NNN Options History — November 2016

In November 2016, NNN traded between $40.99 and $44.56. ATM implied volatility averaged 26.8%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 0.9% (HV 20d: 25.9%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2016-11-17: Highest Volume — 364 contracts
  • 2016-11-15: Largest IV spike — 24.5% change
  • 2016-11-15: Highest IV Rank — 59.5%
  • 2016-11-15: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.53$40.99$44.56$44.56$42.74
Max Pain$46.19$45.00$50.00$50.00$45.00
ATM IV26.8%21.5%34.0%28.2%24.1%
Expected Move7.6%6.4%9.7%8.1%6.9%
HV 20d25.9%19.7%30.0%20.9%27.4%
HV 60d24.6%22.2%25.9%22.2%25.8%
IV Rank38.5%24.0%59.5%43.5%30.0%
IV Percentile77.7%44.4%97.2%84.9%66.7%
Term Structure-1.0%-7.8%8.1%-3.7%-3.3%
VWIV25.2%21.3%33.6%28.2%22.8%
Skew 25d6.5%1.7%15.1%10.9%5.2%
Skew 10d13.7%2.7%29.6%21.8%29.6%
Call IV 25d24.8%19.7%29.2%26.2%26.7%
Put IV 25d31.3%26.8%39.5%37.1%31.9%
Bid-Ask Spread %95.8683.52105.5099.95102.66
Gamma HHI0.740.570.900.650.70
Net GEX-133.6K-227.4K-81.6K-144.2K-142.9K
Net DEX4.3M2.9M5.5M3.7M3.1M
Net VEX-5.4K-9.0K-3.5K-9.0K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.171.400.440.96
Total Volume266.857149364255157
Total OI3,442.4292,9263,7733,4953,132

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$44.56$50.0028.2%8.1%20.9%43.5%28.2%10.9%-3.7%-144.2K3.7M-9.0K0.4499.95N/AN/A177781,9571,538
2016-11-02$43.66$50.0023.5%6.7%19.9%29.6%23.7%8.6%-7.8%-227.4K4.5M-6.7K0.38105.50N/AN/A205781,9571,538
2016-11-03$43.23$50.0021.5%6.7%19.7%24.0%23.4%7.5%-1.3%-153.1K4.4M-6.9K0.2087.25N/AN/A245482,0321,538
2016-11-04$43.65$50.0024.5%6.8%20.1%32.6%23.9%7.6%-1.4%-145.6K4.4M-7.1K0.2086.28N/AN/A244482,0321,542
2016-11-07$44.14$50.0023.8%6.6%20.6%29.2%22.5%7.4%-0.6%-161.7K4.2M-6.9K0.1788.36N/AN/A309532,0281,542
2016-11-08$44.45$45.0026.0%6.4%20.3%35.6%21.3%2.1%-0.1%-157.6K3.8M-7.8K0.2183.52N/AN/A255532,1131,561
2016-11-09$42.26$45.0026.0%7.4%25.8%35.6%22.7%9.8%6.2%-158.4K4.8M-5.6K0.3185.26N/AN/A236732,1121,561
2016-11-10$41.02$45.0026.2%7.5%26.6%36.3%26.4%1.7%-1.1%-81.6K5.1M-3.8K0.4292.90N/AN/A225952,1131,556
2016-11-11$40.99$45.0029.9%8.6%26.7%47.4%28.8%8.8%-5.2%-97.8K5.2M-3.8K0.3397.78N/AN/A225752,1151,588
2016-11-14$41.71$45.0027.3%7.8%27.9%39.6%22.4%15.1%8.1%-97.7K5.0M-5.1K0.3896.84N/AN/A230882,0951,612
2016-11-15$42.15$45.0034.0%9.7%28.5%59.5%33.6%10.0%-7.8%-123.2K5.0M-4.9K0.3996.75N/AN/A231892,0921,612
2016-11-16$42.34$45.0032.4%9.3%28.5%54.9%30.4%8.1%-7.3%-133.4K5.1M-4.8K0.3795.13N/AN/A239892,1031,617
2016-11-17$41.44$45.0030.0%8.6%29.0%47.6%29.5%5.6%-3.7%-125.5K5.1M-4.6K0.5694.09N/AN/A2331312,1131,617
2016-11-18$41.36$45.0028.1%8.1%29.1%42.1%27.4%2.2%-2.9%-94.5K5.5M-3.5K0.3599.54N/AN/A251872,1141,659
2016-11-21$41.67$45.0027.7%7.9%29.4%40.7%24.9%5.4%1.9%-122.5K3.6M-4.1K1.0199.13N/AN/A86871,7871,139
2016-11-22$42.13$45.0027.4%7.9%30.0%40.0%23.9%2.4%0.6%-117.5K3.7M-3.8K0.61100.44N/AN/A142871,7891,157
2016-11-23$42.01$45.0023.7%6.8%29.6%28.9%21.6%5.1%5.0%-89.7K3.7M-4.0K1.40100.26N/AN/A62871,8751,157
2016-11-25$42.45$45.0026.0%7.5%28.0%35.9%22.0%5.1%4.3%-135.8K3.4M-4.7K1.1598.17N/AN/A71821,8751,157
2016-11-28$42.24$45.0026.7%7.7%27.9%37.9%22.9%2.8%4.0%-143.8K3.4M-4.8K0.7599.95N/AN/A109821,8961,158
2016-11-29$42.97$45.0026.4%7.6%28.3%37.1%25.8%5.1%-4.6%-151.6K2.9M-6.0K1.02103.36N/AN/A80821,9541,158
2016-11-30$42.74$45.0024.1%6.9%27.4%30.0%22.8%5.2%-3.3%-142.9K3.1M-5.5K0.96102.66N/AN/A80771,9741,158