NNN Options History — November 2017

In November 2017, NNN traded between $40.25 and $42.68. ATM implied volatility averaged 17.9%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.0% (HV 20d: 13.9%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2017-11-09: Highest Volume — 263 contracts
  • 2017-11-15: Largest IV spike — 101.3% change
  • 2017-11-01: Highest IV Rank — 34.2%
  • 2017-11-01: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.89$40.25$42.68$40.25$41.12
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV17.9%10.1%28.3%28.3%18.5%
Expected Move5.2%2.9%8.1%8.1%5.3%
HV 20d13.9%11.3%15.0%12.3%13.8%
HV 60d14.0%12.8%15.1%14.5%13.4%
IV Rank14.3%0.0%34.2%34.2%17.2%
IV Percentile38.7%0.0%91.3%91.3%39.7%
Term Structure0.0%-12.0%7.9%-12.0%-0.1%
VWIV16.0%10.5%29.2%29.2%19.5%
Skew 25d7.0%1.2%10.5%1.2%4.3%
Skew 10d13.4%0.6%21.9%0.6%6.8%
Call IV 25d13.1%9.6%24.0%24.0%14.8%
Put IV 25d20.2%18.0%25.2%25.2%19.1%
Bid-Ask Spread %49.5218.09104.42104.4235.29
Gamma HHI0.670.460.870.530.75
Net GEX57.3K-171.1K162.0K-88.4K46.1K
Net DEX-1.2M-1.8M296.6K296.6K-1.0M
Net VEX-7.8K-10.0K-5.5K-9.4K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.190.960.260.96
Total Volume182.0959026320390
Total OI2,939.2862,5603,1603,0762,682

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$40.25$40.0028.3%8.1%12.3%34.2%29.2%1.2%-12.0%-88.4K296.6K-9.4K0.26104.42N/AN/A161421,5241,552
2017-11-02$41.11$40.0019.3%5.4%14.5%14.8%14.5%7.2%0.1%-80.3K-481.6K-10.0K0.2782.28N/AN/A161431,5151,552
2017-11-03$40.77$40.0019.8%5.5%14.1%15.9%17.8%9.6%-0.0%-171.1K193.9K-9.2K0.2436.90N/AN/A186451,5151,562
2017-11-06$41.13$40.0018.8%5.6%14.2%13.6%14.7%9.6%-1.0%-66.8K-548.5K-9.3K0.2630.84N/AN/A186481,5241,562
2017-11-07$41.60$40.0019.3%5.9%14.9%14.8%13.7%9.6%-1.0%2.8K-1.1M-9.7K0.2737.00N/AN/A169451,5241,561
2017-11-08$41.65$40.0019.9%5.7%14.7%15.9%13.2%7.9%-0.4%-2.1K-1.0M-9.1K0.3118.09N/AN/A162511,5261,562
2017-11-09$41.97$40.0019.7%5.6%15.0%15.5%14.4%7.4%-0.2%41.6K-1.4M-9.0K0.2888.60N/AN/A206571,5211,557
2017-11-10$42.15$40.0020.0%5.7%14.7%16.2%10.8%10.5%-0.1%70.7K-1.6M-9.5K0.2441.75N/AN/A211501,5871,557
2017-11-13$42.51$40.0012.9%3.7%15.0%0.9%16.6%2.4%1.3%98.1K-1.5M-7.1K0.1967.24N/AN/A211401,5961,557
2017-11-14$42.57$40.0010.1%2.9%14.8%0.0%12.0%8.4%7.0%135.0K-1.6M-8.1K0.2967.65N/AN/A137401,5961,560
2017-11-15$42.19$40.0020.3%5.8%14.9%21.0%10.5%9.9%-0.3%139.1K-1.8M-8.2K0.3023.78N/AN/A132401,5981,559
2017-11-16$42.27$40.0020.3%5.8%14.5%20.9%12.9%5.8%-3.1%96.4K-1.4M-7.0K0.3124.81N/AN/A134411,6011,559
2017-11-17$42.53$40.0010.9%3.1%14.4%1.7%11.2%9.5%7.9%140.9K-1.6M-6.9K0.2333.73N/AN/A178411,6011,554
2017-11-20$42.40$40.0020.8%6.0%14.4%22.0%12.8%6.1%-9.1%129.6K-1.5M-6.8K0.4369.85N/AN/A108461,5161,044
2017-11-21$42.65$40.0015.6%4.5%13.8%11.3%17.9%1.9%-2.6%161.2K-1.6M-7.3K0.2750.05N/AN/A169461,5181,056
2017-11-22$42.56$40.0014.3%4.1%13.2%8.6%19.2%8.5%4.9%152.8K-1.6M-7.1K0.7854.98N/AN/A59461,6201,056
2017-11-24$42.68$40.0011.7%3.4%11.3%3.3%18.9%8.3%6.0%162.0K-1.7M-6.6K0.7883.52N/AN/A59461,6381,056
2017-11-27$42.43$40.0017.8%5.1%11.6%15.7%20.1%10.3%2.6%100.3K-1.6M-6.1K0.7620.83N/AN/A58441,6381,053
2017-11-28$41.77$40.0021.3%6.1%13.0%23.0%20.2%3.8%-4.2%53.1K-1.2M-5.6K0.8022.37N/AN/A59471,6391,047
2017-11-29$41.36$40.0016.9%4.8%13.6%13.9%15.6%5.9%4.4%83.1K-1.2M-5.7K0.5145.85N/AN/A86441,6371,043
2017-11-30$41.12$40.0018.5%5.3%13.8%17.2%19.5%4.3%-0.1%46.1K-1.0M-5.5K0.9635.29N/AN/A46441,6381,044