NNN Options History — August 2017

In August 2017, NNN traded between $39.95 and $41.82. ATM implied volatility averaged 17.6%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.4% (HV 20d: 17.3%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.94.

Notable Days

  • 2017-08-16: Highest Volume — 569 contracts
  • 2017-08-25: Largest IV drop — 17.8% change
  • 2017-08-17: Highest IV Rank — 14.9%
  • 2017-08-17: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.81$39.95$41.82$41.03$41.82
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV17.6%14.7%19.9%18.6%17.4%
Expected Move5.1%4.2%5.7%5.3%5.0%
HV 20d17.3%15.9%19.9%19.9%17.0%
HV 60d20.4%19.7%22.1%22.1%20.0%
IV Rank9.9%3.4%14.9%11.9%9.4%
IV Percentile22.6%3.6%48.8%29.0%19.0%
Term Structure1.2%-0.5%6.4%-0.0%4.1%
VWIV17.7%13.4%19.8%18.4%18.0%
Skew 25d6.3%1.6%13.7%4.9%6.3%
Skew 10d12.6%3.9%38.7%38.7%9.4%
Call IV 25d14.2%11.9%16.4%16.4%13.8%
Put IV 25d20.5%15.7%27.4%21.3%20.1%
Bid-Ask Spread %19.589.1945.9035.9519.26
Gamma HHI0.610.410.810.670.41
Net GEX227.9K108.1K389.9K203.0K152.3K
Net DEX-2.5M-4.1M-1.2M-2.3M-3.0M
Net VEX-12.7K-14.2K-10.3K-10.3K-13.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.133.230.131.39
Total Volume248.1387569501215
Total OI2,827.2612,2023,3412,2023,199

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$41.03$40.0018.6%5.3%19.9%11.9%18.4%4.9%-0.0%203.0K-2.3M-10.3K0.1335.95N/AN/A442591,252950
2017-08-02$40.56$40.0018.4%5.3%18.2%11.4%18.4%3.6%0.4%269.7K-2.5M-11.7K0.6515.89N/AN/A3212081,496943
2017-08-03$40.22$40.0017.7%5.3%17.5%9.9%18.3%8.2%-0.3%263.7K-2.0M-12.4K0.7722.47N/AN/A77591,4981,069
2017-08-04$40.47$40.0017.8%5.0%17.5%10.2%17.2%8.2%1.3%278.1K-2.2M-12.5K0.4621.87N/AN/A119551,5171,075
2017-08-07$40.50$40.0015.7%5.1%16.4%5.6%17.5%13.7%0.8%326.4K-2.4M-12.0K0.6717.65N/AN/A69461,5371,087
2017-08-08$40.48$40.0016.4%4.9%16.4%7.1%16.8%7.6%1.0%322.1K-2.4M-12.0K0.7413.94N/AN/A62461,5371,092
2017-08-09$40.76$40.0017.6%5.0%16.2%9.7%17.5%8.8%1.3%322.1K-2.8M-11.7K0.8714.11N/AN/A53461,5331,092
2017-08-10$40.49$40.0018.6%5.3%16.4%12.0%18.6%8.8%-0.2%294.6K-2.5M-11.7K3.1145.90N/AN/A531651,5391,092
2017-08-11$39.95$40.0017.7%5.1%16.1%10.0%17.7%7.8%1.2%321.6K-1.2M-12.6K2.3922.18N/AN/A491171,5391,213
2017-08-14$40.57$40.0016.4%4.7%16.8%7.1%16.3%7.4%1.7%301.7K-2.4M-11.5K1.249.19N/AN/A68841,5291,233
2017-08-15$40.29$40.0017.4%5.0%17.1%9.3%17.5%8.9%0.8%389.9K-2.0M-11.5K0.3810.50N/AN/A162611,5501,237
2017-08-16$41.11$40.0017.2%4.9%18.0%8.9%17.1%5.4%1.9%230.3K-3.4M-11.6K0.1330.97N/AN/A504651,6321,253
2017-08-17$41.12$40.0019.9%5.7%17.9%14.9%19.8%12.5%-0.5%232.3K-4.1M-13.6K0.4130.06N/AN/A2821161,9871,250
2017-08-18$40.71$40.0018.8%5.4%17.7%12.3%18.7%4.2%0.8%108.1K-3.7M-14.0K0.1716.11N/AN/A383661,9921,349
2017-08-21$41.16$40.0019.6%5.6%17.8%14.2%19.4%5.0%0.1%117.2K-2.2M-13.4K0.2310.53N/AN/A252571,5001,203
2017-08-22$40.94$40.0018.6%5.3%17.9%12.0%18.6%4.1%0.3%126.5K-2.0M-13.7K0.659.49N/AN/A104681,5761,205
2017-08-23$41.15$40.0018.2%5.2%17.5%11.1%18.0%3.9%0.6%146.4K-2.4M-13.8K1.4912.49N/AN/A35521,7111,200
2017-08-24$41.08$40.0017.9%5.1%17.5%10.4%17.7%3.7%1.0%147.0K-2.4M-13.4K0.3813.73N/AN/A133511,7131,200
2017-08-25$41.64$40.0014.7%4.2%17.0%3.4%13.4%5.1%6.4%169.6K-3.4M-13.5K0.3015.61N/AN/A142431,8131,201
2017-08-28$40.85$40.0015.8%4.5%18.6%5.9%15.9%1.9%3.1%182.5K-2.7M-14.2K0.8821.39N/AN/A1451281,8661,201
2017-08-29$40.86$40.0018.2%5.2%16.4%11.2%18.2%2.1%0.9%167.5K-2.2M-14.2K0.9227.29N/AN/A1441321,8741,304
2017-08-30$40.98$40.0017.5%5.0%15.9%9.7%17.5%1.6%1.5%169.4K-2.3M-13.9K3.2313.85N/AN/A401291,8751,313
2017-08-31$41.82$40.0017.4%5.0%17.0%9.4%18.0%6.3%4.1%152.3K-3.0M-13.4K1.3919.26N/AN/A901251,8751,324