NNN Options History — January 2017

In January 2017, NNN traded between $42.63 and $46.18. ATM implied volatility averaged 20.5%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 1.8% (HV 20d: 22.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.43.

Notable Days

  • 2017-01-17: Highest Volume — 297 contracts
  • 2017-01-09: Largest IV spike — 45.7% change
  • 2017-01-09: Highest IV Rank — 30.5%
  • 2017-01-04: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.86$42.63$46.18$44.27$43.76
Max Pain$44.00$40.00$45.00$40.00$45.00
ATM IV20.5%15.2%27.6%23.0%23.1%
Expected Move5.9%4.4%6.8%6.6%6.6%
HV 20d22.3%19.7%24.4%22.8%24.0%
HV 60d24.9%24.0%25.7%24.0%25.1%
IV Rank14.6%2.8%30.5%20.1%20.5%
IV Percentile33.1%1.2%81.7%56.3%60.7%
Term Structure0.3%-4.2%5.4%-0.9%-4.2%
VWIV21.4%15.4%27.9%23.0%25.0%
Skew 25d15.6%-2.9%46.7%46.7%-2.9%
Skew 10d25.1%0.5%64.8%63.2%4.2%
Call IV 25d20.4%15.9%25.0%24.0%25.0%
Put IV 25d35.9%20.0%70.7%70.7%22.1%
Bid-Ask Spread %101.3991.85110.1699.7297.92
Gamma HHI0.820.750.960.810.79
Net GEX146.0K63.0K619.4K97.8K88.9K
Net DEX-1.4M-2.2M-186.2K-1.1M-715.5K
Net VEX-6.8K-7.4K-5.7K-6.3K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.270.650.300.43
Total Volume239.5177297177226
Total OI1,359.151,2191,5291,2191,347

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$44.27$40.0023.0%6.6%22.8%20.1%23.0%46.7%-0.9%97.8K-1.1M-6.3K0.3099.72N/AN/A13641851368
2017-01-04$45.36$40.0023.8%6.8%23.9%21.8%23.7%38.0%-1.8%113.4K-1.4M-7.1K0.57106.64N/AN/A12973866406
2017-01-05$46.00$40.0022.0%6.1%24.2%17.9%21.5%4.0%0.7%111.6K-1.8M-6.7K0.4894.86N/AN/A15374858407
2017-01-06$46.00$40.0019.0%6.3%23.1%11.1%22.3%5.3%-0.3%128.1K-2.0M-7.3K0.4398.13N/AN/A16269927402
2017-01-09$45.24$45.0027.6%6.3%24.1%30.5%22.7%3.2%-1.3%114.8K-1.8M-7.3K0.5596.89N/AN/A15988948415
2017-01-10$44.88$45.0018.9%6.2%24.4%11.0%22.1%9.4%-0.0%116.6K-1.6M-7.2K0.5295.95N/AN/A17088946434
2017-01-11$44.83$45.0022.7%6.5%24.3%19.4%23.0%9.4%-1.5%112.4K-1.4M-7.3K0.5091.85N/AN/A16784955433
2017-01-12$45.23$45.0018.7%5.4%24.3%10.5%18.3%28.4%2.4%152.0K-1.4M-7.4K0.55110.16N/AN/A15284959435
2017-01-13$45.06$45.0018.5%5.3%21.3%10.0%18.5%9.0%3.4%152.4K-1.6M-7.3K0.41105.08N/AN/A19580973435
2017-01-17$46.18$45.0017.5%5.0%20.2%7.8%17.1%26.0%5.4%154.1K-2.2M-6.8K0.37106.75N/AN/A217801,009449
2017-01-18$45.46$45.0018.4%5.3%19.7%9.9%18.5%7.0%2.3%177.7K-2.2M-6.6K0.37108.20N/AN/A176651,034449
2017-01-19$44.67$45.0020.8%6.0%19.9%15.3%20.9%0.1%0.4%180.1K-1.8M-6.6K0.44106.92N/AN/A187821,036450
2017-01-20$44.93$45.0021.3%6.1%19.9%16.4%21.2%32.2%-0.3%619.4K-1.2M-6.8K0.65102.94N/AN/A1561021,050479
2017-01-23$45.55$45.0021.1%6.1%20.1%16.0%21.0%32.0%-0.9%102.1K-1.4M-7.1K0.3999.16N/AN/A14757893369
2017-01-24$45.08$45.0015.2%4.4%20.6%2.8%15.4%9.0%4.8%129.6K-1.4M-6.5K0.41105.89N/AN/A14660913385
2017-01-25$44.59$45.0020.5%5.9%21.2%14.5%21.3%5.3%-0.4%100.6K-1.1M-6.6K0.2796.56N/AN/A17948927392
2017-01-26$44.25$45.0020.4%5.8%21.4%14.4%20.3%41.1%1.0%110.1K-1.0M-6.5K0.3498.44N/AN/A17559965402
2017-01-27$43.15$45.0019.1%5.5%23.3%11.5%23.2%5.8%-0.9%94.8K-475.9K-6.2K0.31103.23N/AN/A20663888401
2017-01-30$42.63$45.0018.7%5.4%22.5%10.5%27.9%2.2%-2.7%63.0K-186.2K-5.7K0.35102.61N/AN/A18966920407
2017-01-31$43.76$45.0023.1%6.6%24.0%20.5%25.0%-2.9%-4.2%88.9K-715.5K-6.4K0.4397.92N/AN/A15868916431