NNN Options History — March 2018

In March 2018, NNN traded between $37.40 and $39.28. ATM implied volatility averaged 18.3%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 3.7% (HV 20d: 22.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2018-03-08: Highest Volume — 472 contracts
  • 2018-03-09: Largest IV spike — 68.4% change
  • 2018-03-09: Highest IV Rank — 52.6%
  • 2018-03-21: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.32$37.40$39.28$37.72$39.28
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV18.3%14.7%27.4%15.9%15.5%
Expected Move5.0%4.2%6.5%4.6%4.4%
HV 20d22.0%14.2%27.3%27.3%16.7%
HV 60d22.1%21.9%22.8%22.0%22.8%
IV Rank30.1%21.1%52.6%21.4%23.5%
IV Percentile42.2%12.7%94.4%20.2%15.5%
Term Structure2.7%-3.2%7.4%7.2%2.8%
VWIV17.3%13.7%21.8%13.8%15.5%
Skew 25d5.9%-6.8%25.4%12.7%25.4%
Skew 10d6.5%-9.5%23.6%10.7%23.6%
Call IV 25d17.6%13.8%21.0%14.0%21.0%
Put IV 25d23.5%14.0%46.4%26.7%46.4%
Bid-Ask Spread %65.7123.84105.8645.3178.09
Gamma HHI0.540.420.740.420.74
Net GEX113.3K42.6K294.6K44.5K294.6K
Net DEX-105.8K-1.3M331.9K298.8K-1.3M
Net VEX-8.7K-10.5K-8.1K-8.4K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.092.661.610.10
Total Volume275.476101472438263
Total OI2,361.5711,8832,8702,4562,313

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$37.72$40.0015.9%4.6%27.3%21.4%13.8%12.7%7.2%44.5K298.8K-8.4K1.6145.31N/AN/A1682701,726730
2018-03-02$37.71$40.0016.9%4.9%25.6%24.2%14.0%15.3%7.4%42.6K331.9K-8.5K1.6783.36N/AN/A1682801,728733
2018-03-05$38.21$40.0018.1%5.4%26.0%27.4%19.2%5.4%1.2%67.4K163.8K-8.3K1.6223.84N/AN/A1702751,728747
2018-03-06$38.37$40.0019.2%5.5%25.5%30.4%19.4%5.1%1.1%78.5K96.5K-8.4K2.2550.77N/AN/A1202701,736748
2018-03-07$38.84$40.0020.0%5.3%25.9%32.5%18.5%5.8%1.9%102.3K-155.1K-8.6K2.0636.51N/AN/A1292661,746747
2018-03-08$38.78$40.0016.3%4.2%25.4%22.4%15.0%6.2%5.5%111.1K27.6K-8.3K2.6677.93N/AN/A1293431,746747
2018-03-09$38.72$40.0027.4%4.2%23.7%52.6%13.7%9.3%7.2%100.9K-95.5K-9.0K1.0696.33N/AN/A1171241,746796
2018-03-12$39.01$40.0016.1%4.9%23.2%21.9%17.0%4.0%3.0%109.6K12.7K-8.3K0.1660.38N/AN/A318511,757796
2018-03-13$38.68$40.0022.5%5.4%23.4%39.1%19.1%4.1%0.9%134.0K-114.7K-9.1K0.3470.53N/AN/A117401,967795
2018-03-14$38.52$40.0018.8%5.4%23.5%30.9%19.1%3.3%0.8%132.1K-71.8K-8.7K0.1985.27N/AN/A209401,976783
2018-03-15$38.21$40.0017.3%5.0%23.2%29.2%17.8%3.5%0.6%110.3K210.4K-8.4K0.2056.94N/AN/A207412,080790
2018-03-16$38.79$40.0016.8%4.8%21.7%27.8%17.1%5.7%1.8%147.2K-164.2K-9.4K0.1876.74N/AN/A207372,073796
2018-03-19$38.40$40.0018.1%5.2%22.0%31.8%18.1%4.0%-0.0%117.9K-221.0K-8.7K0.6230.34N/AN/A127791,264619
2018-03-20$38.20$40.0014.7%4.2%20.2%21.1%14.0%4.7%1.8%119.4K-189.3K-8.1K1.2773.97N/AN/A62791,310599
2018-03-21$37.63$40.0022.6%6.5%20.7%45.9%21.8%6.5%7.1%97.2K-39.4K-8.3K0.55105.86N/AN/A65361,318615
2018-03-22$37.81$40.0015.4%4.4%18.8%23.2%16.8%6.5%2.0%111.3K-109.5K-8.4K0.4044.13N/AN/A168681,308619
2018-03-23$37.40$40.0019.0%5.5%19.0%34.7%19.8%2.7%6.7%68.3K148.7K-8.5K0.1675.15N/AN/A164261,413662
2018-03-26$37.59$40.0016.3%4.7%18.4%26.2%18.1%3.0%-0.0%81.3K28.8K-8.5K0.1882.20N/AN/A114211,412666
2018-03-27$37.95$40.0018.4%5.3%14.2%32.9%17.5%-6.8%-3.2%96.9K-113.3K-8.5K0.1586.72N/AN/A136211,421667
2018-03-28$39.00$40.0018.3%5.2%16.9%32.4%18.5%-3.2%0.4%211.6K-966.1K-10.2K0.0939.59N/AN/A238221,503667
2018-03-29$39.28$40.0015.5%4.4%16.7%23.5%15.5%25.4%2.8%294.6K-1.3M-10.5K0.1078.09N/AN/A238251,650663