NNN Options History — October 2017

In October 2017, NNN traded between $40.11 and $42.75. ATM implied volatility averaged 20.6%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 7.6% (HV 20d: 12.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2017-10-27: Highest Volume — 669 contracts
  • 2017-10-16: Largest IV spike — 60.9% change
  • 2017-10-16: Highest IV Rank — 24.3%
  • 2017-10-16: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.64$40.11$42.75$41.91$40.17
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV20.6%14.7%23.7%21.9%21.5%
Expected Move6.0%4.2%6.8%6.3%6.2%
HV 20d12.9%11.1%14.3%14.1%12.2%
HV 60d15.2%14.4%16.1%16.1%14.5%
IV Rank17.5%4.9%24.3%20.4%19.4%
IV Percentile55.6%5.2%75.0%64.7%64.3%
Term Structure-0.5%-3.1%7.0%0.7%-1.7%
VWIV21.2%16.9%27.8%20.7%21.4%
Skew 25d6.9%2.2%28.8%7.8%2.2%
Skew 10d11.1%2.8%45.5%10.1%3.3%
Call IV 25d17.1%9.3%21.6%14.1%19.3%
Put IV 25d24.0%21.1%49.5%21.9%21.5%
Bid-Ask Spread %66.8011.23101.1117.5234.36
Gamma HHI0.540.410.750.470.53
Net GEX85.3K-162.8K180.5K151.2K-162.8K
Net DEX-1.4M-2.6M771.9K-1.9M697.5K
Net VEX-10.9K-13.6K-9.0K-13.6K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.153.610.470.36
Total Volume200.727105669154214
Total OI2,845.6362,5513,0672,8033,063

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$41.91$40.0021.9%6.3%14.1%20.4%20.7%7.8%0.7%151.2K-1.9M-13.6K0.4717.52N/AN/A105491,7351,068
2017-10-03$41.94$40.0019.3%5.5%14.1%14.7%18.1%8.8%7.0%154.9K-1.9M-13.0K0.4216.79N/AN/A101421,7421,075
2017-10-04$41.90$40.0019.3%5.5%14.1%14.7%19.4%9.1%6.5%154.7K-1.9M-12.6K0.4617.60N/AN/A92421,7421,084
2017-10-05$42.20$40.0018.7%6.4%14.3%13.4%25.1%13.3%-1.8%149.4K-1.9M-12.6K0.5921.95N/AN/A70411,7411,084
2017-10-06$41.64$40.0020.5%6.2%13.6%17.3%24.5%12.1%-2.0%128.1K-1.5M-11.8K0.7717.43N/AN/A70541,7361,084
2017-10-09$41.91$40.0020.5%6.5%13.1%17.3%27.8%5.3%-2.2%146.3K-1.9M-12.0K0.7734.98N/AN/A70541,7371,085
2017-10-10$41.90$40.0020.1%6.6%12.5%16.6%24.3%6.1%-2.7%143.3K-1.9M-11.5K0.6211.23N/AN/A92571,7371,085
2017-10-11$42.16$40.0018.8%5.4%12.8%13.7%17.3%4.2%3.7%158.2K-2.1M-11.5K0.1562.25N/AN/A192291,7311,082
2017-10-12$42.22$40.0021.8%6.3%12.6%20.2%17.3%4.7%-1.6%166.1K-2.2M-11.5K0.1794.00N/AN/A182311,8311,085
2017-10-13$42.60$40.0014.7%4.2%12.5%4.9%18.9%4.7%0.5%180.5K-2.6M-11.4K0.4195.06N/AN/A76311,8291,085
2017-10-16$42.47$40.0023.7%6.8%12.5%24.3%23.0%3.2%-3.1%137.3K-2.1M-10.2K0.2296.05N/AN/A134291,8231,085
2017-10-17$42.75$40.0015.5%4.5%12.7%6.6%16.9%7.4%0.6%163.1K-2.2M-10.3K0.3093.39N/AN/A104311,8221,085
2017-10-18$42.40$40.0023.5%6.7%13.0%23.8%22.8%2.7%-2.7%157.3K-2.5M-10.7K0.2391.31N/AN/A123281,8411,082
2017-10-19$42.02$40.0021.7%6.2%12.9%19.9%20.5%6.1%-1.4%99.8K-1.8M-9.6K0.36100.33N/AN/A118431,8381,087
2017-10-20$41.71$40.0022.1%6.3%13.1%20.9%21.1%5.5%-2.0%58.0K-1.6M-9.3K0.4694.65N/AN/A72331,8381,099
2017-10-23$41.60$40.0022.4%6.4%13.1%21.4%21.4%5.8%-2.0%55.1K-681.5K-9.1K0.2895.16N/AN/A120331,5091,042
2017-10-24$41.17$40.0022.4%6.4%13.4%21.5%22.1%4.3%-2.5%48.0K-597.7K-9.7K0.5895.54N/AN/A118691,5651,052
2017-10-25$40.76$40.0022.1%6.3%11.1%20.8%22.2%3.0%-1.8%55.6K-525.8K-10.0K0.5594.71N/AN/A100551,5671,082
2017-10-26$40.11$40.0020.5%5.9%12.1%17.4%20.5%2.7%-1.7%19.1K-77.7K-9.0K3.6194.40N/AN/A1304691,5691,082
2017-10-27$40.44$40.0020.2%5.8%12.5%16.6%20.1%28.8%-0.7%-145.5K771.9K-10.6K2.3189.88N/AN/A2024671,5691,498
2017-10-30$40.21$40.0021.6%6.2%12.3%19.7%21.6%3.3%-1.2%-141.7K646.0K-10.4K0.53101.11N/AN/A160841,5151,513
2017-10-31$40.17$40.0021.5%6.2%12.2%19.4%21.4%2.2%-1.7%-162.8K697.5K-10.1K0.3634.36N/AN/A157571,5171,546