NNN Options History — December 2017

In December 2017, NNN traded between $41.49 and $43.61. ATM implied volatility averaged 15.8%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.4% (HV 20d: 13.5%). 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 16 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2017-12-15: Highest Volume — 477 contracts
  • 2017-12-14: Largest IV drop — 68.6% change
  • 2017-12-13: Highest IV Rank — 31.8%
  • 2017-12-13: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.42$41.49$43.61$41.77$43.16
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV15.8%8.0%25.6%23.5%10.3%
Expected Move4.2%2.3%7.3%6.8%3.0%
HV 20d13.5%11.9%15.7%12.9%13.8%
HV 60d13.3%13.0%14.0%13.7%13.4%
IV Rank15.2%0.0%31.8%27.6%6.3%
IV Percentile32.4%0.0%92.5%85.3%2.4%
Term Structure2.1%-10.6%8.3%-7.8%7.6%
VWIV15.6%6.2%28.4%24.8%10.1%
Skew 25d4.4%-6.3%9.5%3.4%2.6%
Skew 10d3.4%-16.9%11.1%9.1%3.9%
Call IV 25d11.5%8.0%27.3%17.8%9.7%
Put IV 25d15.9%8.8%34.9%21.2%12.2%
Bid-Ask Spread %61.2622.30102.4866.8123.14
Gamma HHI0.710.520.880.700.88
Net GEX128.1K40.3K231.0K50.4K231.0K
Net DEX-1.6M-2.4M-1.1M-1.1M-1.9M
Net VEX-6.8K-10.1K-4.3K-5.6K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.271.860.520.80
Total Volume273.65120477120258
Total OI2,247.41,2883,1442,7021,731

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$41.77$40.0023.5%6.8%12.9%27.6%24.8%3.4%-7.8%50.4K-1.1M-5.6K0.5266.81N/AN/A79411,6391,063
2017-12-04$41.93$40.0023.5%5.3%12.5%27.5%18.1%9.5%1.3%48.0K-1.4M-5.3K0.7463.94N/AN/A127941,6721,063
2017-12-05$41.60$40.0018.1%5.2%12.6%16.3%17.8%8.1%1.3%42.7K-1.3M-5.4K0.7026.22N/AN/A132931,7221,035
2017-12-06$41.49$40.0019.0%5.0%11.9%18.3%15.6%7.1%1.7%40.3K-1.3M-5.3K0.9768.13N/AN/A1031001,7221,035
2017-12-07$41.61$40.0022.9%5.0%12.0%26.4%17.3%8.5%1.1%43.5K-1.3M-5.4K0.7268.81N/AN/A132951,7231,046
2017-12-08$42.11$40.0017.6%5.0%12.4%15.4%14.4%9.1%1.7%54.1K-1.7M-4.7K1.7531.95N/AN/A53931,7101,052
2017-12-11$41.87$40.0022.4%5.0%12.5%25.2%15.1%7.4%0.7%50.5K-1.6M-4.3K1.8622.30N/AN/A50931,7111,052
2017-12-12$42.18$40.0022.8%5.1%12.4%26.1%17.8%9.4%0.7%58.5K-1.8M-4.3K0.9674.42N/AN/A99951,7101,052
2017-12-13$42.56$40.0025.6%7.3%12.8%31.8%28.4%7.5%-10.6%69.2K-1.8M-4.8K0.56102.48N/AN/A170951,7601,052
2017-12-14$42.99$40.008.0%2.3%12.8%0.0%6.2%1.9%8.3%159.9K-2.1M-6.0K0.2860.58N/AN/A344961,8681,052
2017-12-15$43.26$40.0010.3%2.9%13.0%6.1%12.3%-2.9%2.4%155.6K-2.4M-7.1K0.2730.77N/AN/A3761012,0921,052
2017-12-18$43.61$40.009.1%2.6%13.1%2.8%10.7%-0.3%4.2%205.2K-1.7M-8.3K0.2968.26N/AN/A306881,071217
2017-12-19$42.95$40.0011.7%3.3%14.3%9.9%18.1%-3.9%-0.9%215.7K-1.6M-9.4K0.4791.24N/AN/A171811,312222
2017-12-20$42.43$40.0012.5%3.6%14.8%12.1%16.0%-6.3%2.4%190.8K-1.3M-8.4K0.3584.64N/AN/A233811,323223
2017-12-21$41.96$40.0013.5%3.9%15.3%14.8%12.2%6.4%7.1%156.9K-1.1M-7.4K0.3854.37N/AN/A239901,323225
2017-12-22$42.35$40.0014.1%4.0%15.7%16.5%12.7%8.0%7.6%171.4K-1.2M-7.5K0.4998.70N/AN/A182901,319235
2017-12-26$42.57$40.0010.1%2.9%15.7%5.6%14.7%8.1%5.9%193.7K-1.4M-8.1K0.6289.95N/AN/A1991241,323235
2017-12-27$42.80$40.0011.4%3.3%14.6%9.1%16.8%1.1%-0.0%197.5K-1.5M-8.9K0.4950.28N/AN/A2551241,350270
2017-12-28$43.13$40.0010.0%2.9%14.1%5.4%12.6%2.6%7.3%227.4K-1.8M-9.8K0.7448.21N/AN/A1671241,416270
2017-12-29$43.16$40.0010.3%3.0%13.8%6.3%10.1%2.6%7.6%231.0K-1.9M-10.1K0.8023.14N/AN/A1431151,461270