NNN Options History — November 2018

In November 2018, NNN traded between $46.86 and $50.12. ATM implied volatility averaged 17.5%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 1.5% (HV 20d: 19.1%). 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 8 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2018-11-01: Highest Volume — 692 contracts
  • 2018-11-08: Largest IV spike — 75.9% change
  • 2018-11-08: Highest IV Rank — 68.3%
  • 2018-11-01: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.81$46.86$50.12$46.93$50.12
Max Pain$40.48$40.00$45.00$45.00$40.00
ATM IV17.5%13.0%29.3%20.2%16.4%
Expected Move4.9%4.6%5.8%5.8%4.7%
HV 20d19.1%14.3%24.0%23.9%14.7%
HV 60d18.7%17.9%19.3%17.9%19.3%
IV Rank32.2%18.5%68.3%40.4%28.7%
IV Percentile59.5%17.5%98.8%81.7%52.0%
Term Structure0.2%-1.6%5.8%4.0%0.3%
VWIV17.6%13.1%20.0%15.1%16.4%
Skew 25d6.7%-4.1%55.6%9.2%55.6%
Skew 10d12.6%-6.7%93.0%41.5%93.0%
Call IV 25d16.2%12.9%19.8%14.1%19.2%
Put IV 25d22.9%14.7%74.8%23.3%74.8%
Bid-Ask Spread %62.148.6998.7473.4698.74
Gamma HHI0.560.480.850.530.85
Net GEX546.7K451.9K746.5K489.8K451.9K
Net DEX-11.9M-13.9M-8.4M-8.4M-13.9M
Net VEX-20.0K-24.1K-16.5K-24.1K-16.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.100.590.100.31
Total Volume341.571176692692330
Total OI4,171.6673,9264,4193,9304,113

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$46.93$45.0020.2%5.8%23.9%40.4%15.1%9.2%4.0%489.8K-8.4M-24.1K0.1073.46N/AN/A628643,225705
2018-11-02$46.86$45.0018.1%5.2%24.0%33.8%13.1%8.1%5.8%484.4K-8.4M-23.8K0.1642.07N/AN/A335533,231713
2018-11-05$47.71$40.0018.5%4.6%22.9%35.2%20.0%3.3%-1.6%466.1K-9.9M-21.7K0.1051.58N/AN/A556563,218708
2018-11-06$48.01$40.0014.1%4.9%22.9%21.9%18.9%3.5%0.1%541.5K-10.5M-22.8K0.1244.51N/AN/A487563,425700
2018-11-07$48.90$40.0016.7%4.9%22.4%29.6%17.3%3.6%0.2%549.1K-11.8M-20.8K0.1268.14N/AN/A458553,434700
2018-11-08$48.82$40.0029.3%4.7%20.2%68.3%19.4%3.1%-1.2%610.8K-12.4M-21.6K0.1991.03N/AN/A346653,694700
2018-11-09$49.13$40.0013.0%4.9%19.3%18.5%19.0%6.2%0.3%690.4K-12.4M-21.5K0.1861.01N/AN/A347633,691710
2018-11-12$49.20$40.0016.8%4.8%19.2%30.1%18.3%0.2%0.2%746.5K-12.9M-19.9K0.558.69N/AN/A114633,692714
2018-11-13$49.06$40.0017.8%5.2%18.3%33.0%18.4%6.6%-0.8%673.1K-12.3M-20.8K0.4360.84N/AN/A156673,701714
2018-11-14$48.92$40.0017.7%5.1%18.4%32.8%18.1%4.9%-0.3%634.3K-12.2M-20.2K0.4377.54N/AN/A156673,701718
2018-11-15$48.06$40.0016.9%4.8%19.9%30.1%18.8%4.2%-0.1%611.1K-11.1M-21.1K0.4141.47N/AN/A165673,701718
2018-11-16$49.02$40.0016.6%4.7%20.6%29.2%16.5%4.1%0.5%513.4K-12.2M-19.6K0.3985.80N/AN/A174683,701718
2018-11-19$49.06$40.0016.8%4.8%19.7%30.0%17.1%5.0%-0.5%504.2K-12.3M-18.7K0.4551.48N/AN/A121553,435524
2018-11-20$49.17$40.0017.1%4.9%19.4%30.9%17.1%5.9%-0.4%493.7K-12.4M-18.6K0.5955.38N/AN/A131773,439536
2018-11-21$49.29$40.0017.0%4.9%16.7%30.6%17.4%4.4%-0.4%480.2K-12.7M-18.1K0.3780.86N/AN/A233873,439556
2018-11-23$49.13$40.0017.8%5.1%16.6%33.0%17.6%5.8%-0.7%511.4K-12.7M-19.2K0.3991.82N/AN/A224873,547571
2018-11-26$48.93$40.0016.9%4.9%15.5%30.4%17.5%5.0%-0.1%528.9K-12.4M-18.1K0.3822.98N/AN/A218833,547571
2018-11-27$49.59$40.0016.9%4.8%15.9%30.2%17.7%6.8%-0.7%503.1K-13.2M-17.5K0.3739.61N/AN/A218813,550577
2018-11-28$49.56$40.0016.5%4.7%15.7%28.9%16.7%-1.1%-0.1%495.7K-13.3M-17.2K0.5363.92N/AN/A146783,553579
2018-11-29$49.50$40.0017.0%4.9%14.3%30.6%18.3%-4.1%-0.9%500.1K-13.3M-17.1K0.3094.08N/AN/A260783,557579
2018-11-30$50.12$40.0016.4%4.7%14.7%28.7%16.4%55.6%0.3%451.9K-13.9M-16.5K0.3198.74N/AN/A252783,534579