NNN Options History — April 2017

In April 2017, NNN traded between $42.31 and $45.53. ATM implied volatility averaged 17.8%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 5.8% (HV 20d: 12.0%). 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 12 of 19 days. Put/call ratio averaged 1.01.

Notable Days

2017-04-11: Highest Volume — 181 contracts
2017-04-28: Largest IV spike — 98.5% change
2017-04-28: Highest IV Rank — 36.6%
2017-04-28: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.28	$42.31	$45.53	$43.71	$42.31
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	17.8%	14.0%	29.8%	16.0%	29.8%
Expected Move	5.2%	4.0%	8.5%	4.6%	8.5%
HV 20d	12.0%	8.8%	16.2%	16.2%	15.3%
HV 60d	18.3%	15.7%	19.4%	19.4%	15.7%
IV Rank	10.2%	1.9%	36.6%	6.2%	36.6%
IV Percentile	16.5%	0.8%	88.1%	4.8%	88.1%
Term Structure	-0.2%	-21.1%	3.0%	2.1%	-21.1%
VWIV	19.6%	15.5%	25.0%	18.7%	21.1%
Skew 25d	9.8%	-4.2%	50.5%	8.4%	-4.2%
Skew 10d	14.3%	-4.7%	64.1%	8.4%	4.3%
Call IV 25d	18.0%	15.7%	26.6%	17.1%	26.6%
Put IV 25d	27.8%	14.8%	70.0%	25.6%	22.5%
Bid-Ask Spread %	97.88	76.67	106.24	97.40	93.87
Gamma HHI	0.75	0.62	0.83	0.62	0.62
Net GEX	107.2K	56.1K	161.2K	68.5K	56.1K
Net DEX	-1.1M	-1.8M	-159.8K	-878.1K	-159.8K
Net VEX	-6.0K	-6.7K	-4.7K	-6.7K	-4.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.72	1.71	0.93	1.00
Total Volume	150.158	109	181	145	138
Total OI	1,583.105	1,076	1,822	1,696	1,088

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
2017-04-03	$43.71	$45.00	16.0%	4.6%	16.2%	6.2%	18.7%	8.4%	2.1%	68.5K	-878.1K	-6.7K	0.93	97.40	N/A	N/A	75	70	806	890
2017-04-04	$43.71	$45.00	17.2%	4.9%	16.2%	8.8%	18.8%	-1.9%	-0.1%	69.6K	-865.1K	-6.7K	0.93	102.16	N/A	N/A	75	70	806	890
2017-04-05	$43.81	$45.00	17.3%	5.0%	13.7%	9.2%	17.3%	50.5%	1.1%	85.5K	-836.1K	-6.4K	0.96	106.24	N/A	N/A	73	70	806	890
2017-04-06	$44.04	$45.00	17.9%	5.3%	12.0%	10.5%	20.8%	5.2%	0.4%	88.3K	-966.5K	-6.6K	0.83	103.05	N/A	N/A	84	70	808	890
2017-04-07	$44.13	$45.00	15.6%	4.9%	11.9%	5.5%	20.8%	3.6%	3.0%	91.0K	-1.0M	-6.5K	1.02	105.86	N/A	N/A	86	88	809	890
2017-04-10	$44.27	$45.00	16.3%	5.7%	11.9%	7.0%	25.0%	6.0%	-0.1%	93.8K	-1.0M	-6.4K	0.97	99.76	N/A	N/A	91	88	812	910
2017-04-11	$44.92	$45.00	17.1%	5.6%	12.6%	8.8%	23.1%	5.0%	-0.3%	125.4K	-1.4M	-6.2K	0.95	101.75	N/A	N/A	93	88	827	910
2017-04-12	$44.72	$45.00	19.4%	5.6%	10.0%	13.8%	24.5%	7.2%	-0.3%	136.0K	-1.4M	-6.0K	0.86	98.82	N/A	N/A	90	77	837	910
2017-04-13	$44.76	$45.00	18.8%	5.4%	9.9%	12.4%	23.5%	8.7%	1.0%	137.3K	-1.5M	-6.2K	0.78	101.46	N/A	N/A	79	62	838	908
2017-04-17	$45.00	$45.00	19.4%	5.6%	9.2%	13.7%	19.4%	29.8%	-0.2%	156.6K	-1.5M	-5.5K	0.78	98.28	N/A	N/A	79	62	842	903
2017-04-18	$45.53	$45.00	17.8%	5.1%	9.2%	10.2%	17.8%	32.9%	2.0%	159.2K	-1.8M	-6.1K	1.29	106.13	N/A	N/A	79	102	866	929
2017-04-19	$45.12	$45.00	16.7%	4.8%	9.6%	7.8%	17.0%	7.3%	2.6%	136.1K	-1.6M	-6.3K	0.85	92.28	N/A	N/A	80	68	866	946
2017-04-20	$45.41	$45.00	17.5%	5.0%	8.8%	9.5%	17.5%	1.8%	1.9%	161.2K	-1.6M	-6.3K	0.72	101.10	N/A	N/A	89	64	876	945
2017-04-21	$45.30	$45.00	19.8%	5.7%	8.9%	14.6%	20.1%	8.4%	-1.2%	106.2K	-1.8M	-6.0K	0.76	105.57	N/A	N/A	86	65	876	946
2017-04-24	$44.27	$45.00	17.8%	5.1%	12.5%	10.2%	18.5%	6.3%	0.4%	92.9K	-908.3K	-6.0K	1.71	91.19	N/A	N/A	45	77	817	382
2017-04-25	$43.99	$45.00	14.0%	4.0%	12.4%	1.9%	15.5%	-1.2%	1.8%	111.9K	-845.6K	-5.3K	1.33	76.67	N/A	N/A	58	77	836	369
2017-04-26	$43.25	$45.00	14.2%	4.1%	13.9%	2.4%	16.1%	7.5%	1.3%	82.7K	-332.0K	-4.9K	1.52	87.64	N/A	N/A	58	88	707	369
2017-04-27	$43.12	$45.00	15.0%	4.3%	13.9%	4.1%	17.4%	5.8%	1.1%	77.8K	-390.5K	-4.9K	1.02	90.40	N/A	N/A	54	55	709	370
2017-04-28	$42.31	$45.00	29.8%	8.5%	15.3%	36.6%	21.1%	-4.2%	-21.1%	56.1K	-159.8K	-4.7K	1.00	93.87	N/A	N/A	69	69	710	378