NNN Options History — May 2017

In May 2017, NNN traded between $36.73 and $42.50. ATM implied volatility averaged 22.7%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.3% (HV 20d: 23.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.14.

Notable Days

  • 2017-05-04: Highest Volume — 699 contracts
  • 2017-05-16: Largest IV spike — 53.0% change
  • 2017-05-02: Highest IV Rank — 38.0%
  • 2017-05-02: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.76$36.73$42.50$42.26$38.34
Max Pain$44.77$40.00$45.00$45.00$40.00
ATM IV22.7%13.3%30.5%21.5%17.2%
Expected Move6.3%3.8%8.7%6.2%4.9%
HV 20d23.0%15.2%27.1%15.2%26.8%
HV 60d18.5%15.0%20.1%15.0%20.1%
IV Rank20.9%0.3%38.0%18.4%9.0%
IV Percentile51.9%0.4%89.7%49.6%13.1%
Term Structure-1.3%-15.9%7.8%-2.7%-0.7%
VWIV24.1%17.8%28.5%24.1%19.9%
Skew 25d6.3%-0.5%19.8%3.4%5.4%
Skew 10d10.0%0.4%31.4%5.0%8.2%
Call IV 25d22.3%12.6%26.3%22.1%20.2%
Put IV 25d28.7%25.3%42.8%25.5%25.7%
Bid-Ask Spread %58.9015.17104.7993.6162.94
Gamma HHI0.580.390.770.550.44
Net GEX3.8K-55.5K144.7K36.2K-19.5K
Net DEX729.9K-702.0K1.5M94.6K858.3K
Net VEX-5.2K-7.9K-3.5K-4.0K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.232.691.060.55
Total Volume216.364133699144245
Total OI1,666.2271,0992,1621,0991,891

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$42.26$45.0021.5%6.2%15.2%18.4%24.1%3.4%-2.7%36.2K94.6K-4.0K1.0693.61N/AN/A7074709390
2017-05-02$42.50$45.0030.5%8.7%15.4%38.0%26.4%-0.5%-15.9%53.9K-117.3K-5.1K0.88102.86N/AN/A8474720407
2017-05-03$41.82$45.0025.0%7.2%16.3%26.0%23.7%8.3%-7.5%32.7K93.7K-4.1K0.80104.79N/AN/A7560730402
2017-05-04$40.01$45.0025.8%6.7%22.0%27.7%23.7%3.1%-1.8%-2.7K408.1K-3.5K0.2380.10N/AN/A567132727402
2017-05-05$40.24$45.0024.0%6.4%22.0%23.8%22.0%2.2%-0.0%144.7K-702.0K-5.4K1.3185.81N/AN/A70921,186456
2017-05-08$39.46$45.0026.1%6.8%22.5%28.4%24.3%3.1%-2.8%129.9K-107.3K-5.1K1.2930.22N/AN/A891151,182498
2017-05-09$38.52$45.0030.4%6.5%23.1%37.8%23.5%2.5%-1.0%73.4K479.4K-4.5K1.4348.67N/AN/A741061,179548
2017-05-10$38.70$45.0022.8%6.5%22.2%21.2%26.4%3.5%-1.6%84.9K451.2K-4.7K1.3315.17N/AN/A57761,179577
2017-05-11$37.67$45.0019.1%5.5%23.2%13.1%25.8%5.2%-1.6%7081.1M-3.5K1.3921.24N/AN/A64891,169581
2017-05-12$37.73$45.0022.1%6.3%23.2%19.6%28.1%6.8%-0.8%6.4K1.1M-3.6K0.9352.36N/AN/A76711,178607
2017-05-15$37.65$45.0019.1%5.5%22.8%13.1%28.2%5.5%-1.2%-22.6K1.1M-3.8K1.0042.37N/AN/A69691,185628
2017-05-16$36.73$45.0029.3%8.4%22.0%35.3%28.5%6.1%-3.1%-30.5K1.3M-3.7K2.6935.20N/AN/A832231,198644
2017-05-17$37.37$45.0025.8%7.4%24.2%27.7%21.3%6.0%3.6%-48.3K1.4M-4.3K2.6947.18N/AN/A862311,210787
2017-05-18$37.47$45.0028.3%8.1%23.9%33.3%24.7%3.9%-2.0%-54.7K1.5M-6.1K0.8145.02N/AN/A94761,220942
2017-05-19$37.75$45.0022.6%6.5%24.5%20.8%26.7%4.9%-2.4%-50.5K1.2M-6.1K0.9364.93N/AN/A83771,230878
2017-05-22$38.00$45.0018.8%5.4%24.6%12.4%21.4%3.4%-1.1%-50.9K962.8K-5.7K1.1944.04N/AN/A6274686853
2017-05-23$37.24$45.0024.8%7.1%25.0%25.7%26.4%6.7%4.9%-54.3K1.1M-5.9K1.6460.02N/AN/A101166688853
2017-05-24$37.84$45.0013.3%3.8%26.2%0.3%24.2%14.7%7.8%-55.5K1.2M-7.1K0.9063.19N/AN/A10090733962
2017-05-25$38.34$45.0019.2%5.5%27.1%13.2%20.0%14.6%-2.1%-31.0K878.7K-6.7K0.6161.25N/AN/A12174753971
2017-05-26$38.42$45.0016.7%4.8%26.8%7.9%22.7%10.7%3.6%-41.0K956.7K-7.4K0.7368.04N/AN/A12490789960
2017-05-30$38.69$45.0016.2%4.7%27.1%6.8%17.8%19.8%0.7%-18.2K814.1K-6.9K0.7866.66N/AN/A172135796973
2017-05-31$38.34$40.0017.2%4.9%26.8%9.0%19.9%5.4%-0.7%-19.5K858.3K-7.9K0.5562.94N/AN/A158878691,022