NNN Options History — July 2016

In July 2016, NNN traded between $50.96 and $53.22. ATM implied volatility averaged 26.2%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.5% (HV 20d: 17.7%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.76.

Notable Days

  • 2016-07-06: Highest Volume — 427 contracts
  • 2016-07-06: Largest IV spike — 88.6% change
  • 2016-07-06: Highest IV Rank — 53.8%
  • 2016-07-28: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.91$50.96$53.22$51.76$53.22
Max Pain$49.75$45.00$50.00$45.00$50.00
ATM IV26.2%20.1%47.6%20.2%20.1%
Expected Move6.6%5.7%7.9%5.8%5.8%
HV 20d17.7%15.5%19.8%15.5%16.4%
HV 60d18.7%17.3%20.0%19.1%17.3%
IV Rank20.3%10.8%53.8%10.8%10.8%
IV Percentile63.6%29.0%96.4%29.8%29.0%
Term Structure-2.8%-11.4%2.7%2.7%-2.2%
VWIV21.7%17.6%24.6%20.9%23.1%
Skew 25d7.7%-3.3%22.7%4.0%9.3%
Skew 10d17.4%0.2%48.1%5.1%29.2%
Call IV 25d20.0%15.5%29.2%19.2%21.1%
Put IV 25d27.8%21.4%39.1%23.2%30.5%
Bid-Ask Spread %104.0091.55114.17112.45105.36
Gamma HHI0.690.660.710.710.71
Net GEX1.2M1.1M1.4M1.2M1.2M
Net DEX-19.8M-22.6M-17.4M-20.7M-21.9M
Net VEX-51.4K-58.7K-37.2K-58.7K-37.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.783.111.460.78
Total Volume282.4122427256162
Total OI6,829.856,0827,2206,8176,089

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$51.76$45.0020.2%5.8%15.5%10.8%20.9%4.0%2.7%1.2M-20.7M-58.7K1.46112.45N/AN/A1041526,490327
2016-07-05$52.77$50.0025.3%5.7%16.3%18.7%21.3%-0.2%-4.1%1.1M-22.6M-55.6K1.40103.43N/AN/A1141606,495327
2016-07-06$52.52$50.0047.6%6.5%16.7%53.8%22.4%5.9%-1.7%1.1M-22.4M-54.4K3.11114.17N/AN/A1043236,502349
2016-07-07$51.60$50.0033.2%7.3%18.6%31.2%23.8%6.4%-3.9%1.1M-19.2M-56.7K2.25101.52N/AN/A952146,507549
2016-07-08$51.78$50.0026.3%6.7%18.5%20.4%22.2%7.8%-2.9%1.2M-20.0M-57.0K2.58100.58N/AN/A862226,511591
2016-07-11$52.20$50.0029.9%7.0%18.4%26.0%23.1%6.2%-2.7%1.1M-20.9M-55.7K2.82100.87N/AN/A992796,511586
2016-07-12$51.83$50.0039.9%6.9%18.5%41.7%22.7%6.0%-4.7%1.2M-20.5M-54.8K2.09107.48N/AN/A1002096,530656
2016-07-13$52.06$50.0025.1%7.2%18.2%18.5%23.6%6.7%-4.5%1.1M-20.5M-53.3K1.62100.77N/AN/A1302116,544676
2016-07-14$51.43$50.0024.9%7.2%19.2%18.5%23.2%6.9%-5.0%1.2M-19.0M-53.6K1.56101.48N/AN/A1352116,516687
2016-07-15$50.96$50.0023.4%6.7%19.8%16.0%20.2%17.3%-4.2%1.2M-18.3M-51.7K1.81108.48N/AN/A1352456,525686
2016-07-18$51.32$50.0021.1%6.1%18.5%12.4%24.6%-3.3%-0.0%1.3M-17.4M-49.5K1.3891.55N/AN/A1281776,292424
2016-07-19$51.58$50.0022.9%6.6%18.4%15.2%19.2%22.7%-2.6%1.2M-18.5M-51.5K1.42100.97N/AN/A1261796,292425
2016-07-20$51.37$50.0021.9%6.3%18.7%13.6%17.6%4.9%-1.0%1.2M-18.5M-49.9K1.9298.39N/AN/A931796,296427
2016-07-21$51.72$50.0022.1%6.3%18.5%13.9%18.7%20.9%-2.1%1.4M-18.6M-49.0K1.86108.19N/AN/A961796,301437
2016-07-22$52.20$50.0022.7%6.5%18.6%14.9%21.8%10.0%-0.7%1.3M-20.6M-49.4K1.85104.59N/AN/A971796,296436
2016-07-25$52.04$50.0023.7%6.8%16.7%16.5%22.3%1.3%-2.0%1.2M-20.5M-48.8K1.0397.46N/AN/A1071106,298436
2016-07-26$51.96$50.0022.7%6.5%16.6%15.0%21.9%2.7%-0.7%1.3M-19.7M-48.5K1.03108.35N/AN/A1071106,315435
2016-07-27$51.39$50.0023.6%6.8%15.7%16.3%20.3%6.7%-1.7%1.2M-19.4M-48.0K1.86107.65N/AN/A591106,316435
2016-07-28$52.44$50.0027.5%7.9%15.9%22.5%21.2%12.6%-11.4%1.1M-17.9M-44.4K1.44106.30N/AN/A50725,647435
2016-07-29$53.22$50.0020.1%5.8%16.4%10.8%23.1%9.3%-2.2%1.2M-21.9M-37.2K0.78105.36N/AN/A91715,654435