NNN Options History — September 2017

In September 2017, NNN traded between $41.33 and $43.18. ATM implied volatility averaged 18.8%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.0% (HV 20d: 15.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2017-09-08: Highest Volume — 498 contracts
  • 2017-09-13: Largest IV drop — 51.3% change
  • 2017-09-12: Highest IV Rank — 30.0%
  • 2017-09-29: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.32$41.33$43.18$41.84$41.66
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV18.8%12.5%26.8%17.3%22.4%
Expected Move5.2%3.6%6.4%5.0%6.4%
HV 20d15.8%12.8%17.5%16.9%14.0%
HV 60d18.5%16.0%19.9%19.8%16.0%
IV Rank13.1%0.0%30.0%9.2%21.5%
IV Percentile37.4%0.0%80.6%17.9%66.7%
Term Structure1.7%-1.6%11.2%4.3%0.1%
VWIV17.8%13.3%22.9%17.8%17.0%
Skew 25d5.5%3.0%8.7%5.5%8.1%
Skew 10d8.6%2.8%30.7%8.8%30.7%
Call IV 25d14.6%10.5%16.7%14.2%14.4%
Put IV 25d20.1%17.5%22.5%19.6%22.5%
Bid-Ask Spread %29.4810.0272.5817.9420.74
Gamma HHI0.450.380.540.400.44
Net GEX181.1K139.8K214.8K168.7K143.7K
Net DEX-3.4M-5.5M-1.5M-3.3M-1.7M
Net VEX-14.2K-15.7K-12.3K-13.6K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.172.761.110.52
Total Volume219.3596498276166
Total OI3,162.152,7003,9003,2422,799

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$41.84$40.0017.3%5.0%16.9%9.2%17.8%5.5%4.3%168.7K-3.3M-13.6K1.1117.94N/AN/A1311451,9391,303
2017-09-05$41.99$40.0015.5%5.4%16.9%5.2%17.9%3.3%2.1%143.5K-3.7M-12.9K2.3162.68N/AN/A29671,9391,314
2017-09-06$41.92$40.0019.0%5.7%17.0%12.8%19.4%3.1%0.4%154.5K-3.6M-12.3K0.2426.42N/AN/A209511,9401,314
2017-09-07$41.87$40.0016.9%5.7%16.9%8.4%17.9%3.0%0.2%171.7K-4.2M-12.6K0.3926.70N/AN/A129502,0741,314
2017-09-08$42.61$40.0017.2%4.6%17.5%8.9%17.2%3.3%1.5%186.0K-4.5M-13.5K0.1716.81N/AN/A427712,1141,318
2017-09-11$43.08$40.0021.9%4.7%16.7%19.1%18.0%4.1%0.9%214.8K-5.3M-15.2K0.2019.84N/AN/A281562,4261,383
2017-09-12$42.57$40.0026.8%3.8%17.0%30.0%17.5%3.2%0.6%189.6K-5.1M-15.7K0.2249.50N/AN/A248552,4411,402
2017-09-13$42.54$40.0013.1%3.7%16.7%0.0%15.1%5.1%3.1%182.0K-5.0M-15.7K0.2029.32N/AN/A292572,4441,407
2017-09-14$42.79$40.0015.2%4.4%15.4%4.7%17.9%3.3%1.7%195.9K-5.3M-15.6K0.1827.91N/AN/A247442,4911,409
2017-09-15$43.18$40.0012.5%3.6%15.6%0.0%13.3%3.2%2.5%200.1K-5.5M-15.3K0.2326.33N/AN/A179422,4661,409
2017-09-18$42.99$40.0015.2%4.3%15.1%5.8%16.3%6.7%3.2%200.0K-2.8M-15.7K0.4554.28N/AN/A71321,764947
2017-09-19$42.85$40.0014.2%4.1%14.9%3.8%16.1%6.2%3.0%200.3K-2.7M-15.2K0.5824.80N/AN/A85491,766948
2017-09-20$42.68$40.0019.2%5.5%14.8%14.5%22.9%7.9%11.2%197.1K-2.5M-15.2K0.6472.58N/AN/A77491,782941
2017-09-21$42.26$40.0021.8%6.3%15.4%20.2%17.2%8.7%-0.1%202.9K-2.5M-14.2K0.6418.99N/AN/A77491,792941
2017-09-22$42.12$40.0021.0%6.0%15.4%18.4%19.3%8.2%0.9%189.1K-2.3M-14.5K0.9434.60N/AN/A77721,792943
2017-09-25$42.24$40.0021.5%6.2%14.8%19.5%19.7%5.9%-1.6%202.8K-2.4M-13.7K0.6522.86N/AN/A86561,792953
2017-09-26$42.32$40.0021.4%6.1%12.8%19.3%17.5%7.7%-0.2%185.4K-2.2M-13.5K0.4614.95N/AN/A121561,770960
2017-09-27$41.33$40.0021.8%6.3%15.6%20.2%19.0%6.9%0.3%154.8K-1.5M-13.1K2.7610.02N/AN/A752071,740960
2017-09-28$41.58$40.0021.6%6.2%15.7%19.7%18.3%7.1%0.3%139.8K-1.6M-13.8K0.5912.31N/AN/A108641,7401,066
2017-09-29$41.66$40.0022.4%6.4%14.0%21.5%17.0%8.1%0.1%143.7K-1.7M-13.5K0.5220.74N/AN/A109571,7341,065