NNN Options History — October 2016

In October 2016, NNN traded between $44.76 and $50.38. ATM implied volatility averaged 29.6%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 7.0% (HV 20d: 22.7%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2016-10-05: Highest Volume — 658 contracts
  • 2016-10-05: Largest IV spike — 70.0% change
  • 2016-10-25: Highest IV Rank — 61.4%
  • 2016-10-05: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.07$44.76$50.38$50.38$45.53
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV29.6%21.3%39.5%21.3%29.5%
Expected Move8.3%6.1%10.9%6.1%8.5%
HV 20d22.7%18.4%30.1%27.7%22.2%
HV 60d21.4%19.8%21.9%19.8%21.8%
IV Rank39.8%12.8%61.4%12.8%47.3%
IV Percentile85.9%47.6%97.6%47.6%91.3%
Term Structure-3.6%-16.1%9.6%1.7%-5.0%
VWIV27.4%22.5%32.3%22.5%29.3%
Skew 25d6.8%1.5%14.1%3.1%5.4%
Skew 10d13.6%-9.8%37.7%5.7%7.9%
Call IV 25d24.8%21.3%28.7%21.6%24.1%
Put IV 25d31.6%24.6%39.4%24.6%29.4%
Bid-Ask Spread %100.4087.36114.58108.34101.21
Gamma HHI0.550.380.750.430.70
Net GEX-94.1K-157.1K39.3K39.3K-151.3K
Net DEX2.8M521.7K3.7M521.7K3.4M
Net VEX-14.3K-19.6K-9.3K-19.6K-9.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.292.712.710.44
Total Volume401.381206658323255
Total OI3,610.0483,3623,8013,3623,514

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$50.38$50.0021.3%6.1%27.7%12.8%22.5%3.1%1.7%39.3K521.7K-19.6K2.71108.34N/AN/A872361,7261,636
2016-10-04$48.82$50.0022.5%6.4%29.5%14.5%27.4%5.3%-0.5%-51.5K2.1M-16.9K2.17105.91N/AN/A1092371,7461,636
2016-10-05$47.48$50.0038.2%10.9%30.1%39.4%32.3%8.0%-13.3%-62.9K2.3M-18.2K0.69114.58N/AN/A3902681,7701,637
2016-10-06$46.83$50.0035.5%8.4%30.1%35.1%28.4%5.3%-0.6%-69.1K3.1M-18.3K1.21102.83N/AN/A1982401,8901,685
2016-10-07$47.02$50.0039.5%8.7%24.9%41.5%26.4%9.0%-2.3%-69.5K3.1M-17.5K0.7797.03N/AN/A3112411,8971,696
2016-10-10$47.25$50.0028.5%8.3%24.0%24.1%27.9%7.6%-2.5%-82.1K2.8M-16.0K0.7787.85N/AN/A3112412,0071,696
2016-10-11$46.45$50.0027.7%8.3%21.8%22.7%27.5%7.7%-1.7%-82.2K3.2M-15.4K0.6687.36N/AN/A3032002,0071,696
2016-10-12$47.02$50.0028.9%8.3%22.1%39.6%25.9%8.1%-0.1%-70.5K3.2M-14.3K0.58102.20N/AN/A3181832,0021,722
2016-10-13$47.43$50.0028.5%8.2%22.4%44.2%23.5%6.2%-0.0%-82.0K2.7M-15.5K0.6097.66N/AN/A3271971,9821,722
2016-10-14$47.22$50.0031.0%8.9%22.4%51.7%25.4%14.1%-6.7%-109.4K3.0M-14.0K0.57104.11N/AN/A3301891,9921,725
2016-10-17$47.39$50.0028.6%8.2%21.8%44.7%25.0%4.9%-2.1%-96.3K2.7M-15.4K0.5992.46N/AN/A3191892,0151,725
2016-10-18$47.31$50.0030.4%8.7%21.4%50.0%28.4%7.3%-5.6%-113.6K2.9M-13.8K0.8087.43N/AN/A2061642,0151,725
2016-10-19$47.49$50.0032.0%9.2%20.4%54.4%25.7%7.5%-9.4%-106.6K2.9M-13.0K0.67107.21N/AN/A2451632,0201,727
2016-10-20$47.36$50.0032.3%9.2%18.9%55.3%28.0%1.5%-9.4%-93.7K2.7M-14.3K0.59109.05N/AN/A2451442,0731,728
2016-10-21$47.16$50.0028.3%8.1%18.6%43.8%29.5%2.8%-2.2%-99.2K3.1M-13.3K0.9094.84N/AN/A2402162,0731,728
2016-10-24$47.20$50.0021.6%6.2%18.4%24.2%30.0%7.5%9.6%-129.7K2.5M-12.3K0.3098.89N/AN/A185551,9621,541
2016-10-25$47.13$50.0034.4%9.9%18.4%61.4%28.4%2.0%-16.1%-109.8K2.2M-13.6K0.29109.55N/AN/A188551,9601,558
2016-10-26$46.31$50.0027.7%7.9%18.5%42.0%27.6%9.8%-3.3%-140.5K3.2M-10.7K0.3395.95N/AN/A155511,9651,558
2016-10-27$44.76$50.0028.0%8.0%21.0%42.9%27.9%7.8%-3.3%-157.1K3.7M-9.4K0.38103.05N/AN/A160601,9781,558
2016-10-28$44.97$50.0028.1%8.1%21.3%43.1%27.9%11.6%-3.2%-137.7K3.5M-9.8K0.36100.93N/AN/A160581,9761,542
2016-10-31$45.53$50.0029.5%8.5%22.2%47.3%29.3%5.4%-5.0%-151.3K3.4M-9.3K0.44101.21N/AN/A177781,9761,538