NNN Options History — March 2016

In March 2016, NNN traded between $43.56 and $46.79. ATM implied volatility averaged 19.7%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.5% (HV 20d: 16.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.25.

Notable Days

  • 2016-03-02: Highest Volume — 875 contracts
  • 2016-03-31: Largest IV spike — 22.5% change
  • 2016-03-21: Highest IV Rank — 15.8%
  • 2016-03-21: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.08$43.56$46.79$44.21$46.20
Max Pain$44.55$40.00$45.00$40.00$45.00
ATM IV19.7%14.0%23.4%21.5%17.1%
Expected Move5.6%4.0%6.7%6.2%4.9%
HV 20d16.2%12.2%19.0%19.0%14.2%
HV 60d20.6%20.2%21.0%21.0%20.5%
IV Rank10.0%1.1%15.8%12.8%6.0%
IV Percentile21.8%0.4%56.7%32.9%4.8%
Term Structure1.5%-3.5%13.0%-1.0%5.5%
VWIV19.5%14.0%23.4%21.9%17.1%
Skew 25d10.2%-6.0%28.6%-2.3%2.4%
Skew 10d19.9%-3.9%51.4%-3.9%6.8%
Call IV 25d18.3%15.6%22.5%22.5%16.7%
Put IV 25d28.5%11.1%47.6%20.2%19.2%
Bid-Ask Spread %107.8097.65122.41105.67117.02
Gamma HHI0.690.470.830.480.66
Net GEX316.6K197.9K479.4K307.1K263.2K
Net DEX-11.0M-16.8M-3.8M-13.6M-4.6M
Net VEX-16.5K-18.2K-13.2K-13.2K-16.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.080.460.110.39
Total Volume350.682123875849133
Total OI4,191.6362,0905,4794,9292,190

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$44.21$40.0021.5%6.2%19.0%12.8%21.9%-2.3%-1.0%307.1K-13.6M-13.2K0.11105.67N/AN/A766834,190739
2016-03-02$44.33$40.0017.7%5.1%18.8%7.0%18.0%-0.3%2.6%332.5K-14.6M-17.8K0.08106.82N/AN/A808674,639744
2016-03-03$44.28$45.0020.2%5.7%18.8%10.9%20.1%6.2%-0.4%353.9K-14.6M-18.2K0.20106.39N/AN/A324644,658745
2016-03-04$43.56$45.0020.6%5.3%19.0%11.5%17.2%3.1%-1.7%358.8K-13.9M-17.6K0.22104.01N/AN/A297654,667745
2016-03-07$44.08$45.0021.7%5.9%18.5%13.2%20.6%27.4%-1.4%294.3K-14.1M-16.5K0.2299.02N/AN/A287634,638742
2016-03-08$44.12$45.0022.4%6.4%18.5%14.3%22.3%3.5%-3.5%320.0K-14.6M-16.6K0.22114.03N/AN/A280624,638745
2016-03-09$44.62$45.0019.9%5.7%17.9%10.4%19.9%27.8%1.1%321.5K-14.8M-17.4K0.25100.93N/AN/A273694,635748
2016-03-10$44.21$45.0020.3%5.8%17.9%11.0%20.3%6.3%0.5%479.4K-14.4M-17.4K0.18101.87N/AN/A281514,638755
2016-03-11$44.46$45.0018.7%5.4%15.3%8.5%18.7%6.6%0.8%368.3K-14.6M-16.6K0.2099.67N/AN/A271544,631762
2016-03-14$44.55$45.0019.8%5.7%14.5%10.1%19.8%7.7%0.2%366.6K-14.7M-16.4K0.2097.65N/AN/A274544,631763
2016-03-15$45.09$45.0022.0%6.3%15.1%13.7%22.0%28.6%-1.8%449.8K-15.5M-16.1K0.17111.54N/AN/A292504,631764
2016-03-16$45.42$45.0020.7%5.9%15.3%11.6%21.8%4.6%2.2%363.5K-15.9M-16.6K0.18122.41N/AN/A281504,644764
2016-03-17$45.89$45.0019.8%5.7%15.5%10.2%19.9%21.3%1.1%371.7K-16.7M-16.3K0.32104.65N/AN/A270874,676764
2016-03-18$45.59$45.0020.3%5.8%15.7%11.1%20.3%3.8%-1.1%197.9K-16.8M-16.1K0.16116.63N/AN/A556874,675804
2016-03-21$45.15$45.0023.4%6.7%15.9%15.8%23.4%2.7%13.0%235.4K-3.8M-16.9K0.46117.71N/AN/A169781,732358
2016-03-22$45.49$45.0018.1%5.2%15.9%7.5%18.1%24.6%1.7%257.1K-3.8M-16.8K0.43103.33N/AN/A177771,733361
2016-03-23$45.64$45.0019.5%5.6%15.8%9.7%19.4%23.7%2.8%253.6K-3.9M-16.6K0.21111.48N/AN/A183391,733361
2016-03-24$45.73$45.0018.6%5.3%14.8%8.3%18.5%23.5%2.2%260.7K-4.0M-16.8K0.20100.51N/AN/A183371,744383
2016-03-28$45.95$45.0018.3%5.3%12.2%7.9%18.2%2.7%1.7%267.6K-4.3M-16.1K0.20105.37N/AN/A183371,747384
2016-03-29$46.79$45.0017.9%5.1%13.4%7.3%18.0%6.4%5.4%272.3K-4.8M-15.5K0.43113.45N/AN/A86371,747384
2016-03-30$46.42$45.0014.0%4.0%14.0%1.1%14.0%-6.0%2.4%270.6K-4.8M-16.0K0.40111.52N/AN/A93371,800384
2016-03-31$46.20$45.0017.1%4.9%14.2%6.0%17.1%2.4%5.5%263.2K-4.6M-16.2K0.39117.02N/AN/A96371,806384