NNN Options History — February 2017

In February 2017, NNN traded between $42.17 and $46.07. ATM implied volatility averaged 20.3%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 4.9% (HV 20d: 25.2%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.69.

Notable Days

2017-02-28: Highest Volume — 238 contracts
2017-02-02: Largest IV drop — 48.7% change
2017-02-01: Highest IV Rank — 45.6%
2017-02-01: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.33	$42.17	$46.07	$42.17	$45.25
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	20.3%	16.8%	34.4%	34.4%	20.9%
Expected Move	5.7%	4.8%	9.9%	9.9%	6.0%
HV 20d	25.2%	21.5%	27.3%	27.3%	22.1%
HV 60d	23.9%	22.8%	26.5%	26.1%	23.1%
IV Rank	14.1%	6.4%	45.6%	45.6%	15.6%
IV Percentile	29.5%	4.4%	96.4%	96.4%	43.7%
Term Structure	0.5%	-12.3%	4.0%	-12.3%	3.0%
VWIV	20.1%	17.0%	28.0%	28.0%	21.2%
Skew 25d	9.1%	1.9%	20.8%	3.5%	5.0%
Skew 10d	17.1%	3.7%	63.0%	8.9%	9.5%
Call IV 25d	19.5%	17.3%	28.5%	28.5%	20.6%
Put IV 25d	28.5%	21.7%	38.3%	32.0%	25.6%
Bid-Ask Spread %	100.36	76.66	119.36	108.42	113.48
Gamma HHI	0.76	0.58	0.89	0.75	0.63
Net GEX	134.7K	67.6K	331.3K	67.6K	96.3K
Net DEX	-924.0K	-1.6M	-200.1K	-200.1K	-1.4M
Net VEX	-6.4K	-7.0K	-4.9K	-6.1K	-6.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.37	1.48	0.53	0.63
Total Volume	196.632	169	238	183	238
Total OI	1,440.684	1,235	1,608	1,360	1,349

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$42.17	$45.00	34.4%	9.9%	27.3%	45.6%	28.0%	3.5%	-12.3%	67.6K	-200.1K	-6.1K	0.53	108.42	N/A	N/A	120	63	934	426
2017-02-02	$43.12	$45.00	17.6%	5.6%	27.0%	8.1%	21.8%	3.6%	-1.0%	78.4K	-279.7K	-6.4K	0.44	97.30	N/A	N/A	144	64	943	450
2017-02-03	$42.98	$45.00	22.4%	5.0%	26.3%	18.9%	19.0%	3.2%	2.4%	102.4K	-552.9K	-6.7K	0.48	104.30	N/A	N/A	137	66	980	450
2017-02-06	$43.46	$45.00	23.4%	6.0%	26.8%	20.9%	20.9%	1.9%	0.2%	105.2K	-473.9K	-6.5K	0.49	97.74	N/A	N/A	122	60	1,021	456
2017-02-07	$43.46	$45.00	23.0%	5.8%	26.3%	20.1%	21.0%	5.3%	1.1%	120.0K	-592.2K	-6.9K	0.37	93.92	N/A	N/A	137	51	1,047	462
2017-02-08	$44.15	$45.00	19.3%	5.5%	26.9%	12.0%	19.7%	6.2%	2.2%	163.3K	-950.3K	-6.9K	0.42	96.11	N/A	N/A	119	50	1,067	463
2017-02-09	$44.05	$45.00	18.5%	5.3%	26.9%	10.1%	18.8%	4.4%	2.5%	156.6K	-925.4K	-6.7K	0.63	94.61	N/A	N/A	104	66	1,067	467
2017-02-10	$44.55	$45.00	19.3%	5.5%	27.0%	11.8%	20.9%	7.9%	1.5%	211.7K	-1.1M	-7.0K	0.53	76.66	N/A	N/A	133	70	1,063	474
2017-02-13	$44.45	$45.00	19.5%	5.6%	27.0%	12.4%	20.4%	4.7%	-1.0%	221.3K	-1.4M	-5.9K	0.49	102.62	N/A	N/A	136	66	1,090	475
2017-02-14	$44.37	$45.00	18.8%	5.4%	25.3%	10.8%	20.6%	6.0%	0.9%	212.8K	-1.1M	-6.4K	0.66	99.79	N/A	N/A	124	82	1,094	476
2017-02-15	$44.09	$45.00	20.4%	5.9%	24.9%	14.4%	21.4%	15.7%	0.6%	178.2K	-836.3K	-6.2K	0.79	101.11	N/A	N/A	96	76	1,102	496
2017-02-16	$44.52	$45.00	17.4%	5.0%	24.4%	7.6%	17.9%	17.0%	3.6%	331.3K	-892.9K	-6.3K	0.75	99.17	N/A	N/A	101	76	1,110	498
2017-02-17	$44.56	$45.00	18.6%	5.3%	24.3%	10.3%	18.7%	17.5%	2.0%	69.7K	-720.8K	-6.4K	0.67	96.20	N/A	N/A	116	78	1,111	471
2017-02-21	$44.88	$45.00	16.8%	4.8%	23.9%	6.4%	17.0%	18.7%	4.0%	83.1K	-941.2K	-6.2K	1.29	101.50	N/A	N/A	91	117	794	441
2017-02-22	$44.84	$45.00	18.5%	5.3%	23.7%	10.2%	18.7%	5.5%	1.7%	78.7K	-1.0M	-6.2K	1.48	99.20	N/A	N/A	83	123	815	444
2017-02-23	$45.39	$45.00	18.3%	5.3%	23.7%	9.7%	18.4%	17.1%	2.0%	85.8K	-1.1M	-6.2K	1.14	99.96	N/A	N/A	101	115	817	439
2017-02-24	$45.89	$45.00	17.8%	5.1%	23.7%	8.6%	17.4%	20.8%	-4.2%	110.7K	-1.6M	-4.9K	0.69	119.36	N/A	N/A	107	74	841	444
2017-02-27	$46.07	$45.00	20.1%	5.8%	21.5%	13.7%	20.4%	8.8%	0.5%	86.5K	-1.5M	-6.3K	0.58	105.39	N/A	N/A	146	84	845	451
2017-02-28	$45.25	$45.00	20.9%	6.0%	22.1%	15.6%	21.2%	5.0%	3.0%	96.3K	-1.4M	-6.9K	0.63	113.48	N/A	N/A	146	92	898	451