NNN Options History — August 2016

In August 2016, NNN traded between $50.04 and $53.37. ATM implied volatility averaged 21.2%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 5.1% (HV 20d: 16.1%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.80.

Notable Days

  • 2016-08-19: Highest Volume — 366 contracts
  • 2016-08-02: Largest IV spike — 89.4% change
  • 2016-08-02: Highest IV Rank — 23.5%
  • 2016-08-02: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.10$50.04$53.37$53.37$50.12
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV21.2%14.8%28.1%14.8%19.5%
Expected Move5.9%4.3%8.1%4.3%5.6%
HV 20d16.1%13.3%17.4%16.4%13.3%
HV 60d16.7%15.9%17.7%17.3%16.1%
IV Rank12.5%2.5%23.5%2.5%9.9%
IV Percentile38.7%0.8%82.1%0.8%25.4%
Term Structure0.3%-9.7%5.2%1.6%0.3%
VWIV20.6%14.6%27.4%14.6%27.4%
Skew 25d12.0%1.5%55.6%4.6%55.6%
Skew 10d25.3%-7.9%89.2%-7.9%89.2%
Call IV 25d17.7%15.0%22.3%20.1%18.0%
Put IV 25d29.7%19.1%73.6%24.7%73.6%
Bid-Ask Spread %100.3592.07111.27107.5495.31
Gamma HHI0.790.680.880.720.88
Net GEX1.6M1.0M2.3M1.2M2.3M
Net DEX-15.8M-23.7M-10.9M-23.7M-10.9M
Net VEX-37.1K-43.5K-28.7K-31.3K-29.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.003.710.873.53
Total Volume221.5220366155353
Total OI6,263.2616,1156,4316,1156,431

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$53.37$50.0014.8%4.3%16.4%2.5%14.6%4.6%1.6%1.2M-23.7M-31.3K0.87107.54N/AN/A83725,679436
2016-08-02$52.36$50.0028.1%8.1%16.6%23.5%25.3%9.5%-9.7%1.0M-20.6M-40.2K0.65107.26N/AN/A124815,687437
2016-08-03$52.25$50.0023.0%6.6%16.5%15.4%21.6%8.4%-0.6%1.2M-19.0M-42.3K0.37111.27N/AN/A218815,707445
2016-08-04$52.16$50.0024.9%5.9%15.2%18.4%19.1%5.1%3.1%1.2M-19.6M-40.8K0.9095.73N/AN/A1111005,725445
2016-08-05$51.21$50.0022.9%6.0%16.5%15.2%19.4%3.9%2.0%1.3M-17.2M-43.5K0.77100.72N/AN/A115885,728450
2016-08-08$50.93$50.0026.9%5.9%16.3%21.5%20.8%5.1%0.6%1.4M-15.9M-42.3K0.7192.07N/AN/A115825,733459
2016-08-09$51.18$50.0023.9%5.7%16.3%16.7%20.1%17.3%3.0%1.5M-16.0M-42.4K0.7694.35N/AN/A109835,732460
2016-08-10$51.54$50.0021.6%6.2%16.4%13.1%24.4%2.3%-1.0%1.3M-16.9M-41.0K1.0696.01N/AN/A78835,742460
2016-08-11$50.88$50.0022.7%6.5%16.5%14.8%25.5%6.0%-1.3%1.3M-15.6M-41.5K1.1195.55N/AN/A75835,743460
2016-08-12$51.23$50.0020.8%6.0%16.4%11.9%18.5%5.5%0.1%1.5M-16.1M-40.2K1.11102.76N/AN/A75835,749460
2016-08-15$50.74$50.0021.1%6.1%16.5%12.4%17.3%5.1%-1.2%1.4M-16.0M-38.1K1.04100.87N/AN/A81845,749460
2016-08-16$50.35$50.0020.0%5.7%16.6%10.6%18.5%1.5%0.2%1.6M-13.2M-38.6K0.95101.95N/AN/A88845,759461
2016-08-17$50.81$50.0020.4%5.9%16.9%11.3%20.1%32.8%1.9%1.8M-14.3M-37.1K0.82104.54N/AN/A17145,740461
2016-08-18$51.13$50.0021.0%6.0%16.9%12.2%0.0%26.6%-0.9%1.6M-16.0M-38.0K0.00103.55N/AN/A105,754475
2016-08-19$50.50$50.0018.3%5.3%17.0%8.0%16.6%2.9%2.7%1.8M-15.2M-36.8K3.36101.91N/AN/A842825,770475
2016-08-22$50.94$50.0020.2%5.8%17.3%11.0%17.5%30.7%5.2%1.8M-14.4M-35.3K3.70103.62N/AN/A732705,750647
2016-08-23$51.17$50.0019.6%5.6%17.4%9.9%17.3%3.8%0.6%1.7M-15.8M-34.2K3.71103.31N/AN/A732715,750648
2016-08-24$50.83$50.0020.0%5.7%17.2%10.7%0.0%32.3%0.1%1.8M-14.2M-34.5K0.00102.39N/AN/A005,734649
2016-08-25$50.92$50.0018.7%5.4%15.4%8.6%22.9%5.4%0.6%1.8M-14.3M-33.4K3.71103.35N/AN/A732715,750649
2016-08-26$50.30$50.0020.6%5.9%14.6%11.5%19.9%3.5%-1.1%1.8M-13.5M-33.0K3.7192.84N/AN/A732715,750649
2016-08-29$50.37$50.0018.9%5.4%14.5%9.0%21.0%4.2%-0.4%2.0M-14.3M-30.6K3.5498.15N/AN/A742625,750649
2016-08-30$50.04$50.0018.8%5.4%13.3%8.7%23.7%3.6%0.2%2.2M-11.1M-28.7K3.3092.91N/AN/A832745,754654
2016-08-31$50.12$50.0019.5%5.6%13.3%9.9%27.4%55.6%0.3%2.3M-10.9M-29.4K3.5395.31N/AN/A782755,763668