NNN Options History — February 2016

In February 2016, NNN traded between $43.41 and $45.30. ATM implied volatility averaged 23.4%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.6% (HV 20d: 24.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2016-02-18: Highest Volume — 625 contracts
  • 2016-02-08: Largest IV spike — 34.5% change
  • 2016-02-11: Highest IV Rank — 31.2%
  • 2016-02-11: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.41$43.41$45.30$43.41$44.09
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV23.4%18.3%33.2%24.0%19.4%
Expected Move6.7%5.2%9.5%6.9%5.6%
HV 20d24.0%19.3%27.9%27.9%19.3%
HV 60d21.1%19.8%23.5%23.5%21.4%
IV Rank15.8%7.8%31.2%17.7%9.6%
IV Percentile47.4%8.7%87.7%60.7%13.9%
Term Structure-0.4%-5.3%4.7%-2.6%-1.7%
VWIV24.5%17.7%33.4%30.9%20.1%
Skew 25d10.6%-3.0%56.6%5.2%53.4%
Skew 10d18.3%-3.2%74.1%36.4%71.7%
Call IV 25d22.1%16.2%29.9%26.0%21.9%
Put IV 25d32.7%17.5%83.5%31.2%75.4%
Bid-Ask Spread %99.4983.95113.66111.89111.95
Gamma HHI0.510.420.660.640.66
Net GEX343.8K221.9K429.7K372.0K223.6K
Net DEX-12.9M-14.4M-10.2M-10.2M-13.6M
Net VEX-17.9K-23.6K-11.8K-21.1K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.233.120.250.23
Total Volume402.35190625548391
Total OI4,572.753,7744,9273,7744,904

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$43.41$40.0024.0%6.9%27.9%17.7%30.9%5.2%-2.6%372.0K-10.2M-21.1K0.25111.89N/AN/A4371113,401373
2016-02-02$43.71$40.0025.1%7.2%26.8%18.5%22.6%56.6%-0.5%403.8K-10.8M-22.9K0.97113.66N/AN/A1151113,680394
2016-02-03$43.95$40.0025.8%7.4%26.2%19.6%27.7%-2.3%-3.5%391.8K-12.7M-19.0K0.25111.39N/AN/A181463,733394
2016-02-04$44.53$40.0021.8%6.1%26.4%13.3%21.2%8.5%0.8%396.5K-13.7M-16.1K0.3789.17N/AN/A161593,809397
2016-02-05$43.76$40.0019.0%6.2%26.4%8.9%22.0%8.2%-0.0%397.1K-12.8M-18.2K0.6493.98N/AN/A116743,829411
2016-02-08$43.73$40.0025.6%6.8%25.2%19.2%23.9%7.1%1.2%429.7K-10.8M-23.6K0.6791.18N/AN/A118793,824441
2016-02-09$44.51$40.0027.5%8.2%24.8%22.2%33.4%10.3%-2.1%398.5K-11.7M-23.0K2.5494.62N/AN/A1293283,826445
2016-02-10$44.14$40.0026.6%7.6%25.0%20.8%32.4%8.5%-1.5%331.8K-11.4M-23.4K3.1297.02N/AN/A1053283,772698
2016-02-11$45.30$40.0033.2%9.5%25.0%31.2%29.7%6.0%-5.3%292.7K-13.2M-20.4K0.3283.95N/AN/A3851243,775698
2016-02-12$44.65$40.0026.3%7.5%26.0%20.4%30.3%0.6%-1.6%389.4K-13.4M-18.8K0.3696.54N/AN/A3931414,089708
2016-02-16$44.72$40.0018.6%5.3%25.8%8.4%21.0%8.0%1.0%283.8K-14.4M-13.3K0.35110.43N/AN/A3901374,109706
2016-02-17$44.75$40.0023.1%6.6%25.6%15.3%22.0%0.9%0.0%373.9K-13.1M-19.2K0.3697.28N/AN/A3811384,103709
2016-02-18$45.08$40.0023.6%6.8%23.2%16.2%25.9%9.9%0.3%394.0K-13.2M-18.9K0.5299.82N/AN/A4102154,108709
2016-02-19$45.08$40.0023.1%6.6%22.1%15.3%26.0%11.1%0.5%361.2K-13.4M-19.1K0.79102.31N/AN/A2772184,126789
2016-02-22$44.78$40.0022.6%6.5%21.2%14.6%22.8%6.9%4.7%293.6K-14.2M-14.2K0.5295.48N/AN/A2951544,120727
2016-02-23$44.50$40.0021.4%6.1%21.5%12.8%21.5%4.9%0.2%321.2K-13.8M-14.7K0.2390.84N/AN/A335784,172737
2016-02-24$44.32$40.0020.4%5.8%20.3%11.1%20.6%7.3%1.7%221.9K-13.9M-12.4K0.2999.02N/AN/A267784,169737
2016-02-25$45.04$40.0022.1%6.3%19.6%13.7%17.7%3.1%-1.2%291.1K-14.4M-13.9K0.2792.08N/AN/A284784,172734
2016-02-26$44.06$40.0018.3%5.2%21.5%7.8%18.9%-3.0%0.7%308.9K-13.7M-13.2K0.26107.23N/AN/A302784,193734
2016-02-29$44.09$40.0019.4%5.6%19.3%9.6%20.1%53.4%-1.7%223.6K-13.6M-11.8K0.23111.95N/AN/A318734,170734