NNN Options History — February 2018

In February 2018, NNN traded between $36.66 and $38.75. ATM implied volatility averaged 22.4%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 3.4% (HV 20d: 25.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 2.07.

Notable Days

  • 2018-02-26: Highest Volume — 637 contracts
  • 2018-02-05: Largest IV spike — 72.1% change
  • 2018-02-05: Highest IV Rank — 85.9%
  • 2018-02-08: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.77$36.66$38.75$38.48$37.32
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV22.4%13.8%39.7%19.4%28.7%
Expected Move6.3%3.9%9.1%6.5%8.2%
HV 20d25.8%23.9%28.9%24.8%27.9%
HV 60d19.6%18.0%22.2%18.1%22.1%
IV Rank39.1%15.5%85.9%30.8%56.0%
IV Percentile64.5%8.3%98.8%58.7%95.6%
Term Structure-0.1%-8.5%7.5%-2.8%2.3%
VWIV21.0%14.5%29.1%22.8%16.0%
Skew 25d5.3%-8.2%13.6%5.0%13.6%
Skew 10d7.1%-10.3%17.8%8.8%9.7%
Call IV 25d21.1%15.0%25.6%20.4%15.0%
Put IV 25d26.4%15.1%31.9%25.4%28.5%
Bid-Ask Spread %74.1520.92108.7020.92102.54
Gamma HHI0.410.340.530.500.40
Net GEX-24.5K-113.8K66.7K-99.7K37.8K
Net DEX1.2M28.3K2.1M2.0M363.3K
Net VEX-7.2K-11.0K-5.1K-8.9K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.070.386.473.761.74
Total Volume27289637214458
Total OI2,287.1051,7992,6312,5372,442

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$38.48$40.0019.4%6.5%24.8%30.8%22.8%5.0%-2.8%-99.7K2.0M-8.9K3.7620.92N/AN/A451691,4111,126
2018-02-02$38.59$40.0023.1%6.4%24.2%40.8%22.4%6.0%-2.2%-113.8K2.1M-9.6K6.4758.75N/AN/A452911,4161,210
2018-02-05$38.03$40.0039.7%9.0%24.4%85.9%29.1%6.7%-8.5%-53.5K937.6K-11.0K5.76108.70N/AN/A452591,4161,215
2018-02-06$38.00$40.0027.1%6.7%24.0%51.5%23.1%5.0%-1.9%-76.6K2.0M-7.4K4.1590.12N/AN/A542241,4161,048
2018-02-07$37.52$40.0019.0%5.4%23.9%29.7%20.6%4.9%-3.1%-45.5K1.7M-7.3K0.9383.97N/AN/A54501,413960
2018-02-08$36.66$40.0031.6%9.1%24.3%63.9%19.8%6.0%-4.0%-41.3K2.0M-6.7K3.1896.72N/AN/A501591,413978
2018-02-09$37.27$40.0026.9%7.7%25.4%51.2%26.7%8.5%7.5%-30.6K1.6M-6.7K1.02100.69N/AN/A44451,413874
2018-02-12$37.53$40.0018.8%5.4%25.5%29.2%19.2%8.6%-0.4%-36.8K1.6M-6.5K1.6473.79N/AN/A671101,417882
2018-02-13$37.58$40.0019.3%5.5%25.5%30.5%23.8%5.2%-0.5%-38.8K1.2M-6.6K0.76101.56N/AN/A68521,384874
2018-02-14$37.12$40.0026.6%7.6%24.9%50.3%25.2%2.5%0.2%-42.1K1.7M-5.4K0.90105.10N/AN/A68611,385857
2018-02-15$38.16$40.0017.9%5.1%26.4%26.8%18.0%6.9%0.6%-60.0K1.5M-5.4K1.2528.30N/AN/A68851,385865
2018-02-16$38.37$40.0017.8%5.1%25.6%26.6%17.7%4.7%0.1%-5.5K1.5M-5.1K0.4478.28N/AN/A151671,385824
2018-02-20$37.46$40.0023.9%6.9%26.2%43.1%21.0%1.1%-5.6%-7.5K629.0K-5.2K0.3884.58N/AN/A143541,266557
2018-02-21$37.09$40.0022.9%6.6%25.6%40.2%19.5%3.7%4.4%-7.7K646.2K-5.3K0.9065.36N/AN/A49441,265549
2018-02-22$38.00$40.0018.9%5.4%27.6%29.5%21.1%5.8%1.0%1.8K500.7K-5.3K0.8091.42N/AN/A3522801,266533
2018-02-23$38.25$40.0013.9%4.0%27.4%16.0%14.5%6.1%2.6%45.6K233.0K-8.3K2.8929.93N/AN/A972801,568714
2018-02-26$38.75$40.0013.8%3.9%27.7%15.5%15.3%8.6%2.6%66.7K28.3K-8.2K0.7632.28N/AN/A3622751,581714
2018-02-27$37.45$40.0017.1%4.9%28.9%24.6%22.7%-8.2%4.9%41.3K357.0K-8.3K1.6555.90N/AN/A1672761,718715
2018-02-28$37.32$40.0028.7%8.2%27.9%56.0%16.0%13.6%2.3%37.8K363.3K-8.7K1.74102.54N/AN/A1672911,726716