NNN Options History — January 2019

In January 2019, NNN traded between $47.14 and $52.67. ATM implied volatility averaged 18.0%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 13.7% (HV 20d: 31.6%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2019-01-30: Highest Volume — 678 contracts
  • 2019-01-09: Largest IV spike — 64.4% change
  • 2019-01-02: Highest IV Rank — 69.6%
  • 2019-01-02: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.61$47.14$52.67$47.14$52.67
Max Pain$49.05$45.00$50.00$50.00$45.00
ATM IV18.0%11.9%29.8%29.8%11.9%
Expected Move5.5%3.8%8.5%8.5%3.8%
HV 20d31.6%15.4%38.5%37.7%15.4%
HV 60d25.9%24.9%27.1%27.1%25.3%
IV Rank33.5%15.0%69.6%69.6%15.0%
IV Percentile60.2%6.7%98.4%98.4%6.7%
Term Structure-0.5%-3.9%6.9%-3.9%-0.2%
VWIV20.0%14.5%28.7%28.7%18.1%
Skew 25d2.9%-3.5%9.1%5.3%1.7%
Skew 10d3.3%-16.1%13.2%-0.3%8.0%
Call IV 25d18.6%10.9%24.2%24.2%15.9%
Put IV 25d21.6%14.9%29.4%29.4%17.5%
Bid-Ask Spread %91.6276.36106.1490.3676.36
Gamma HHI0.680.510.800.560.51
Net GEX315.5K161.3K491.5K161.3K311.7K
Net DEX-3.4M-6.7M-767.9K-1.1M-6.4M
Net VEX-14.6K-16.3K-12.1K-15.6K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.008.330.140.02
Total Volume150.333467850488
Total OI2,505.5712,1153,0312,4802,210

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-01-02$47.14$50.0029.8%8.5%37.7%69.6%28.7%5.3%-3.9%161.3K-1.1M-15.6K0.1490.36N/AN/A4461,768712
2019-01-03$48.02$45.0019.4%6.3%38.5%37.9%23.1%4.6%-0.8%189.8K-1.7M-16.3K0.1184.75N/AN/A5661,775717
2019-01-04$47.78$45.0014.8%6.0%38.5%23.7%23.9%4.4%-0.4%182.9K-1.4M-15.7K0.4684.13N/AN/A57261,782717
2019-01-07$47.69$45.0014.9%6.2%37.2%24.1%22.1%3.6%-1.2%182.8K-767.9K-13.8K1.0086.64N/AN/A221,790737
2019-01-08$48.41$50.0012.1%5.7%37.8%15.5%19.5%3.9%0.6%206.7K-1.2M-14.4K0.1389.51N/AN/A2331,790739
2019-01-09$48.12$50.0019.8%5.7%37.8%39.2%19.9%4.9%-0.3%201.2K-1.5M-15.1K0.2094.58N/AN/A3571,810739
2019-01-10$48.78$50.0019.0%5.5%38.0%36.8%18.8%5.0%0.3%230.8K-1.7M-14.5K0.2291.07N/AN/A3271,822744
2019-01-11$49.57$50.0020.3%5.8%37.8%40.6%20.3%3.7%-1.5%254.0K-3.0M-15.4K0.0294.02N/AN/A29071,817744
2019-01-14$49.07$50.0016.6%4.8%37.5%29.4%24.5%4.1%1.0%308.0K-2.0M-14.6K8.3389.17N/AN/A3252,076744
2019-01-15$49.43$50.0017.4%5.0%37.5%31.9%21.9%3.7%0.4%329.9K-2.5M-14.9K5.0087.39N/AN/A5252,077769
2019-01-16$49.97$50.0020.0%5.7%35.5%39.9%20.4%3.4%-1.6%349.0K-4.1M-15.4K0.1585.61N/AN/A171252,079769
2019-01-17$50.17$50.0017.8%5.1%34.8%33.1%16.3%0.1%-0.9%455.2K-5.3M-15.7K0.8991.56N/AN/A65582,239769
2019-01-18$49.82$50.0016.4%4.7%34.9%28.8%19.1%2.5%-0.3%491.5K-3.3M-14.7K0.8997.53N/AN/A65582,234797
2019-01-22$49.79$50.0017.9%5.1%34.7%33.4%17.9%-3.5%-1.1%404.3K-4.2M-14.3K0.0493.24N/AN/A2511,834388
2019-01-23$49.66$50.0017.4%5.0%34.6%31.8%17.4%-2.8%-0.6%401.0K-3.8M-14.2K0.0494.70N/AN/A2711,840389
2019-01-24$49.61$50.0017.8%5.1%22.5%33.0%17.8%2.8%-1.1%406.9K-3.9M-14.1K0.0696.32N/AN/A5431,842389
2019-01-25$50.72$50.0017.8%5.1%18.1%32.9%17.8%-3.4%-0.9%442.3K-5.0M-14.3K0.0593.06N/AN/A6031,850391
2019-01-28$51.43$50.0019.4%5.6%18.5%37.9%19.4%2.5%-2.9%429.1K-5.9M-13.2K0.0096.84N/AN/A13501,856390
2019-01-29$52.02$50.0019.5%5.6%18.6%38.2%18.5%5.9%-1.4%415.1K-6.7M-13.6K0.02101.02N/AN/A57091,957410
2019-01-30$52.00$50.0017.2%4.9%18.7%31.2%14.5%9.1%6.9%271.1K-5.4M-14.1K0.01106.14N/AN/A66991,696419
2019-01-31$52.67$45.0011.9%3.8%15.4%15.0%18.1%1.7%-0.2%311.7K-6.4M-12.1K0.0276.36N/AN/A47991,791419