NNN Options History — April 2016

In April 2016, NNN traded between $43.72 and $46.41. ATM implied volatility averaged 19.7%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.9% (HV 20d: 13.8%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2016-04-15: Highest Volume — 351 contracts
  • 2016-04-11: Largest IV spike — 47.7% change
  • 2016-04-12: Highest IV Rank — 22.4%
  • 2016-04-12: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.44$43.72$46.41$46.24$43.86
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV19.7%15.5%27.6%16.1%16.5%
Expected Move5.8%4.6%6.3%4.6%4.7%
HV 20d13.8%10.2%18.5%14.2%17.1%
HV 60d18.1%16.3%20.2%20.2%16.8%
IV Rank10.0%3.5%22.4%4.4%5.1%
IV Percentile25.9%1.6%73.8%2.0%5.6%
Term Structure-0.5%-2.9%6.0%6.0%1.0%
VWIV20.0%16.1%22.1%16.1%17.0%
Skew 25d9.8%-0.8%32.6%1.0%9.7%
Skew 10d15.9%0.6%48.8%48.8%15.9%
Call IV 25d16.6%14.2%20.5%17.4%17.7%
Put IV 25d26.5%17.4%51.6%18.4%27.3%
Bid-Ask Spread %99.7179.95109.25109.2579.95
Gamma HHI0.720.640.810.700.80
Net GEX264.8K215.0K336.9K276.2K239.2K
Net DEX-3.8M-4.8M-1.7M-4.6M-2.0M
Net VEX-14.5K-16.3K-12.6K-16.3K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.081.570.420.81
Total Volume104.90545351136116
Total OI2,179.9522,0342,2212,1902,069

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$46.24$45.0016.1%4.6%14.2%4.4%16.1%1.0%6.0%276.2K-4.6M-16.3K0.42109.25N/AN/A96401,806384
2016-04-04$46.04$45.0017.8%5.9%12.6%7.2%20.2%8.8%-0.7%279.8K-4.6M-15.8K0.63103.51N/AN/A46291,807387
2016-04-05$46.24$45.0018.1%6.2%12.2%7.6%20.6%10.0%-2.3%292.4K-4.6M-15.6K0.6393.53N/AN/A46291,808388
2016-04-06$46.22$45.0020.0%6.1%12.2%10.6%19.8%10.1%-1.1%277.2K-4.5M-15.8K0.63102.14N/AN/A46291,808388
2016-04-07$46.04$45.0015.8%6.1%11.9%3.9%20.8%5.2%-0.3%290.8K-4.5M-15.7K0.8598.37N/AN/A46391,808388
2016-04-08$46.40$45.0015.5%6.1%11.4%3.5%20.9%6.3%-1.6%265.8K-4.7M-15.3K1.0397.21N/AN/A38391,808398
2016-04-11$46.41$45.0022.9%5.8%11.4%15.1%18.3%9.2%0.0%260.8K-4.8M-15.2K0.9194.76N/AN/A34311,808398
2016-04-12$46.38$45.0027.6%6.3%11.4%22.4%19.8%10.6%-2.0%271.4K-4.8M-15.0K0.91100.54N/AN/A34311,816400
2016-04-13$45.90$45.0020.7%5.9%11.6%11.6%20.5%8.7%-1.9%310.5K-4.4M-14.8K0.79109.07N/AN/A34271,816400
2016-04-14$45.72$45.0020.2%5.8%11.4%10.9%19.4%4.2%-1.3%336.9K-4.3M-14.6K0.7999.33N/AN/A34271,816400
2016-04-15$46.07$45.0021.8%6.2%11.2%13.3%21.9%5.5%-2.0%215.0K-4.6M-14.5K0.08107.36N/AN/A324271,821400
2016-04-18$46.11$45.0021.6%6.2%10.9%13.1%21.6%5.3%-1.9%259.0K-4.2M-15.0K0.1497.31N/AN/A174251,779385
2016-04-19$46.29$45.0020.9%6.0%10.2%12.0%20.8%5.6%-2.0%267.2K-4.5M-14.6K0.1897.33N/AN/A174321,783388
2016-04-20$45.03$45.0018.1%5.2%14.2%7.6%18.1%1.3%1.8%269.6K-3.9M-14.4K1.57103.65N/AN/A30471,783401
2016-04-21$43.72$45.0018.1%5.2%17.4%7.5%19.2%-0.8%-0.7%244.7K-2.9M-13.8K0.63105.29N/AN/A30191,788426
2016-04-22$43.99$45.0020.5%5.9%17.6%11.3%20.8%4.3%-1.5%232.4K-2.4M-13.4K0.6399.00N/AN/A30191,786428
2016-04-25$44.67$45.0018.8%5.4%18.5%8.7%19.7%29.6%3.2%250.9K-2.9M-13.6K0.73101.03N/AN/A26191,786431
2016-04-26$44.35$45.0020.6%5.9%17.1%11.5%21.7%8.7%-2.6%260.3K-2.9M-13.2K0.7296.36N/AN/A72521,787431
2016-04-27$44.22$45.0020.6%5.9%17.0%11.5%22.1%30.9%2.4%221.2K-1.7M-12.6K1.18107.61N/AN/A44521,587447
2016-04-28$44.24$45.0020.8%6.0%17.0%11.8%21.1%32.6%-2.9%238.8K-1.9M-13.0K0.8191.33N/AN/A64521,594447
2016-04-29$43.86$45.0016.5%4.7%17.1%5.1%17.0%9.7%1.0%239.2K-2.0M-13.2K0.8179.95N/AN/A64521,622447