NNN Options History — May 2016

In May 2016, NNN traded between $44.19 and $47.56. ATM implied volatility averaged 23.5%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.3% (HV 20d: 22.2%). 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 1.58.

Notable Days

  • 2016-05-06: Highest Volume — 4,699 contracts
  • 2016-05-05: Largest IV spike — 42.7% change
  • 2016-05-05: Highest IV Rank — 28.3%
  • 2016-05-27: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.75$44.19$47.56$44.87$45.37
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV23.5%19.1%31.3%21.8%19.1%
Expected Move6.5%5.3%8.9%6.2%5.5%
HV 20d22.2%19.3%24.8%19.3%20.7%
HV 60d17.6%16.5%18.7%17.2%17.8%
IV Rank16.1%9.0%28.3%13.3%9.0%
IV Percentile51.8%19.0%86.5%43.3%19.0%
Term Structure-1.9%-9.9%5.5%-3.2%0.2%
VWIV25.1%19.0%50.0%22.8%19.0%
Skew 25d11.9%0.3%50.5%35.7%50.5%
Skew 10d21.8%-1.8%88.6%51.7%88.6%
Call IV 25d19.9%16.1%24.0%19.4%16.1%
Put IV 25d31.8%22.9%66.6%55.1%66.6%
Bid-Ask Spread %101.2193.98115.50108.44102.29
Gamma HHI0.650.530.790.790.53
Net GEX582.4K210.1K837.4K276.1K762.2K
Net DEX-5.8M-11.4M-2.6M-2.6M-5.2M
Net VEX-37.1K-59.0K-13.7K-13.7K-35.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.054.170.740.94
Total Volume671.5241254,699125134
Total OI5,679.8572,0696,8792,0696,754

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$44.87$45.0021.8%6.2%19.3%13.3%22.8%35.7%-3.2%276.1K-2.6M-13.7K0.74108.44N/AN/A72531,622447
2016-05-03$45.25$45.0020.5%5.9%19.6%11.4%21.0%33.8%2.5%267.0K-2.8M-13.9K0.7395.99N/AN/A73531,630448
2016-05-04$46.47$45.0022.0%6.3%21.9%13.6%26.2%9.1%5.5%241.5K-3.9M-14.0K1.53115.38N/AN/A1482261,632448
2016-05-05$46.55$45.0031.3%7.1%21.8%28.3%24.5%4.7%-1.7%210.1K-4.0M-15.8K1.37109.08N/AN/A1431961,695604
2016-05-06$47.11$45.0023.6%6.7%22.1%16.2%22.0%2.0%-3.3%222.2K-4.1M-15.7K0.0595.40N/AN/A4,4592401,696615
2016-05-09$47.56$45.0022.4%5.3%22.3%14.2%22.2%4.0%-2.0%837.4K-10.7M-57.5K0.0593.98N/AN/A4,4032345,984777
2016-05-10$47.34$45.0031.1%7.6%22.4%27.9%21.0%4.7%-5.9%772.0K-11.4M-59.0K1.3395.83N/AN/A1351795,988779
2016-05-11$46.58$45.0023.6%6.8%22.9%16.2%23.5%5.2%-3.0%755.4K-8.8M-52.4K3.1398.98N/AN/A672106,026783
2016-05-12$47.29$45.0021.6%6.2%23.3%13.1%23.4%10.8%3.0%823.6K-9.7M-56.8K3.3998.96N/AN/A622106,021816
2016-05-13$46.79$45.0025.1%7.2%23.6%18.5%24.9%3.5%-1.7%801.5K-9.5M-56.1K3.42102.79N/AN/A652226,019816
2016-05-16$46.94$45.0021.2%6.1%23.6%12.4%23.9%5.6%3.5%791.3K-9.4M-53.6K4.1795.94N/AN/A532216,019829
2016-05-17$46.34$45.0024.9%7.1%24.1%18.2%29.1%0.3%-4.0%807.4K-8.7M-51.1K3.8799.71N/AN/A532056,020829
2016-05-18$44.89$45.0025.3%7.2%24.8%18.7%33.8%8.2%-8.5%568.5K-4.0M-34.8K2.65107.07N/AN/A511356,047832
2016-05-19$44.35$45.0023.8%6.8%22.7%16.5%25.2%7.3%-1.6%512.3K-3.8M-37.7K2.82105.33N/AN/A501416,048822
2016-05-20$44.19$45.0021.9%6.3%22.7%13.5%21.9%8.3%-1.7%539.8K-2.9M-36.1K0.3098.72N/AN/A5241566,047829
2016-05-23$44.28$45.0021.1%6.1%22.0%12.3%23.0%5.6%-1.1%560.7K-4.1M-36.9K0.5496.83N/AN/A121655,967622
2016-05-24$44.50$45.0020.5%5.9%21.9%11.4%21.9%9.5%-2.2%618.0K-4.1M-34.9K0.4598.37N/AN/A146656,022622
2016-05-25$44.64$45.0019.3%5.5%21.9%9.4%19.2%6.5%0.3%631.6K-4.2M-35.6K0.6296.12N/AN/A105656,046622
2016-05-26$44.69$45.0023.2%6.6%21.9%15.5%28.6%13.0%-4.5%609.2K-4.4M-35.2K0.5894.67N/AN/A112656,100622
2016-05-27$44.74$45.0031.1%8.9%21.6%27.9%50.0%20.9%-9.9%622.2K-3.8M-32.3K0.54115.50N/AN/A120656,110622
2016-05-31$45.37$45.0019.1%5.5%20.7%9.0%19.0%50.5%0.2%762.2K-5.2M-35.3K0.94102.29N/AN/A69656,132622