1%18.5%
Call IV 25d19.0%13.0%26.9%18.9%14.4%
Put IV 25d33.3%19.9%48.7%42.4%35.2%
Bid-Ask Spread %104.8796.28116.2897.63115.23
Gamma HHI0.870.670.940.930.67
Net GEX521.0K392.0K702.4K575.0K392.0K
Net DEX-6.4M-9.3M-4.7M-5.1M-9.3M
Net VEX-21.4K-22.9K-19.9K-21.9K-20.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.231.981.550.23
Total Volume245.9472742718627
Total OI3,547.3683,2493,7393,4943,652

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$39.49$40.0018.4%5.7%15.6%9.0%20.1%23.5%0.2%575.0K-5.1M-21.9K1.5597.63N/AN/A731133,251243
2016-01-05$40.27$40.0022.1%6.2%15.9%14.6%21.5%24.7%0.4%583.6K-6.4M-22.4K1.6896.50N/AN/A751263,251243
2016-01-06$40.31$40.0021.8%6.4%15.9%14.2%22.4%23.1%-0.9%594.5K-6.5M-22.9K0.78101.89N/AN/A1661303,254259
2016-01-07$39.61$40.0021.3%6.3%17.3%13.4%22.1%6.6%-0.5%607.4K-5.6M-22.4K0.8896.28N/AN/A1481303,358251
2016-01-08$38.96$40.0021.6%5.8%17.9%14.0%20.5%5.1%1.2%576.5K-4.7M-21.7K0.93105.85N/AN/A1271183,343251
2016-01-11$39.89$40.0031.5%6.8%18.8%29.3%22.7%26.3%1.4%649.2K-5.7M-21.8K0.93107.22N/AN/A1271183,348254
2016-01-12$39.74$40.0025.1%5.8%18.8%19.3%20.3%26.3%0.5%702.4K-5.7M-21.6K0.91105.24N/AN/A1301183,348254
2016-01-13$39.18$40.0022.2%6.4%19.7%14.8%22.2%-0.6%-1.7%608.8K-5.0M-20.8K0.89111.55N/AN/A1331183,352252
2016-01-14$39.15$40.0021.8%6.2%18.5%14.2%21.8%27.6%0.7%564.5K-4.7M-19.9K0.91101.04N/AN/A1301183,352252
2016-01-15$39.77$40.0022.8%6.5%17.9%15.8%24.0%3.0%2.3%419.7K-4.8M-20.6K0.88115.30N/AN/A1341183,354252
2016-01-19$40.38$40.0023.6%6.8%18.7%17.0%23.9%10.8%-0.5%493.5K-5.9M-21.1K1.9898.26N/AN/A50993,094155
2016-01-20$39.43$40.0025.5%7.3%20.7%19.9%25.8%0.5%0.7%407.6K-4.7M-20.1K1.94110.42N/AN/A1402723,099155
2016-01-21$40.51$40.0027.9%8.0%22.7%23.7%27.9%10.9%-3.8%478.1K-6.2M-22.5K1.7599.18N/AN/A1552723,150347
2016-01-22$41.52$40.0022.8%6.5%24.2%15.8%22.8%19.7%1.7%479.7K-7.5M-22.3K1.01106.33N/AN/A69703,158347
2016-01-25$41.68$40.0026.6%7.6%24.2%21.7%26.6%9.3%-4.3%511.6K-8.2M-20.8K0.8497.19N/AN/A83703,181348
2016-01-26$42.67$40.0025.2%7.2%25.2%19.5%23.5%16.3%8.5%413.4K-8.9M-20.7K0.23108.90N/AN/A243573,191348
2016-01-27$41.97$40.0029.4%8.4%26.2%26.0%25.8%7.3%-7.3%408.2K-8.9M-21.7K0.38116.28N/AN/A222853,370344
2016-01-28$41.76$40.0023.2%6.6%26.2%16.4%24.6%11.2%6.1%433.3K-8.8M-21.3K0.38102.18N/AN/A224853,371368
2016-01-29$42.94$40.0024.5%7.0%27.8%18.4%13.5%20.8%6.3%392.0K-9.3M-20.5K0.23115.23N/AN/A2253,284368