NNN Options History — July 2017

In July 2017, NNN traded between $37.86 and $40.73. ATM implied volatility averaged 19.7%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 3.7% (HV 20d: 23.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2017-07-17: Highest Volume — 359 contracts
  • 2017-07-12: Largest IV spike — 28.1% change
  • 2017-07-05: Highest IV Rank — 23.2%
  • 2017-07-05: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.44$37.86$40.73$39.80$40.05
Max Pain$39.50$35.00$40.00$40.00$40.00
ATM IV19.7%16.7%23.7%21.1%20.0%
Expected Move5.8%5.1%6.8%6.0%5.7%
HV 20d23.4%18.4%25.5%23.0%18.8%
HV 60d23.4%21.6%23.8%22.9%21.6%
IV Rank14.4%7.8%23.2%17.4%15.1%
IV Percentile37.8%11.9%65.5%47.6%44.8%
Term Structure-0.7%-2.6%0.7%-0.2%-1.5%
VWIV22.7%18.0%36.8%21.6%20.0%
Skew 25d9.0%-3.4%33.0%2.6%27.0%
Skew 10d17.4%-1.7%56.8%4.0%43.6%
Call IV 25d19.3%15.7%25.5%20.6%18.9%
Put IV 25d28.3%18.0%51.1%23.1%45.9%
Bid-Ask Spread %37.1211.77108.8896.0223.48
Gamma HHI0.690.480.900.670.68
Net GEX257.4K38.9K905.0K184.6K191.6K
Net DEX-760.2K-2.8M867.1K-1.1M-1.3M
Net VEX-10.5K-11.9K-8.0K-11.9K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.331.700.630.55
Total Volume169.8105359124160
Total OI2,326.62,0202,7762,2002,179

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$39.80$40.0021.1%6.0%23.0%17.4%21.6%2.6%-0.2%184.6K-1.1M-11.9K0.6396.02N/AN/A76481,264936
2017-07-05$38.87$40.0023.7%6.8%24.8%23.2%36.8%-3.4%-2.6%136.7K-591.5K-11.2K0.46108.88N/AN/A80371,279944
2017-07-06$38.26$40.0018.3%6.0%25.4%11.3%26.2%4.9%0.3%107.9K279.2K-10.4K0.8828.14N/AN/A56491,291951
2017-07-07$38.43$40.0017.8%6.0%24.9%10.2%25.8%6.3%0.7%112.4K348.6K-10.6K0.6624.05N/AN/A67441,276969
2017-07-10$37.91$35.0021.8%5.2%25.4%19.0%25.1%5.4%-0.2%70.6K510.5K-9.7K0.6924.35N/AN/A67461,289987
2017-07-11$37.86$35.0016.7%6.3%24.6%7.8%27.3%5.3%-0.8%38.9K867.1K-9.3K1.7021.32N/AN/A46781,289995
2017-07-12$38.28$40.0021.4%6.1%24.8%18.1%27.2%6.6%-0.1%95.1K512.1K-9.9K0.7825.95N/AN/A90701,2871,026
2017-07-13$38.62$40.0019.9%5.7%24.7%14.8%27.3%8.6%0.1%130.5K371.3K-10.6K1.5123.25N/AN/A47711,3301,025
2017-07-14$39.36$40.0019.7%5.7%25.5%14.4%21.5%4.5%0.4%255.9K-341.8K-11.1K0.4747.94N/AN/A129601,3391,045
2017-07-17$39.59$40.0020.8%6.0%25.4%16.7%21.1%6.8%-1.4%357.3K-902.8K-10.9K0.3322.84N/AN/A269901,4001,052
2017-07-18$39.65$40.0021.4%6.1%25.3%18.2%22.1%6.7%-1.7%542.5K-800.7K-10.7K0.5321.69N/AN/A173911,5381,036
2017-07-19$40.13$40.0020.6%5.9%25.3%16.3%20.7%9.9%-1.4%633.8K-2.3M-11.2K0.4911.77N/AN/A2371161,6541,038
2017-07-20$40.36$40.0018.5%5.3%24.8%11.7%18.5%2.0%0.4%560.6K-2.8M-11.3K0.3620.09N/AN/A176641,7151,055
2017-07-21$39.85$40.0018.6%5.3%24.7%11.9%18.6%23.8%0.6%905.0K-1.3M-10.3K0.5715.29N/AN/A67381,7181,058
2017-07-24$40.25$40.0020.0%5.7%24.5%15.0%20.2%10.3%-1.5%132.9K-958.3K-10.4K0.6343.01N/AN/A98621,107913
2017-07-25$40.15$40.0017.8%5.1%19.7%10.3%18.3%7.0%-0.9%157.1K-912.6K-10.8K1.4615.00N/AN/A56821,160953
2017-07-26$40.63$40.0018.0%5.2%19.2%10.6%18.0%33.0%-1.5%199.4K-1.4M-8.0K1.56103.14N/AN/A54841,173981
2017-07-27$40.73$40.0018.6%5.3%18.4%12.1%18.6%2.7%-0.5%164.5K-1.9M-10.2K1.4845.40N/AN/A61901,178981
2017-07-28$40.11$40.0019.4%5.6%19.1%13.7%20.0%10.8%-2.6%171.7K-1.4M-10.8K0.9920.78N/AN/A84831,193928
2017-07-31$40.05$40.0020.0%5.7%18.8%15.1%20.0%27.0%-1.5%191.6K-1.3M-10.8K0.5523.48N/AN/A103571,239940