NNN Options History — September 2016

In September 2016, NNN traded between $47.95 and $52.05. ATM implied volatility averaged 22.0%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 1.6% (HV 20d: 23.6%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 7.18.

Notable Days

  • 2016-09-12: Highest Volume — 1,279 contracts
  • 2016-09-13: Largest IV spike — 58.9% change
  • 2016-09-13: Highest IV Rank — 47.5%
  • 2016-09-14: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.34$47.95$52.05$49.93$51.00
Max Pain$50.48$50.00$60.00$50.00$50.00
ATM IV22.0%16.8%43.3%23.7%20.4%
Expected Move5.7%4.8%7.0%6.8%5.9%
HV 20d23.6%13.3%27.9%13.3%27.9%
HV 60d19.5%16.1%21.2%16.1%19.7%
IV Rank13.8%5.6%47.5%16.5%11.3%
IV Percentile43.3%6.3%98.0%66.7%37.3%
Term Structure3.0%-4.7%12.6%-4.7%4.4%
VWIV22.3%15.5%29.7%25.8%20.0%
Skew 25d3.4%-16.6%13.4%2.5%3.9%
Skew 10d7.0%-19.0%41.7%4.0%4.0%
Call IV 25d22.4%13.9%42.0%21.9%18.8%
Put IV 25d25.8%20.1%43.0%24.4%22.8%
Bid-Ask Spread %104.7491.07120.53103.14105.98
Gamma HHI0.620.350.890.860.47
Net GEX882.2K28.2K2.7M1.9M71.6K
Net DEX-4.8M-18.6M2.4M-11.7M-28.5K
Net VEX-21.2K-28.9K-15.9K-28.9K-19.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.181.3616.283.533.03
Total Volume645.193081,279353314
Total OI5,124.3332,7617,6216,4323,337

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$49.93$50.0023.7%6.8%13.3%16.5%25.8%2.5%-4.7%1.9M-11.7M-28.9K3.53103.14N/AN/A782755,763669
2016-09-02$50.77$50.0021.3%6.1%13.5%12.7%29.7%-3.3%-2.3%1.8M-14.8M-28.7K3.4091.07N/AN/A812755,763669
2016-09-06$51.22$50.0019.7%5.8%13.7%10.1%20.2%8.8%-0.6%2.2M-16.3M-22.6K3.2496.67N/AN/A852755,759670
2016-09-07$51.97$50.0022.5%5.0%14.6%14.5%17.3%4.7%5.1%1.5M-18.6M-22.2K3.37108.96N/AN/A832805,764670
2016-09-08$51.23$50.0023.2%5.7%15.3%15.7%19.9%2.5%0.4%1.9M-18.0M-22.0K3.54106.17N/AN/A792805,767669
2016-09-09$48.72$50.0024.3%4.9%23.1%17.5%27.7%7.0%0.9%2.1M-6.0M-20.2K15.41103.61N/AN/A691,0635,773667
2016-09-12$49.57$50.0027.3%5.8%23.9%22.1%20.4%5.6%0.3%2.7M-6.5M-20.9K6.1999.44N/AN/A1781,1015,7711,248
2016-09-13$47.95$50.0043.3%5.7%26.3%47.5%22.5%-1.6%-1.1%1.3M-3.8M-20.1K4.32112.59N/AN/A1928305,8821,284
2016-09-14$48.30$50.0024.4%7.0%26.5%17.7%24.3%6.2%0.5%1.1M-2.8M-21.3K1.68105.32N/AN/A2363975,8921,687
2016-09-15$48.48$50.0020.8%6.0%26.3%11.9%23.3%4.9%-0.2%1.2M-2.2M-18.4K1.76117.63N/AN/A2263975,9301,689
2016-09-16$48.59$50.0021.1%6.0%26.1%12.4%21.8%-2.7%0.8%28.2K2.4M-15.9K1.36102.47N/AN/A2263075,9291,692
2016-09-19$49.22$60.0020.7%5.9%26.4%11.7%22.1%4.2%1.1%53.6K587.0K-16.2K2.9497.08N/AN/A942761,5911,170
2016-09-20$49.65$50.0021.2%6.1%26.4%12.6%23.6%6.8%1.4%100.9K-54.6K-17.5K9.4393.93N/AN/A797451,6381,170
2016-09-21$50.49$50.0021.6%6.2%27.1%13.1%25.3%12.1%4.8%41.8K715.5K-20.8K14.90120.53N/AN/A507451,6461,638
2016-09-22$51.38$50.0016.8%4.8%27.8%5.6%19.8%0.9%8.8%72.4K79.8K-22.7K15.85108.94N/AN/A477451,6491,638
2016-09-23$51.58$50.0017.9%5.1%27.8%7.4%21.2%13.4%8.3%86.2K-386.6K-22.9K16.28102.23N/AN/A467491,6551,638
2016-09-26$51.89$50.0018.8%5.4%27.4%8.8%21.0%10.6%5.7%112.9K-663.1K-21.3K16.28112.93N/AN/A467491,6601,634
2016-09-27$51.74$50.0017.8%5.1%27.5%7.1%26.8%-16.6%12.6%79.6K-1.3M-21.5K11.52109.28N/AN/A617031,6601,634
2016-09-28$52.05$50.0017.1%4.9%27.3%6.1%15.5%-0.4%10.2%123.7K-1.3M-20.7K9.2595.51N/AN/A767031,6871,634
2016-09-29$51.50$50.0018.8%5.4%27.7%8.7%19.7%1.3%6.1%100.3K-547.2K-20.9K3.46106.12N/AN/A692391,6911,634
2016-09-30$51.00$50.0020.4%5.9%27.9%11.3%20.0%3.9%4.4%71.6K-28.5K-19.4K3.03105.98N/AN/A782361,7031,634