NNN Options History — May 2018

In May 2018, NNN traded between $38.46 and $41.35. ATM implied volatility averaged 15.4%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 5.3% (HV 20d: 20.7%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2018-05-30: Highest Volume — 872 contracts
  • 2018-05-02: Largest IV spike — 60.2% change
  • 2018-05-02: Highest IV Rank — 48.6%
  • 2018-05-02: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.97$38.46$41.35$38.91$41.32
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV15.4%11.6%23.4%14.6%17.4%
Expected Move4.5%4.0%6.7%4.2%5.0%
HV 20d20.7%17.0%23.0%21.1%17.0%
HV 60d20.3%18.7%21.9%21.5%18.7%
IV Rank23.3%11.4%48.6%20.9%29.5%
IV Percentile21.9%4.0%88.1%12.7%37.7%
Term Structure0.7%-1.4%2.9%-1.3%-1.4%
VWIV16.0%14.0%29.2%14.1%16.9%
Skew 25d6.9%-4.3%91.8%91.8%1.6%
Skew 10d11.1%-12.2%111.1%111.1%28.0%
Call IV 25d15.6%12.5%27.1%27.1%15.8%
Put IV 25d22.5%13.9%118.9%118.9%17.4%
Bid-Ask Spread %39.9711.73103.48103.4816.20
Gamma HHI0.840.550.950.800.55
Net GEX406.3K145.5K686.5K207.3K475.2K
Net DEX-2.6M-6.0M-624.5K-818.0K-6.0M
Net VEX-11.4K-21.2K-7.2K-7.2K-21.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.092.550.770.09
Total Volume349.4099987299773
Total OI2,7672,0684,1732,0734,173

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$38.91$40.0014.6%4.2%21.1%20.9%14.1%91.8%-1.3%207.3K-818.0K-7.2K0.77103.48N/AN/A56431,410663
2018-05-02$38.46$40.0023.4%6.7%20.8%48.6%29.2%-1.3%0.9%145.5K-624.5K-7.5K0.3790.81N/AN/A123451,410658
2018-05-03$39.08$40.0011.6%4.4%21.7%11.4%15.4%6.0%1.1%250.8K-996.8K-7.6K0.1241.13N/AN/A365431,452670
2018-05-04$39.85$40.0013.8%4.4%22.8%18.3%15.2%6.5%1.2%380.1K-2.1M-8.9K0.1977.53N/AN/A261491,576667
2018-05-07$40.10$40.0013.4%4.3%22.8%17.1%14.9%7.0%1.2%477.5K-2.7M-9.3K0.1712.38N/AN/A257431,712679
2018-05-08$39.88$40.0014.1%4.0%22.9%19.1%14.0%0.9%2.9%527.4K-2.6M-9.9K2.2219.56N/AN/A721601,852682
2018-05-09$40.08$40.0014.5%4.2%23.0%20.4%14.5%-4.3%1.6%617.6K-2.7M-10.7K2.39101.53N/AN/A1172801,852794
2018-05-10$40.47$40.0014.3%4.1%20.7%19.9%14.4%6.5%1.5%482.1K-3.3M-10.8K2.5519.03N/AN/A1092781,842874
2018-05-11$40.28$40.0015.0%4.3%20.8%22.0%15.0%7.1%0.8%517.7K-3.0M-11.2K0.3723.03N/AN/A4651701,868874
2018-05-14$39.83$40.0014.8%4.2%20.8%21.3%14.9%1.5%1.3%686.5K-2.5M-11.6K1.8277.26N/AN/A951732,068885
2018-05-15$39.03$40.0015.4%4.4%21.9%23.4%15.4%-0.4%0.7%399.9K-1.1M-10.9K1.9142.45N/AN/A1001912,065908
2018-05-16$39.35$40.0016.5%4.7%22.0%26.7%16.5%0.1%0.3%467.4K-1.4M-11.4K1.3011.73N/AN/A1451882,066930
2018-05-17$39.25$40.0016.2%4.7%20.2%25.9%16.5%6.8%0.8%426.5K-1.3M-11.0K1.6532.15N/AN/A1041722,069931
2018-05-18$39.19$40.0015.6%4.5%19.3%23.8%16.2%-1.3%1.2%270.1K-1.0M-10.8K1.3353.07N/AN/A51682,071936
2018-05-21$39.96$40.0015.5%4.4%19.7%23.5%15.6%-0.1%0.3%323.6K-2.1M-11.1K0.3714.49N/AN/A151561,673849
2018-05-22$39.89$40.0014.6%4.2%19.8%20.8%14.7%-0.2%0.9%370.4K-2.1M-11.8K0.3613.23N/AN/A156561,779849
2018-05-23$40.68$40.0015.1%4.3%20.6%22.4%15.1%1.7%0.8%348.6K-3.3M-11.8K0.2715.95N/AN/A231631,830849
2018-05-24$40.50$40.0015.0%4.3%20.3%22.0%15.1%14.9%0.1%410.8K-3.4M-13.3K0.2912.20N/AN/A210602,026850
2018-05-25$40.68$40.0014.5%4.2%20.1%20.6%14.6%1.0%0.9%410.7K-3.8M-13.4K0.3117.77N/AN/A213662,077850
2018-05-29$41.20$40.0016.8%4.8%19.4%27.8%16.8%1.6%-0.9%365.0K-4.7M-13.7K0.2332.08N/AN/A4521052,254850
2018-05-30$41.35$40.0016.3%4.7%17.8%26.2%16.5%3.9%-0.2%378.1K-5.6M-16.5K0.1252.30N/AN/A780922,617884
2018-05-31$41.32$40.0017.4%5.0%17.0%29.5%16.9%1.6%-1.4%475.2K-6.0M-21.2K0.0916.20N/AN/A706673,283890