NNN Options History — June 2016

In June 2016, NNN traded between $45.59 and $51.67. ATM implied volatility averaged 20.6%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 4.8% (HV 20d: 15.8%). Max pain ranged from $45.00 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 2.43.

Notable Days

  • 2016-06-28: Highest Volume — 1,231 contracts
  • 2016-06-14: Largest IV spike — 45.9% change
  • 2016-06-15: Highest IV Rank — 21.7%
  • 2016-06-15: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.87$45.59$51.67$45.59$51.67
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV20.6%15.2%27.1%16.9%18.0%
Expected Move5.8%4.4%7.8%4.9%5.2%
HV 20d15.8%11.0%20.5%20.5%16.3%
HV 60d18.0%17.4%19.2%17.7%19.2%
IV Rank11.5%3.0%21.7%5.7%7.5%
IV Percentile33.7%1.2%74.6%6.0%13.5%
Term Structure2.9%-3.0%13.6%2.5%8.4%
VWIV19.7%13.4%29.2%17.2%24.1%
Skew 25d4.7%-13.7%17.9%6.9%9.7%
Skew 10d16.5%-21.3%47.2%14.2%10.6%
Call IV 25d19.2%14.0%37.0%14.4%15.1%
Put IV 25d23.9%18.5%34.6%21.4%24.8%
Bid-Ask Spread %106.6795.01120.31106.84113.97
Gamma HHI0.770.540.860.540.71
Net GEX951.6K788.2K1.3M799.6K1.3M
Net DEX-10.6M-19.6M-6.4M-6.8M-19.6M
Net VEX-47.2K-59.3K-38.6K-43.0K-57.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.430.135.782.091.54
Total Volume357.0451051,231213251
Total OI6,682.3185,7497,3616,7536,814

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$45.59$45.0016.9%4.9%20.5%5.7%17.2%6.9%2.5%799.6K-6.8M-43.0K2.09106.84N/AN/A691446,131622
2016-06-02$45.93$45.0017.8%5.0%18.3%7.1%17.4%17.9%2.5%790.7K-6.4M-39.3K2.0995.01N/AN/A691446,131702
2016-06-03$46.82$45.0019.4%5.7%19.6%9.6%19.3%10.4%2.1%866.1K-10.3M-51.0K5.78109.15N/AN/A633646,131702
2016-06-06$46.90$45.0019.4%5.7%19.1%9.7%19.5%3.7%1.3%788.2K-8.4M-46.7K4.8599.17N/AN/A753646,1311,002
2016-06-07$47.29$45.0022.3%4.7%19.0%14.1%13.4%3.0%6.0%874.1K-9.0M-46.1K4.8598.73N/AN/A753646,1291,002
2016-06-08$47.48$45.0017.7%5.1%19.0%7.0%14.0%3.4%6.9%870.1K-9.9M-47.4K5.5696.92N/AN/A663676,1291,002
2016-06-09$47.92$45.0019.8%5.7%18.2%10.3%19.5%3.6%-1.1%982.0K-10.8M-49.1K1.48107.36N/AN/A2483676,1441,002
2016-06-10$47.89$45.0025.0%7.2%17.5%18.4%19.2%13.3%-1.4%1.1M-11.2M-52.3K1.49120.31N/AN/A2493716,3301,002
2016-06-13$47.61$45.0015.2%4.4%17.2%3.0%16.9%5.4%0.2%878.0K-12.5M-50.5K1.5999.53N/AN/A2343716,3341,019
2016-06-14$47.40$45.0022.1%6.3%17.2%13.9%20.2%5.0%3.0%826.6K-11.8M-49.5K1.67100.44N/AN/A2223716,3361,019
2016-06-15$47.57$45.0027.1%7.8%16.5%21.7%21.6%2.8%-3.0%916.2K-10.0M-45.2K1.69119.05N/AN/A2223766,3361,019
2016-06-16$47.81$45.0025.3%7.3%11.0%18.8%19.0%6.6%0.3%1.0M-10.2M-45.1K1.60113.89N/AN/A50806,3361,025
2016-06-17$47.09$45.0021.5%6.2%11.6%12.8%21.0%-0.7%-1.7%830.1K-10.9M-46.1K0.99106.74N/AN/A85846,3301,021
2016-06-20$47.01$45.0019.7%5.6%11.5%10.0%21.1%3.6%8.7%825.8K-7.9M-42.4K2.06102.55N/AN/A35725,476273
2016-06-21$47.20$45.0018.5%5.3%11.5%8.2%19.2%1.1%12.1%895.9K-7.4M-42.5K2.28101.97N/AN/A32735,488274
2016-06-22$47.07$45.0021.2%6.1%11.6%12.4%18.9%5.5%6.4%952.9K-7.3M-41.9K2.15115.93N/AN/A34735,488274
2016-06-23$47.37$45.0018.5%5.3%11.7%8.2%19.5%8.8%13.6%940.4K-6.7M-38.6K2.32111.38N/AN/A34795,488274
2016-06-24$48.68$45.0025.4%7.3%14.5%18.9%29.2%9.3%-0.8%974.8K-10.7M-48.2K2.93112.45N/AN/A27795,488284
2016-06-27$49.21$45.0021.5%6.2%14.6%12.9%21.0%-3.6%-2.0%1.0M-12.0M-48.5K2.89107.00N/AN/A27785,484284
2016-06-28$50.28$45.0024.4%7.0%15.5%17.4%24.2%-13.7%-2.7%1.2M-14.2M-48.9K0.13102.98N/AN/A1,0871445,486288
2016-06-29$51.25$45.0017.1%4.9%16.2%6.0%17.4%0.8%3.2%1.3M-18.6M-59.3K1.36105.29N/AN/A1001366,480301
2016-06-30$51.67$45.0018.0%5.2%16.3%7.5%24.1%9.7%8.4%1.3M-19.6M-57.6K1.54113.97N/AN/A991526,487327