NNN Options History — August 2018

In August 2018, NNN traded between $44.44 and $46.21. ATM implied volatility averaged 13.6%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.9% (HV 20d: 12.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.94.

Notable Days

  • 2018-08-03: Highest Volume — 463 contracts
  • 2018-08-13: Largest IV spike — 28.1% change
  • 2018-08-14: Highest IV Rank — 26.7%
  • 2018-08-15: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.58$44.44$46.21$44.44$46.08
Max Pain$44.13$40.00$45.00$45.00$45.00
ATM IV13.6%11.7%15.7%14.3%13.7%
Expected Move4.0%3.6%4.3%4.1%3.9%
HV 20d12.7%8.0%15.3%14.0%8.0%
HV 60d13.6%12.8%14.9%14.3%12.9%
IV Rank20.2%14.4%26.7%22.3%20.6%
IV Percentile17.8%9.1%34.5%17.9%19.0%
Term Structure1.1%-3.2%3.2%3.2%0.2%
VWIV13.9%12.1%15.5%14.3%14.3%
Skew 25d4.9%-1.4%54.5%54.5%2.5%
Skew 10d6.8%1.4%62.9%62.9%4.7%
Call IV 25d12.1%9.6%23.1%23.1%11.3%
Put IV 25d17.1%12.9%77.6%77.6%13.9%
Bid-Ask Spread %29.3610.46100.13100.1332.84
Gamma HHI0.920.890.950.930.91
Net GEX771.6K582.3K1.1M712.6K683.6K
Net DEX-7.8M-9.2M-5.7M-5.7M-8.5M
Net VEX-27.9K-31.1K-24.6K-29.1K-25.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.163.290.740.38
Total Volume257.13149463383216
Total OI3,766.7833,4753,9713,6743,665

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-08-01$44.44$45.0014.3%4.1%14.0%22.3%14.3%54.5%3.2%712.6K-5.7M-29.1K0.74100.13N/AN/A2201633,103571
2018-08-02$45.08$45.0014.0%4.0%14.3%21.3%14.0%1.0%-0.3%808.9K-7.1M-30.4K0.6757.09N/AN/A2201473,104646
2018-08-03$45.80$45.0012.5%3.6%15.0%16.9%12.8%-1.4%1.5%769.4K-8.8M-28.7K0.7919.58N/AN/A2582053,102646
2018-08-06$45.66$40.0011.7%4.1%14.7%14.4%15.5%4.2%1.6%805.0K-8.6M-30.6K0.5910.46N/AN/A2461463,184748
2018-08-07$45.19$40.0012.9%4.0%15.3%18.0%14.4%7.1%1.8%879.3K-7.4M-31.1K0.7114.43N/AN/A2081473,179757
2018-08-08$45.30$40.0013.0%4.0%15.1%18.4%14.1%7.1%2.0%900.3K-7.6M-30.6K1.5440.94N/AN/A961483,178762
2018-08-09$45.35$40.0012.9%4.0%15.0%18.0%13.9%2.9%1.9%909.9K-7.8M-30.0K1.6612.84N/AN/A971613,182762
2018-08-10$45.00$45.0011.7%4.0%15.3%14.4%14.2%1.1%2.1%992.6K-7.0M-30.4K3.2943.91N/AN/A491613,180780
2018-08-13$44.87$45.0015.0%4.1%14.6%24.5%14.6%6.9%1.3%1.0M-6.5M-30.0K2.1221.62N/AN/A491043,190780
2018-08-14$45.11$45.0015.7%4.1%14.7%26.7%14.2%2.4%1.8%1.1M-7.2M-29.5K1.7927.53N/AN/A611093,190780
2018-08-15$45.29$45.0014.9%4.3%14.4%24.3%14.9%2.0%1.5%1.0M-7.7M-29.2K1.6410.67N/AN/A691133,195776
2018-08-16$45.45$45.0014.0%4.0%11.5%21.3%14.0%2.2%2.0%918.8K-8.4M-28.1K1.1115.28N/AN/A1021133,185770
2018-08-17$45.85$45.0013.4%3.9%11.7%19.7%13.6%2.0%2.6%583.5K-9.2M-27.2K1.3215.70N/AN/A761003,156770
2018-08-20$45.96$45.0013.3%3.8%11.7%19.4%12.1%2.4%1.3%584.8K-7.7M-26.0K0.6019.70N/AN/A95572,754721
2018-08-21$45.92$45.0013.9%4.0%11.6%21.2%12.5%2.7%0.7%582.3K-7.7M-26.2K0.5930.94N/AN/A94552,791719
2018-08-22$45.82$45.0013.9%4.0%11.4%21.1%15.5%1.6%-3.2%619.3K-7.3M-25.9K0.3277.90N/AN/A171552,801717
2018-08-23$45.82$45.0013.7%3.9%11.4%20.6%13.2%1.2%0.8%646.7K-7.7M-27.2K0.3228.33N/AN/A171552,904717
2018-08-24$46.11$45.0014.0%4.0%11.0%21.3%13.8%2.5%0.5%619.4K-8.2M-26.3K0.3216.28N/AN/A171552,904717
2018-08-27$45.87$45.0013.9%4.0%10.9%21.1%13.9%1.8%0.5%669.9K-7.9M-25.6K0.3614.30N/AN/A165602,904717
2018-08-28$46.21$45.0013.7%3.9%10.8%20.3%13.6%2.2%0.8%637.0K-8.5M-24.6K0.3634.80N/AN/A165602,908720
2018-08-29$46.15$45.0013.8%3.9%10.6%20.7%13.7%2.9%0.3%636.8K-8.5M-25.0K0.1615.46N/AN/A366572,908720
2018-08-30$45.96$45.0012.8%3.7%9.7%17.6%12.7%1.8%1.3%688.6K-8.3M-25.7K0.2614.48N/AN/A221572,952721
2018-08-31$46.08$45.0013.7%3.9%8.0%20.6%14.3%2.5%0.2%683.6K-8.5M-25.0K0.3832.84N/AN/A157592,944721