NNN Options History — December 2016

In December 2016, NNN traded between $41.17 and $44.14. ATM implied volatility averaged 26.2%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.5% (HV 20d: 24.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2016-12-22: Highest Volume — 384 contracts
  • 2016-12-14: Largest IV drop — 62.9% change
  • 2016-12-13: Highest IV Rank — 100.0%
  • 2016-12-01: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.76$41.17$44.14$41.54$44.14
Max Pain$40.48$40.00$45.00$45.00$40.00
ATM IV26.2%15.8%58.8%36.4%25.5%
Expected Move6.4%4.5%10.4%10.4%7.3%
HV 20d24.7%19.5%29.4%28.3%23.1%
HV 60d24.5%23.6%26.2%26.1%24.1%
IV Rank32.2%4.1%100.0%66.5%25.8%
IV Percentile55.9%3.2%100.0%98.0%73.4%
Term Structure1.4%-10.1%9.2%-10.1%-2.2%
VWIV23.0%18.2%35.9%35.9%27.5%
Skew 25d6.6%-3.8%41.0%-0.2%6.2%
Skew 10d13.0%-5.4%54.2%1.2%27.4%
Call IV 25d22.1%17.6%35.3%35.3%24.9%
Put IV 25d28.7%16.8%64.8%35.1%31.1%
Bid-Ask Spread %102.8994.45111.41104.32103.42
Gamma HHI0.590.390.810.580.62
Net GEX-45.8K-237.5K70.8K-91.4K70.8K
Net DEX1.6M-886.5K3.7M3.4M-886.5K
Net VEX-5.3K-6.6K-4.1K-4.8K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.121.291.140.26
Total Volume234.19131384169196
Total OI2,330.8578253,3643,1531,164

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$41.54$45.0036.4%10.4%28.3%66.5%35.9%-0.2%-10.1%-91.4K3.4M-4.8K1.14104.32N/AN/A79901,9741,179
2016-12-02$42.04$45.0033.5%9.6%28.6%57.9%32.6%2.4%-2.0%-135.9K3.2M-5.4K1.14107.91N/AN/A901031,9881,210
2016-12-05$41.87$40.0026.6%7.3%28.3%37.6%26.6%5.9%2.2%-30.9K3.7M-4.2K0.96100.36N/AN/A67641,9991,235
2016-12-06$42.02$40.0032.4%6.4%28.0%54.8%18.9%9.0%9.2%-71.5K3.5M-4.7K0.8097.66N/AN/A92742,0071,241
2016-12-07$43.05$40.0027.7%5.9%29.4%40.7%18.3%2.2%1.2%-170.7K3.0M-5.5K1.2994.45N/AN/A1041342,0281,235
2016-12-08$43.13$40.0029.3%6.5%23.0%45.6%23.2%7.9%0.8%-188.6K2.9M-6.5K1.0896.40N/AN/A1191292,0401,314
2016-12-09$43.26$40.0028.8%5.3%19.9%44.1%23.4%8.4%-0.4%-237.5K2.5M-6.6K1.1396.73N/AN/A1141292,0441,313
2016-12-12$43.65$40.0037.9%6.9%20.0%71.1%23.3%5.5%-3.7%-218.9K2.6M-6.3K1.0695.97N/AN/A1191262,0421,313
2016-12-13$43.40$40.0058.8%7.4%19.5%100.0%25.4%6.7%3.7%-209.8K2.3M-6.3K0.92110.07N/AN/A1301192,0511,303
2016-12-14$42.12$40.0021.8%6.3%22.2%17.5%20.1%4.3%6.2%4.0K3.4M-4.8K0.9198.93N/AN/A1321202,0591,304
2016-12-15$41.17$40.0023.7%6.8%23.5%21.8%22.2%5.9%0.6%-16.9K3.6M-4.4K0.50104.75N/AN/A135672,0591,305
2016-12-16$42.35$40.0022.6%6.5%24.5%19.3%20.8%5.7%6.8%4.2K3.5M-4.4K0.64100.42N/AN/A110702,0531,297
2016-12-19$43.24$40.0019.8%5.7%25.5%13.1%18.2%5.0%3.0%15.6K-338.3K-4.1K0.32111.29N/AN/A13543489336
2016-12-20$43.12$40.0018.9%5.4%25.4%11.0%22.6%3.8%2.4%18.2K-295.2K-4.8K0.24103.94N/AN/A15738551340
2016-12-21$42.89$40.0015.8%4.5%25.3%4.1%20.4%4.0%2.7%32.7K-483.2K-4.9K0.30104.23N/AN/A14544581340
2016-12-22$42.81$40.0017.1%4.9%25.3%7.0%19.8%3.9%2.7%19.9K-291.3K-5.0K0.13102.65N/AN/A34044585354
2016-12-23$42.93$40.0016.1%4.6%25.1%4.8%23.1%7.7%2.7%55.1K-469.7K-6.1K0.13104.51N/AN/A32743787361
2016-12-27$42.96$40.0018.7%5.3%25.0%10.5%21.2%-3.8%0.0%58.5K-477.1K-5.8K0.13111.41N/AN/A31943787364
2016-12-28$42.70$40.0018.5%5.3%24.3%10.0%19.2%6.5%1.9%62.1K-502.9K-5.6K0.12106.45N/AN/A32739791364
2016-12-29$43.58$40.0019.9%5.7%25.3%13.3%20.2%41.0%1.6%68.5K-612.1K-5.9K0.32104.88N/AN/A12339791370
2016-12-30$44.14$40.0025.5%7.3%23.1%25.8%27.5%6.2%-2.2%70.8K-886.5K-6.2K0.26103.42N/AN/A15541794370