NNN Options History — January 2018

In January 2018, NNN traded between $38.87 and $42.91. ATM implied volatility averaged 18.5%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.8% (HV 20d: 17.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.23.

Notable Days

  • 2018-01-10: Highest Volume — 650 contracts
  • 2018-01-03: Largest IV spike — 52.8% change
  • 2018-01-30: Highest IV Rank — 37.6%
  • 2018-01-30: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.75$38.87$42.91$42.91$39.58
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV18.5%10.1%21.9%10.1%21.7%
Expected Move5.5%2.9%6.3%2.9%6.2%
HV 20d17.7%13.2%23.3%13.2%23.3%
HV 60d15.2%13.3%17.4%13.4%17.3%
IV Rank28.5%5.7%37.6%5.7%37.1%
IV Percentile50.8%2.0%81.3%2.0%79.0%
Term Structure-0.5%-1.8%4.5%4.5%-1.8%
VWIV17.9%10.2%22.0%10.2%21.6%
Skew 25d7.2%-1.0%73.6%0.4%73.6%
Skew 10d10.0%-1.8%103.8%2.4%103.8%
Call IV 25d16.4%11.8%22.5%11.8%22.3%
Put IV 25d23.6%12.2%95.8%12.2%95.8%
Bid-Ask Spread %70.1221.8095.4337.4095.43
Gamma HHI0.550.420.900.900.54
Net GEX27.9K-121.1K220.2K220.2K-121.1K
Net DEX-57.1K-1.9M1.7M-1.9M1.3M
Net VEX-8.7K-10.2K-7.1K-9.5K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.6310.211.501.70
Total Volume241.66798650210189
Total OI2,102.5241,7282,4741,7342,474

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$42.91$40.0010.1%2.9%13.2%5.7%10.2%0.4%4.5%220.2K-1.9M-9.5K1.5037.40N/AN/A841261,463271
2018-01-03$42.56$40.0015.5%4.4%13.6%20.2%12.4%1.7%2.9%199.2K-1.8M-9.3K1.3743.64N/AN/A921261,473273
2018-01-04$41.66$40.0012.3%5.6%15.4%11.6%11.7%7.2%-1.3%147.2K-1.3M-8.3K0.6882.45N/AN/A139941,483273
2018-01-05$41.40$40.0015.1%5.6%15.6%19.2%11.3%7.2%-1.3%140.9K-1.1M-8.0K1.6425.12N/AN/A871431,436292
2018-01-08$41.75$40.0017.4%5.5%15.8%25.4%11.9%6.7%-0.9%144.4K-1.1M-8.4K1.5786.45N/AN/A891401,435331
2018-01-09$41.09$40.0016.7%5.5%16.2%23.4%19.0%10.3%-1.3%118.5K-799.3K-7.2K1.3380.16N/AN/A931241,437332
2018-01-10$40.34$40.0019.5%5.6%17.2%31.1%19.5%2.0%-1.0%96.7K-469.5K-7.1K10.2173.25N/AN/A585921,447352
2018-01-11$40.38$40.0018.9%5.4%16.9%29.5%18.7%1.6%-0.2%-33.6K402.1K-9.6K1.4869.31N/AN/A66981,457851
2018-01-12$39.94$40.0017.3%4.9%16.7%25.0%17.3%0.2%0.3%-73.7K974.9K-9.0K8.2785.77N/AN/A645291,458927
2018-01-16$40.02$40.0018.7%5.4%16.0%29.0%18.7%8.5%-0.8%-30.9K637.9K-8.3K1.2685.70N/AN/A61771,460816
2018-01-17$40.55$40.0019.4%5.6%16.8%30.8%19.4%2.9%-1.1%45.6K-187.0K-7.7K1.1573.50N/AN/A60691,486617
2018-01-18$39.63$40.0019.8%5.7%17.6%31.8%19.8%-0.3%-0.0%26.1K410.3K-7.3K4.5865.18N/AN/A914171,486623
2018-01-19$40.30$40.0019.9%5.7%18.7%32.3%19.9%-0.8%-1.4%-31.5K414.7K-8.6K1.3989.77N/AN/A741031,486852
2018-01-22$40.73$40.0020.3%5.8%19.0%33.4%20.3%10.3%-0.7%-13.2K181.3K-9.3K0.7621.80N/AN/A70531,347824
2018-01-23$41.21$40.0021.1%6.0%19.3%35.4%19.5%4.7%-1.5%4.5K-84.4K-9.9K1.3261.49N/AN/A71941,344842
2018-01-24$40.91$40.0021.0%6.0%19.0%35.2%21.2%-1.0%-1.4%-26.4K223.8K-9.6K0.7378.70N/AN/A59431,358903
2018-01-25$41.35$40.0021.2%6.1%19.4%35.8%20.2%4.9%-1.7%-3.4K-97.0K-10.2K0.9885.26N/AN/A59581,356915
2018-01-26$40.76$40.0020.1%5.8%19.7%32.8%19.8%2.4%-1.0%-41.9K368.3K-9.3K0.6376.82N/AN/A60381,356903
2018-01-29$39.77$40.0021.3%6.1%20.8%35.9%21.3%-0.7%-1.1%-71.3K1.0M-8.5K2.6666.72N/AN/A1002661,360909
2018-01-30$38.87$40.0021.9%6.3%21.8%37.6%22.0%8.7%-0.9%-110.2K1.7M-8.6K1.7088.58N/AN/A811381,3761,069
2018-01-31$39.58$40.0021.7%6.2%23.3%37.1%21.6%73.6%-1.8%-121.1K1.3M-9.7K1.7095.43N/AN/A701191,3781,096