NNN Options History — September 2018

In September 2018, NNN traded between $43.60 and $46.19. ATM implied volatility averaged 14.0%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.1% (HV 20d: 10.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.79.

Notable Days

2018-09-07: Highest Volume — 221 contracts
2018-09-26: Largest IV drop — 20.7% change
2018-09-20: Highest IV Rank — 29.3%
2018-09-20: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.00	$43.60	$46.19	$45.75	$44.70
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	14.0%	11.5%	16.6%	14.5%	13.1%
Expected Move	4.1%	3.3%	4.8%	4.2%	3.8%
HV 20d	10.9%	7.6%	17.7%	8.4%	17.7%
HV 60d	12.9%	11.9%	14.1%	13.0%	14.1%
IV Rank	21.4%	13.8%	29.3%	22.9%	18.8%
IV Percentile	24.9%	7.5%	49.6%	27.0%	16.3%
Term Structure	1.3%	-0.9%	3.6%	-0.3%	2.7%
VWIV	14.2%	11.4%	16.6%	14.8%	13.1%
Skew 25d	2.5%	-1.8%	19.9%	1.9%	1.5%
Skew 10d	2.5%	-25.9%	33.0%	4.1%	2.3%
Call IV 25d	12.8%	9.1%	20.0%	13.0%	13.2%
Put IV 25d	15.3%	12.6%	39.9%	14.8%	14.7%
Bid-Ask Spread %	29.54	6.99	100.97	13.38	23.04
Gamma HHI	0.90	0.84	0.95	0.92	0.87
Net GEX	709.8K	366.3K	1.3M	738.2K	472.2K
Net DEX	-6.1M	-8.8M	-3.0M	-7.9M	-4.3M
Net VEX	-22.0K	-25.2K	-18.7K	-25.2K	-20.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.37	1.45	0.37	1.34
Total Volume	153.684	89	221	219	89
Total OI	3,445.053	2,730	3,741	3,643	2,764

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-09-04	$45.75	$45.00	14.5%	4.2%	8.4%	22.9%	14.8%	1.9%	-0.3%	738.2K	-7.9M	-25.2K	0.37	13.38	N/A	N/A	160	59	2,950	693
2018-09-05	$46.00	$45.00	13.5%	3.9%	7.6%	19.9%	13.6%	-0.0%	0.5%	705.5K	-8.5M	-24.2K	0.37	18.24	N/A	N/A	161	59	2,947	726
2018-09-06	$46.19	$45.00	13.6%	4.2%	7.6%	20.2%	14.6%	5.5%	1.4%	671.6K	-8.8M	-23.3K	0.38	86.80	N/A	N/A	160	60	2,947	726
2018-09-07	$45.80	$45.00	14.3%	4.2%	8.3%	22.2%	14.7%	3.5%	1.4%	762.1K	-8.0M	-24.3K	0.38	8.09	N/A	N/A	160	61	2,947	730
2018-09-10	$45.90	$45.00	13.3%	4.3%	7.8%	19.2%	14.8%	4.8%	1.2%	714.2K	-8.3M	-23.8K	0.38	9.93	N/A	N/A	160	61	2,947	738
2018-09-11	$45.86	$45.00	13.9%	4.2%	7.7%	21.1%	14.5%	4.3%	1.0%	730.5K	-8.3M	-23.2K	0.88	6.99	N/A	N/A	69	61	2,947	738
2018-09-12	$45.77	$45.00	14.7%	4.2%	7.6%	23.5%	14.6%	3.3%	1.2%	798.5K	-8.1M	-23.4K	0.73	8.77	N/A	N/A	83	61	2,956	738
2018-09-13	$45.95	$45.00	13.9%	4.0%	7.6%	21.1%	13.8%	3.4%	2.1%	811.8K	-8.5M	-22.2K	1.05	100.97	N/A	N/A	60	63	2,957	738
2018-09-14	$45.40	$45.00	14.3%	4.1%	8.7%	22.3%	14.2%	2.1%	1.8%	989.5K	-7.4M	-23.2K	1.19	28.28	N/A	N/A	54	64	2,956	738
2018-09-17	$45.20	$45.00	14.8%	4.2%	8.2%	23.8%	14.8%	0.9%	0.9%	1.1M	-6.9M	-22.7K	0.52	18.72	N/A	N/A	123	64	2,960	738
2018-09-18	$45.16	$45.00	14.1%	4.0%	8.1%	21.8%	14.1%	2.3%	1.5%	1.3M	-6.8M	-22.4K	1.45	11.25	N/A	N/A	44	64	2,989	738
2018-09-19	$43.82	$45.00	14.6%	4.2%	13.2%	23.3%	14.6%	-1.8%	1.1%	706.8K	-3.6M	-21.0K	0.53	10.93	N/A	N/A	123	65	2,987	737
2018-09-20	$44.40	$45.00	16.6%	4.8%	14.3%	29.3%	16.6%	-0.1%	-0.9%	1.1M	-4.4M	-21.1K	0.75	51.88	N/A	N/A	88	66	2,987	737
2018-09-21	$44.37	$45.00	14.2%	4.1%	14.3%	22.0%	14.2%	-0.5%	1.6%	412.5K	-3.8M	-20.5K	0.72	13.61	N/A	N/A	92	66	3,004	737
2018-09-24	$43.62	$45.00	14.6%	4.2%	14.9%	23.3%	14.6%	-1.6%	0.7%	366.3K	-3.0M	-19.3K	0.96	22.25	N/A	N/A	54	52	2,223	507
2018-09-25	$43.82	$45.00	14.5%	4.2%	15.1%	23.0%	14.5%	-1.2%	1.4%	384.8K	-3.3M	-19.4K	0.81	15.92	N/A	N/A	62	50	2,227	507
2018-09-26	$43.62	$45.00	11.5%	3.3%	14.7%	13.8%	11.4%	0.0%	3.6%	390.5K	-3.0M	-18.7K	0.81	86.71	N/A	N/A	62	50	2,228	507
2018-09-27	$43.60	$45.00	12.0%	3.4%	14.7%	15.3%	11.7%	19.9%	1.7%	370.3K	-3.0M	-19.1K	1.31	25.44	N/A	N/A	39	51	2,253	507
2018-09-28	$44.70	$45.00	13.1%	3.8%	17.7%	18.8%	13.1%	1.5%	2.7%	472.2K	-4.3M	-20.0K	1.34	23.04	N/A	N/A	38	51	2,255	509