NNN Options History — April 2018

In April 2018, NNN traded between $37.15 and $39.60. ATM implied volatility averaged 17.1%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 2.2% (HV 20d: 19.3%). 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 11 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2018-04-16: Highest Volume — 367 contracts
  • 2018-04-20: Largest IV spike — 54.7% change
  • 2018-04-20: Highest IV Rank — 50.2%
  • 2018-04-20: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.51$37.15$39.60$38.66$37.96
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV17.1%11.9%23.9%15.7%17.8%
Expected Move5.0%3.4%6.9%4.5%5.1%
HV 20d19.3%17.5%21.4%17.9%19.4%
HV 60d22.4%20.9%23.0%23.0%20.9%
IV Rank28.7%12.4%50.2%24.2%30.7%
IV Percentile34.6%4.8%90.9%18.7%34.9%
Term Structure0.6%-3.4%7.4%1.4%-2.6%
VWIV17.6%13.7%21.8%16.3%18.5%
Skew 25d8.5%-4.6%84.7%-2.4%0.0%
Skew 10d12.0%-16.0%107.2%-16.0%0.0%
Call IV 25d17.3%10.5%24.0%18.2%20.4%
Put IV 25d25.7%15.7%103.2%15.7%20.5%
Bid-Ask Spread %53.1516.5799.6677.4199.66
Gamma HHI0.670.470.820.690.62
Net GEX219.4K8.3K436.4K237.6K111.4K
Net DEX-682.8K-1.7M400.2K-797.0K-304.3K
Net VEX-8.4K-10.6K-5.9K-9.6K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.121.540.670.84
Total Volume231.61985367100105
Total OI2,401.1432,0012,6762,3282,053

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-04-02$38.66$40.0015.7%4.5%17.9%24.2%16.3%-2.4%1.4%237.6K-797.0K-9.6K0.6777.41N/AN/A60401,669659
2018-04-03$39.05$40.0017.8%5.1%17.6%31.0%17.9%84.7%-1.0%273.2K-1.1M-9.4K0.6079.77N/AN/A70421,657667
2018-04-04$39.60$40.0018.2%5.2%18.2%32.2%18.2%-4.6%-0.2%339.6K-1.7M-10.0K0.2799.03N/AN/A210571,674667
2018-04-05$39.46$40.0016.7%5.3%17.8%27.3%18.4%4.0%-0.3%375.8K-1.6M-10.6K0.2574.25N/AN/A206521,791683
2018-04-06$39.35$40.0016.4%5.4%17.9%26.4%18.7%4.8%-1.2%375.9K-1.5M-10.2K0.1742.82N/AN/A292491,793684
2018-04-09$39.23$40.0014.1%5.0%17.9%19.1%17.2%5.5%0.3%436.4K-1.5M-10.1K0.1562.64N/AN/A299441,889684
2018-04-10$39.20$40.0014.3%4.8%17.7%19.7%16.6%4.7%0.9%414.7K-1.3M-9.8K0.1438.62N/AN/A294411,899685
2018-04-11$39.12$40.0018.1%5.2%17.5%31.7%18.2%2.1%-0.8%424.0K-1.4M-9.8K0.2094.22N/AN/A209411,910685
2018-04-12$38.10$40.0014.6%4.2%19.9%20.7%16.4%4.4%-0.9%186.1K-416.0K-8.5K0.1630.63N/AN/A263431,917685
2018-04-13$38.13$40.0019.5%5.6%19.7%36.2%19.7%2.1%-3.4%175.3K-403.2K-8.6K0.3528.91N/AN/A140491,882688
2018-04-16$38.73$40.0014.5%4.2%19.7%20.5%15.2%11.6%7.4%199.7K-497.9K-8.1K0.1536.67N/AN/A318491,924690
2018-04-17$39.12$40.0015.2%4.3%19.7%22.5%15.2%5.2%3.0%346.1K-798.3K-8.5K0.1532.14N/AN/A318491,981690
2018-04-18$38.95$40.0018.1%5.2%19.6%31.7%18.2%4.4%-0.9%271.7K-738.0K-8.2K0.1224.12N/AN/A318391,981690
2018-04-19$38.05$40.0015.5%4.4%20.7%23.5%17.4%2.7%1.6%79.1K-200.7K-7.6K0.1587.27N/AN/A277421,981690
2018-04-20$37.48$40.0023.9%6.9%21.4%50.2%20.5%5.1%0.1%43.8K150.1K-7.1K0.1631.18N/AN/A269421,982694
2018-04-23$37.15$40.0020.3%5.8%21.3%38.6%18.8%5.0%0.4%8.3K400.2K-5.9K1.1831.94N/AN/A39461,345656
2018-04-24$37.42$40.0021.1%6.1%21.3%41.4%13.7%7.1%2.0%26.5K237.1K-6.3K0.5179.28N/AN/A89451,343666
2018-04-25$37.46$40.0021.4%6.1%21.0%42.2%21.8%12.3%3.4%44.9K106.3K-6.8K0.5029.24N/AN/A90451,393669
2018-04-26$38.06$40.0011.9%3.4%19.4%12.4%16.4%14.1%5.8%77.6K-369.3K-8.1K1.5419.76N/AN/A37571,394669
2018-04-27$38.48$40.0014.7%4.2%19.6%21.2%15.6%4.6%-1.9%159.3K-592.2K-7.3K1.4116.57N/AN/A37521,390675
2018-04-30$37.96$40.0017.8%5.1%19.4%30.7%18.5%0.0%-2.6%111.4K-304.3K-6.8K0.8499.66N/AN/A57481,392661