NNN Options History — June 2017

In June 2017, NNN traded between $37.57 and $39.81. ATM implied volatility averaged 18.6%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 2.3% (HV 20d: 20.9%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2017-06-15: Highest Volume — 413 contracts
  • 2017-06-05: Largest IV spike — 57.8% change
  • 2017-06-12: Highest IV Rank — 40.4%
  • 2017-06-09: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.69$37.57$39.81$38.84$39.18
Max Pain$39.09$35.00$40.00$40.00$40.00
ATM IV18.6%14.3%31.6%14.6%18.1%
Expected Move5.1%4.1%5.7%4.2%5.2%
HV 20d20.9%17.3%27.2%27.2%23.9%
HV 60d20.5%19.4%22.7%20.3%22.7%
IV Rank12.0%2.6%40.4%3.2%10.9%
IV Percentile26.0%2.0%91.3%2.0%22.6%
Term Structure1.8%-0.4%10.1%10.1%0.7%
VWIV18.7%12.7%24.4%13.1%18.1%
Skew 25d7.2%-1.6%30.3%19.2%30.3%
Skew 10d10.7%-2.6%41.6%17.2%41.6%
Call IV 25d17.8%10.9%20.7%10.9%17.8%
Put IV 25d25.0%17.9%48.1%30.0%48.1%
Bid-Ask Spread %36.2018.1476.3275.7820.93
Gamma HHI0.510.440.680.470.68
Net GEX51.4K-27.2K175.6K-27.2K170.5K
Net DEX309.2K-1.1M1.0M799.1K-461.5K
Net VEX-10.2K-12.0K-8.4K-8.4K-11.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.163.070.270.42
Total Volume239.18272413401135
Total OI2,149.4551,8132,6581,9272,191

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$38.84$40.0014.6%4.2%27.2%3.2%13.1%19.2%10.1%-27.2K799.1K-8.4K0.2775.78N/AN/A315868761,051
2017-06-02$38.87$40.0014.8%4.3%22.7%3.8%17.0%10.8%1.5%36.3K372.7K-9.2K0.2265.85N/AN/A305671,0891,048
2017-06-05$38.03$40.0023.4%5.2%23.6%22.6%20.3%4.5%1.6%-2.3K882.1K-9.1K0.7021.35N/AN/A1481031,0941,049
2017-06-06$38.19$40.0016.0%5.4%22.8%6.3%20.4%5.6%0.9%3.0K811.7K-9.5K0.5322.56N/AN/A144771,1091,099
2017-06-07$38.11$40.0015.5%5.6%21.3%5.3%23.0%4.7%-0.1%-6.3K894.5K-9.5K0.4818.18N/AN/A164791,1091,138
2017-06-08$37.57$35.0014.6%5.6%21.7%3.3%24.4%4.4%-0.4%-18.4K1.0M-9.5K0.6022.12N/AN/A164991,1291,150
2017-06-09$37.76$35.0022.0%5.7%19.6%19.4%17.5%4.3%-0.4%-8.9K894.7K-9.5K0.7025.92N/AN/A1551081,1291,164
2017-06-12$38.39$35.0031.6%5.5%20.4%40.4%22.5%5.1%-0.2%40767.9K-9.7K0.9240.22N/AN/A1101011,1131,187
2017-06-13$38.72$35.0026.3%5.1%20.6%28.9%18.4%5.7%1.6%28.5K602.6K-9.6K0.8420.54N/AN/A1341131,1231,185
2017-06-14$39.10$40.0018.3%5.3%18.3%11.4%18.6%7.1%4.0%58.7K225.8K-10.3K0.4776.32N/AN/A2391131,1631,210
2017-06-15$39.47$40.0017.9%5.1%17.7%10.5%17.9%6.8%1.2%83.6K110.4K-10.4K1.2126.57N/AN/A1872261,2271,215
2017-06-16$39.21$40.0017.6%5.1%18.0%9.9%17.8%6.2%0.7%38.8K409.5K-11.2K1.0927.92N/AN/A77841,3301,328
2017-06-19$38.93$40.0018.3%5.2%18.2%11.3%18.3%5.4%3.6%33.2K374.3K-11.0K3.0727.54N/AN/A41126914980
2017-06-20$38.62$40.0017.9%5.1%18.4%10.5%18.1%4.4%1.0%51.2K266.6K-10.5K0.6431.56N/AN/A4428922891
2017-06-21$38.13$40.0014.3%4.1%17.4%2.6%12.7%4.2%3.3%34.8K559.9K-10.0K2.0037.59N/AN/A53106932895
2017-06-22$37.61$40.0015.7%4.5%17.3%5.7%15.6%1.6%0.3%11.8K847.9K-9.4K1.3847.85N/AN/A77106942906
2017-06-23$38.14$40.0014.6%4.2%17.3%3.3%16.9%5.6%1.7%28.1K497.9K-9.6K0.1631.02N/AN/A22736964916
2017-06-26$39.76$40.0019.7%5.6%22.9%14.3%19.8%8.9%3.0%119.5K-723.2K-11.6K0.2033.93N/AN/A317631,085918
2017-06-27$39.16$40.0019.1%5.5%23.5%13.1%21.3%6.7%1.7%151.2K-503.4K-11.7K0.5118.14N/AN/A123631,234926
2017-06-28$39.81$40.0019.6%5.6%23.9%14.1%19.6%8.6%1.5%169.2K-1.1M-11.8K0.2045.38N/AN/A133261,241926
2017-06-29$39.49$40.0018.9%5.4%23.7%12.8%19.0%-1.6%1.7%175.6K-792.7K-12.0K0.2159.24N/AN/A132281,261929
2017-06-30$39.18$40.0018.1%5.2%23.9%10.9%18.1%30.3%0.7%170.5K-461.5K-11.4K0.4220.93N/AN/A95401,262929