NNN Options History — December 2018

In December 2018, NNN traded between $45.51 and $51.24. ATM implied volatility averaged 20.8%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 1.4% (HV 20d: 22.2%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 2.49.

Notable Days

  • 2018-12-21: Highest Volume — 701 contracts
  • 2018-12-24: Largest IV spike — 43.8% change
  • 2018-12-24: Highest IV Rank — 73.4%
  • 2018-12-24: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.38$45.51$51.24$49.92$48.36
Max Pain$48.00$40.00$50.00$45.00$50.00
ATM IV20.8%16.8%31.0%16.9%18.8%
Expected Move6.0%4.7%8.9%4.8%5.4%
HV 20d22.2%14.0%37.1%14.8%36.8%
HV 60d21.6%19.3%26.6%19.3%26.6%
IV Rank42.2%30.1%73.4%30.3%36.1%
IV Percentile79.5%58.7%98.8%59.5%73.8%
Term Structure-2.0%-10.1%0.9%-1.0%-0.4%
VWIV21.2%16.5%28.8%16.9%21.6%
Skew 25d2.3%-20.1%8.8%-5.7%5.4%
Skew 10d4.8%-20.9%18.7%-9.2%8.6%
Call IV 25d20.8%10.8%38.3%21.9%21.2%
Put IV 25d23.1%16.3%34.5%16.3%26.6%
Bid-Ask Spread %89.9340.59112.9440.5998.93
Gamma HHI0.730.470.870.780.58
Net GEX369.6K115.9K530.6K493.1K181.3K
Net DEX-9.9M-14.9M-226.8K-12.9M-2.0M
Net VEX-16.9K-18.2K-14.9K-16.2K-16.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.490.0020.750.330.08
Total Volume180.75127011226
Total OI3,819.452,3674,5823,9702,465

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$49.92$45.0016.9%4.8%14.8%30.3%16.9%-5.7%-1.0%493.1K-12.9M-16.2K0.3340.59N/AN/A933,391579
2018-12-04$49.63$45.0016.8%4.8%14.1%30.1%16.9%-1.9%-0.2%505.7K-12.6M-16.4K0.2654.99N/AN/A39103,395577
2018-12-05$49.63$45.0017.7%5.1%14.0%32.7%17.7%-2.0%-0.8%488.4K-12.6M-16.4K0.2654.58N/AN/A39103,395577
2018-12-06$50.84$40.0017.8%4.7%15.0%33.1%16.5%3.4%0.9%456.9K-14.0M-15.6K0.00101.47N/AN/A10903,395581
2018-12-07$50.71$40.0017.7%5.1%15.0%32.8%17.1%-20.1%-8.9%468.7K-14.5M-16.2K0.07112.94N/AN/A151113,514581
2018-12-10$50.83$45.0019.5%5.2%14.9%38.2%18.3%8.0%-0.5%486.0K-14.5M-15.7K20.7597.04N/AN/A4833,514582
2018-12-11$51.24$50.0018.2%5.6%15.1%34.2%19.5%4.6%-1.2%418.1K-14.9M-15.3K7.8590.76N/AN/A272123,516659
2018-12-12$50.11$50.0022.0%6.3%17.4%45.9%22.0%1.3%-3.8%446.6K-12.8M-17.9K5.29105.46N/AN/A412173,525869
2018-12-13$50.90$50.0017.5%5.0%18.0%32.2%17.5%8.8%0.7%399.5K-14.1M-17.3K1.7786.90N/AN/A1232183,529874
2018-12-14$50.45$50.0018.7%5.4%17.0%35.8%18.7%5.6%0.1%457.8K-13.5M-18.2K1.8596.65N/AN/A1232283,603875
2018-12-17$48.74$50.0023.3%6.7%20.2%49.9%23.4%4.2%-2.8%411.9K-10.9M-17.5K1.0286.52N/AN/A1281313,603877
2018-12-18$49.76$50.0021.3%6.1%21.6%43.6%21.3%5.8%-1.1%530.6K-11.7M-18.2K4.7390.36N/AN/A261233,547980
2018-12-19$49.55$50.0029.5%8.5%21.6%68.8%28.7%2.3%-10.1%445.3K-11.6M-18.0K1.47107.36N/AN/A49723,548982
2018-12-20$49.04$50.0022.7%6.5%22.0%47.9%22.8%4.3%-2.2%465.7K-10.6M-18.1K2.4896.91N/AN/A29723,5681,002
2018-12-21$48.80$50.0021.6%6.2%22.0%44.5%21.6%4.5%-0.9%124.4K-9.8M-17.5K0.1293.84N/AN/A628733,5801,002
2018-12-24$45.51$50.0031.0%8.9%33.1%73.4%26.2%7.0%-1.8%115.9K-226.8K-14.9K0.3894.51N/AN/A199751,676691
2018-12-26$47.59$50.0020.7%5.9%36.8%42.0%28.3%4.7%-1.2%156.7K-1.4M-16.8K0.3892.08N/AN/A77291,702699
2018-12-27$47.81$50.0026.0%7.5%36.9%58.1%28.8%3.4%-3.5%157.9K-1.7M-17.1K0.3698.36N/AN/A80291,743720
2018-12-28$48.23$50.0018.2%5.2%37.1%34.4%21.0%1.4%-0.8%181.3K-2.1M-17.3K0.3298.29N/AN/A85271,753720
2018-12-31$48.36$50.0018.8%5.4%36.8%36.1%21.6%5.4%-0.4%181.3K-2.0M-16.8K0.0898.93N/AN/A2421,755710