NNN Options History — July 2018

In July 2018, NNN traded between $43.36 and $44.87. ATM implied volatility averaged 15.1%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.7% (HV 20d: 14.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2018-07-20: Highest Volume — 886 contracts
  • 2018-07-11: Largest IV spike — 25.7% change
  • 2018-07-31: Highest IV Rank — 31.9%
  • 2018-07-31: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.36$43.36$44.87$43.36$44.64
Max Pain$40.48$40.00$45.00$40.00$45.00
ATM IV15.1%9.4%17.4%10.1%17.4%
Expected Move4.5%2.7%5.0%2.9%5.0%
HV 20d14.5%12.3%15.5%13.7%14.5%
HV 60d16.2%14.3%17.7%17.5%14.3%
IV Rank24.9%7.5%31.9%9.4%31.9%
IV Percentile29.4%2.0%49.2%3.6%49.2%
Term Structure-0.2%-2.4%7.5%7.5%-1.1%
VWIV17.9%9.7%35.2%11.9%17.6%
Skew 25d2.5%-7.8%6.1%2.9%-7.8%
Skew 10d3.3%-14.2%9.7%5.5%-14.2%
Call IV 25d15.8%10.1%25.2%10.4%25.2%
Put IV 25d18.3%12.3%21.9%13.3%17.4%
Bid-Ask Spread %39.9911.1983.2017.6644.06
Gamma HHI0.870.720.950.720.94
Net GEX712.6K471.5K1.1M471.5K669.6K
Net DEX-9.6M-11.8M-5.8M-8.8M-6.3M
Net VEX-28.3K-30.0K-25.6K-26.5K-28.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.113.103.100.39
Total Volume324.95268886123350
Total OI4,437.2863,5694,9494,2253,569

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$43.36$40.0010.1%2.9%13.7%9.4%11.9%2.9%7.5%471.5K-8.8M-26.5K3.1017.66N/AN/A30933,774451
2018-07-03$43.91$40.009.4%2.7%14.1%7.5%9.7%2.2%4.9%559.0K-9.6M-26.8K1.2266.13N/AN/A76933,777454
2018-07-05$44.45$40.0011.3%4.2%14.5%13.2%16.7%3.0%-0.0%589.0K-10.5M-26.1K0.2663.58N/AN/A377983,798454
2018-07-06$44.86$40.0012.3%4.5%14.6%16.4%15.9%6.1%-0.5%791.5K-11.8M-29.5K0.1883.20N/AN/A491894,139452
2018-07-09$44.50$40.0014.5%4.2%15.2%22.9%14.9%5.4%0.7%834.5K-11.1M-29.2K0.3830.46N/AN/A231884,305452
2018-07-10$44.59$40.0012.8%4.6%15.2%17.8%16.1%1.8%-0.5%868.0K-11.7M-30.0K0.3973.08N/AN/A224884,370453
2018-07-11$44.32$40.0016.1%4.6%15.1%27.8%16.3%5.7%0.2%815.8K-11.0M-29.3K0.4223.80N/AN/A210884,357453
2018-07-12$44.51$40.0016.1%4.6%12.6%27.7%21.2%5.2%-0.4%864.0K-11.3M-28.9K0.6964.99N/AN/A128884,358454
2018-07-13$44.43$40.0016.0%4.6%12.3%27.5%19.3%5.8%-0.4%835.5K-11.1M-28.6K0.7824.23N/AN/A113884,340454
2018-07-16$43.89$40.0015.9%4.6%13.3%27.3%18.7%5.9%0.0%613.4K-9.8M-26.6K0.9420.38N/AN/A50474,343454
2018-07-17$43.91$40.0016.8%4.8%13.3%30.1%23.8%2.5%-1.6%673.8K-9.9M-26.9K2.2423.63N/AN/A21474,365456
2018-07-18$43.60$40.0015.2%4.3%13.7%25.0%16.1%5.9%0.1%635.5K-9.4M-25.6K1.7727.75N/AN/A26464,367457
2018-07-19$44.71$40.0016.5%4.7%15.5%29.1%17.1%5.1%-0.7%1.1M-11.6M-27.8K0.2414.82N/AN/A200484,368456
2018-07-20$44.56$40.0016.4%4.7%15.5%28.7%16.4%5.7%-1.0%610.2K-11.1M-28.1K0.2122.01N/AN/A7341524,494455
2018-07-23$44.57$40.0017.4%5.0%15.0%31.7%18.8%4.1%-2.4%603.8K-8.0M-29.1K1.0570.08N/AN/A1481563,495506
2018-07-24$44.40$40.0017.0%4.9%15.1%30.7%18.3%-3.0%-2.0%639.3K-7.8M-29.3K0.8828.28N/AN/A1781573,573521
2018-07-25$44.77$40.0017.0%4.9%15.4%30.6%18.3%-1.3%-2.0%744.4K-8.4M-30.0K0.3042.72N/AN/A184553,606521
2018-07-26$44.87$40.0016.8%4.8%15.1%30.1%16.8%-0.8%-2.1%691.2K-8.7M-29.5K0.6612.55N/AN/A89593,611521
2018-07-27$44.52$40.0015.9%4.6%15.1%27.2%35.2%-2.0%-0.8%681.7K-8.1M-28.9K0.1175.10N/AN/A738793,622522
2018-07-30$44.24$45.0016.8%4.8%15.3%29.8%16.2%-0.1%-1.4%681.1K-5.8M-28.5K0.2211.19N/AN/A4661013,064542
2018-07-31$44.64$45.0017.4%5.0%14.5%31.9%17.6%-7.8%-1.1%669.6K-6.3M-28.7K0.3944.06N/AN/A252983,001568