NNN Options History — March 2017

In March 2017, NNN traded between $42.26 and $44.95. ATM implied volatility averaged 21.8%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.3% (HV 20d: 16.6%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.22.

Notable Days

  • 2017-03-08: Highest Volume — 720 contracts
  • 2017-03-15: Largest IV drop — 68.6% change
  • 2017-03-13: Highest IV Rank — 69.1%
  • 2017-03-09: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.68$42.26$44.95$44.95$43.69
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV21.8%13.1%44.9%21.1%16.0%
Expected Move5.1%3.8%6.8%6.1%4.6%
HV 20d16.6%13.2%20.6%20.6%16.2%
HV 60d21.4%19.7%22.6%22.3%19.7%
IV Rank18.4%0.0%69.1%16.0%6.4%
IV Percentile33.5%0.0%99.2%45.6%4.8%
Term Structure2.1%-4.1%10.5%-1.8%1.7%
VWIV19.3%15.3%24.5%21.3%16.0%
Skew 25d8.7%-5.5%41.4%13.4%-1.7%
Skew 10d12.9%-6.9%55.4%21.0%-5.2%
Call IV 25d18.4%11.9%24.1%20.8%17.3%
Put IV 25d27.0%14.5%62.6%34.3%15.6%
Bid-Ask Spread %99.6290.07121.1994.17106.85
Gamma HHI0.550.410.700.620.59
Net GEX37.2K-62.6K95.2K95.2K62.4K
Net DEX-524.8K-1.1M603.3K-1.1M-869.8K
Net VEX-6.7K-7.4K-5.7K-6.7K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.485.150.781.15
Total Volume226.522142720228161
Total OI1,671.1741,3581,9971,3581,676

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$44.95$45.0021.1%6.1%20.6%16.0%21.3%13.4%-1.8%95.2K-1.1M-6.7K0.7894.17N/AN/A128100898460
2017-03-02$44.62$45.0020.5%5.9%15.2%14.7%20.7%15.7%-1.0%82.9K-925.5K-6.6K0.7590.07N/AN/A12896899489
2017-03-03$44.36$45.0023.4%6.7%13.7%21.1%24.4%10.2%-4.1%67.9K-656.2K-6.6K0.5891.54N/AN/A12874899488
2017-03-06$44.20$45.0023.8%5.5%13.7%22.0%19.1%4.1%1.2%71.5K-605.5K-6.4K0.5693.38N/AN/A12369899484
2017-03-07$44.11$45.0018.9%5.3%13.2%10.9%24.5%4.8%1.8%86.8K-582.8K-6.1K4.9890.51N/AN/A114568905481
2017-03-08$43.09$45.0024.5%4.7%15.8%23.4%22.3%2.1%-0.1%7.0K-127.5K-7.3K5.1593.69N/AN/A117603918973
2017-03-09$42.35$45.0040.3%6.8%15.6%58.9%22.6%6.5%4.3%-38.5K458.7K-7.3K1.6499.64N/AN/A77126919961
2017-03-10$42.26$45.0033.2%6.8%15.6%42.9%18.9%2.9%0.7%-54.5K603.3K-7.4K0.8994.64N/AN/A8374919992
2017-03-13$42.37$45.0044.9%6.0%14.9%69.1%21.6%4.0%6.6%-48.1K593.2K-7.4K1.1198.49N/AN/A8594926992
2017-03-14$42.66$45.0042.9%4.9%15.3%64.7%19.6%2.9%1.8%-62.6K450.6K-7.0K1.0196.96N/AN/A93949291,023
2017-03-15$43.69$45.0013.5%3.9%17.9%0.0%16.1%13.3%10.5%62.5K-532.7K-5.7K0.95121.19N/AN/A99949231,023
2017-03-16$43.87$45.0016.1%4.6%17.8%5.8%15.9%5.1%2.8%63.8K-553.3K-5.7K0.61101.97N/AN/A132819341,023
2017-03-17$44.40$45.0017.8%5.1%18.0%9.4%17.8%29.8%2.1%39.6K-374.8K-6.0K0.65101.34N/AN/A117769731,024
2017-03-20$43.98$45.0013.1%3.8%18.3%0.0%15.3%3.9%4.3%26.2K-729.0K-6.2K0.48100.12N/AN/A12761597853
2017-03-21$44.35$45.0015.9%4.6%18.4%6.1%15.9%34.1%4.8%57.3K-932.2K-6.8K0.5799.83N/AN/A11666688852
2017-03-22$43.90$45.0015.6%4.5%18.7%5.4%19.3%2.9%1.9%44.7K-914.3K-7.3K0.61100.08N/AN/A10866747852
2017-03-23$43.91$45.0015.8%4.5%18.0%5.9%20.2%3.5%3.2%53.5K-954.1K-7.1K0.6597.73N/AN/A10166763853
2017-03-24$43.86$45.0018.0%5.2%17.4%10.7%20.6%3.0%0.4%48.7K-990.3K-7.0K0.6395.85N/AN/A10466764853
2017-03-27$43.55$45.0016.3%4.7%17.3%7.0%21.5%5.3%2.1%63.2K-927.1K-6.9K0.95105.81N/AN/A7369770853
2017-03-28$43.46$45.0017.7%5.1%16.4%10.1%17.0%-5.5%0.1%11.4K-761.0K-6.6K1.11104.43N/AN/A7482781855
2017-03-29$43.54$45.0015.8%4.5%16.3%5.8%16.1%-2.2%2.5%45.6K-826.8K-6.8K1.08107.73N/AN/A7379792862
2017-03-30$43.53$45.0016.7%4.8%16.2%7.9%16.7%41.4%2.2%68.4K-814.5K-6.5K1.20105.33N/AN/A6679792880
2017-03-31$43.69$45.0016.0%4.6%16.2%6.4%16.0%-1.7%1.7%62.4K-869.8K-6.6K1.15106.85N/AN/A7586796880