NNN Options History — October 2018

In October 2018, NNN traded between $43.19 and $47.64. ATM implied volatility averaged 18.1%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 3.4% (HV 20d: 21.5%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.29.

Notable Days

  • 2018-10-30: Highest Volume — 1,379 contracts
  • 2018-10-03: Largest IV spike — 27.2% change
  • 2018-10-29: Highest IV Rank — 56.0%
  • 2018-10-29: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.27$43.19$47.64$44.25$46.88
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV18.1%11.2%25.3%14.6%25.1%
Expected Move5.4%3.2%7.3%4.2%7.2%
HV 20d21.5%17.5%24.6%17.9%24.0%
HV 60d16.0%14.1%17.9%14.2%17.9%
IV Rank34.0%12.8%56.0%23.4%55.2%
IV Percentile59.7%6.7%95.6%34.5%95.2%
Term Structure-0.9%-4.6%2.5%2.3%-3.3%
VWIV18.9%10.4%26.3%14.6%24.6%
Skew 25d5.1%-7.2%58.9%-0.8%0.4%
Skew 10d7.7%-12.8%76.5%-1.3%0.2%
Call IV 25d19.6%13.4%32.8%14.9%24.9%
Put IV 25d24.7%12.2%91.7%14.1%25.4%
Bid-Ask Spread %57.6320.35110.0827.7654.74
Gamma HHI0.820.510.920.870.51
Net GEX534.0K390.7K754.1K457.2K478.6K
Net DEX-5.8M-9.9M-2.7M-3.7M-8.5M
Net VEX-19.9K-24.7K-16.9K-19.1K-24.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.060.830.370.06
Total Volume441.6521061,379190934
Total OI3,219.4782,7744,1782,7743,967

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-10-01$44.25$45.0014.6%4.2%17.9%23.4%14.6%-0.8%2.3%457.2K-3.7M-19.1K0.3727.76N/AN/A139512,265509
2018-10-02$44.14$45.0011.2%3.2%17.8%12.8%10.4%-1.8%2.1%438.6K-3.6M-19.1K0.3520.35N/AN/A140492,268509
2018-10-03$43.83$45.0014.2%4.1%17.7%22.1%14.1%-2.5%1.3%406.8K-3.2M-18.4K0.3924.06N/AN/A135522,268509
2018-10-04$43.75$45.0012.5%4.8%17.5%16.8%17.5%4.0%-0.4%404.7K-3.1M-18.2K0.3830.06N/AN/A136512,270512
2018-10-05$43.99$45.0011.7%4.5%17.6%14.3%15.6%4.0%0.3%450.1K-3.3M-17.8K0.2124.36N/AN/A243512,272512
2018-10-08$45.23$45.0014.0%4.5%20.5%21.4%13.1%-7.2%2.5%601.7K-5.4M-19.0K0.2763.01N/AN/A190512,382513
2018-10-09$45.33$45.0014.0%4.7%20.5%21.3%16.2%18.3%-0.8%660.0K-5.8M-19.3K0.2735.68N/AN/A190512,490513
2018-10-10$44.63$45.0016.3%4.7%21.2%28.5%16.4%58.9%-0.5%593.4K-4.7M-19.4K0.27100.25N/AN/A191512,491513
2018-10-11$43.63$45.0014.9%4.3%22.4%24.0%16.1%3.7%0.1%452.1K-3.2M-18.3K0.2489.57N/AN/A191462,487513
2018-10-12$43.19$45.0018.4%5.3%22.3%34.9%17.7%4.9%-0.5%390.7K-2.7M-16.9K0.2488.58N/AN/A191462,487512
2018-10-15$43.82$45.0017.4%5.0%23.1%31.9%17.7%5.0%-0.6%443.6K-3.3M-18.4K0.2522.68N/AN/A181452,488513
2018-10-16$44.82$45.0020.3%5.8%24.6%40.7%20.3%6.4%-3.8%668.2K-4.9M-19.6K0.2171.70N/AN/A214452,530515
2018-10-17$45.20$45.0018.3%5.2%22.1%34.5%18.3%7.3%-1.5%720.0K-5.7M-20.1K0.2280.79N/AN/A220482,608515
2018-10-18$45.20$45.0018.6%5.3%21.7%35.4%18.6%0.4%-1.9%754.1K-5.8M-20.1K0.8339.86N/AN/A58482,619515
2018-10-19$45.77$45.0019.8%5.7%22.1%39.2%19.9%2.8%-2.8%564.8K-6.7M-19.7K0.1223.28N/AN/A371452,629515
2018-10-22$45.18$45.0019.4%5.6%21.7%38.0%19.4%2.3%-1.6%645.6K-6.2M-20.2K0.1737.34N/AN/A269452,735508
2018-10-23$45.78$45.0022.8%6.5%22.0%48.4%22.9%-2.2%-3.3%586.1K-6.9M-20.3K0.1759.78N/AN/A265452,740510
2018-10-24$47.17$45.0021.8%6.2%24.0%45.2%22.1%0.5%-0.2%496.3K-8.9M-18.1K0.27103.16N/AN/A8892432,740510
2018-10-25$47.62$45.0019.6%5.6%24.0%38.5%22.6%4.2%-3.8%541.5K-9.9M-22.8K0.3795.15N/AN/A6542433,374700
2018-10-26$46.89$45.0024.8%7.1%23.7%54.5%24.8%6.1%0.7%554.5K-9.1M-24.7K0.4498.48N/AN/A5552453,478700
2018-10-29$47.26$45.0025.3%7.3%23.3%56.0%25.8%-2.1%-1.1%541.7K-9.5M-23.7K0.41110.08N/AN/A6202523,477700
2018-10-30$47.64$45.0021.8%6.3%23.2%45.3%26.3%5.4%-4.6%432.0K-9.2M-19.1K0.2224.80N/AN/A1,1312482,958709
2018-10-31$46.88$45.0025.1%7.2%24.0%55.2%24.6%0.4%-3.3%478.6K-8.5M-24.6K0.0654.74N/AN/A881533,263704