NNN Options History — June 2018

In June 2018, NNN traded between $41.13 and $44.01. ATM implied volatility averaged 15.4%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 1.6% (HV 20d: 13.8%). 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 21 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2018-06-15: Highest Volume — 866 contracts
  • 2018-06-21: Largest IV spike — 68.6% change
  • 2018-06-12: Highest IV Rank — 75.6%
  • 2018-06-11: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.46$41.13$44.01$41.13$44.01
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV15.4%7.0%32.0%16.3%9.9%
Expected Move3.7%2.0%4.7%4.7%2.8%
HV 20d13.8%11.7%16.6%16.6%12.0%
HV 60d18.2%17.1%18.7%18.6%17.1%
IV Rank23.8%0.0%75.6%26.1%8.8%
IV Percentile30.7%0.0%99.6%29.0%2.0%
Term Structure3.4%0.2%8.0%0.2%7.9%
VWIV11.9%7.3%16.7%16.7%8.6%
Skew 25d3.7%-1.6%7.6%1.4%5.8%
Skew 10d6.0%-5.9%29.8%29.8%-0.6%
Call IV 25d10.0%6.7%16.2%16.2%6.7%
Put IV 25d13.6%9.7%18.8%17.6%12.5%
Bid-Ask Spread %49.2111.9581.9558.8681.95
Gamma HHI0.590.490.750.590.74
Net GEX465.4K323.4K551.3K551.3K495.1K
Net DEX-8.0M-9.4M-6.1M-6.4M-9.4M
Net VEX-24.1K-26.6K-21.6K-22.6K-26.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.141.980.810.94
Total Volume308.66798866309377
Total OI4,3653,6525,0454,4274,018

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$41.13$40.0016.3%4.7%16.6%26.1%16.7%1.4%0.2%551.3K-6.4M-22.6K0.8158.86N/AN/A1711383,533894
2018-06-04$41.29$40.0018.4%4.5%15.4%32.9%15.9%6.3%0.9%541.9K-6.8M-22.7K1.9047.99N/AN/A701333,629849
2018-06-05$41.43$40.0016.4%4.5%15.3%26.6%15.6%6.4%1.4%509.9K-6.9M-22.2K0.5620.17N/AN/A1881053,629864
2018-06-06$41.64$40.0020.1%4.5%15.1%38.1%10.9%5.6%0.9%507.2K-7.2M-22.8K0.4816.59N/AN/A2181053,735866
2018-06-07$41.66$40.0020.5%4.4%15.1%39.3%15.4%6.4%1.1%503.8K-7.3M-22.3K0.3014.23N/AN/A300913,725866
2018-06-08$41.83$40.0023.0%4.6%14.8%47.2%14.2%6.2%1.2%518.8K-7.6M-23.9K0.2242.21N/AN/A423923,911868
2018-06-11$41.88$40.0028.5%4.7%14.6%64.6%14.5%6.1%1.1%537.6K-8.0M-25.1K0.3736.18N/AN/A2721004,139870
2018-06-12$42.40$40.0032.0%3.0%14.2%75.6%9.5%1.7%5.6%323.4K-9.4M-22.3K0.2873.35N/AN/A3541004,139880
2018-06-13$41.56$40.0012.7%3.6%14.1%14.7%10.2%4.0%5.1%438.7K-7.8M-21.6K1.1042.35N/AN/A921014,153882
2018-06-14$42.09$40.0016.1%4.6%14.4%25.6%10.5%6.3%1.1%406.9K-8.8M-23.8K1.3441.57N/AN/A871174,152882
2018-06-15$42.06$40.0016.0%4.6%14.3%25.1%15.6%7.6%1.0%384.7K-8.9M-24.5K0.1469.27N/AN/A7581084,152893
2018-06-18$42.03$40.0011.5%3.3%14.3%11.1%9.4%3.4%5.8%386.3K-6.1M-22.9K0.2381.83N/AN/A249583,240412
2018-06-19$42.22$40.0012.5%3.6%13.0%14.2%9.7%0.1%3.2%434.9K-6.4M-24.7K0.2768.28N/AN/A247673,322412
2018-06-20$42.81$40.008.0%2.3%13.5%0.0%8.1%1.2%4.4%387.6K-7.5M-24.2K0.2611.95N/AN/A243643,421401
2018-06-21$43.11$40.0013.5%3.9%12.2%17.3%14.8%6.4%2.4%482.6K-8.3M-26.6K0.3968.68N/AN/A141553,528408
2018-06-22$43.61$40.008.6%2.5%12.2%1.8%9.4%-1.3%4.0%462.5K-8.9M-25.1K1.2349.95N/AN/A44543,534406
2018-06-25$43.70$40.0010.0%2.9%12.2%6.3%10.0%-1.6%3.4%481.9K-9.1M-26.1K0.7136.79N/AN/A82583,580410
2018-06-26$43.80$40.007.0%2.0%11.7%0.0%7.3%2.6%8.0%465.1K-9.1M-25.3K0.8179.72N/AN/A72583,585414
2018-06-27$43.51$40.0011.6%3.3%12.2%13.9%13.2%2.6%7.3%466.6K-8.8M-25.0K1.9271.69N/AN/A731403,585414
2018-06-28$43.91$40.0010.5%3.0%12.4%10.7%10.6%0.1%4.7%487.5K-9.3M-26.4K1.9819.86N/AN/A931843,592472
2018-06-29$44.01$40.009.9%2.8%12.0%8.8%8.6%5.8%7.9%495.1K-9.4M-26.6K0.9481.95N/AN/A1941833,567451