NNN Options History — February 2019

In February 2019, NNN traded between $51.50 and $53.59. ATM implied volatility averaged 14.5%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 2.6% (HV 20d: 17.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.08.

Notable Days

  • 2019-02-01: Highest Volume — 429 contracts
  • 2019-02-25: Largest IV spike — 60.6% change
  • 2019-02-13: Highest IV Rank — 39.4%
  • 2019-02-01: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.57$51.50$53.59$52.23$52.24
Max Pain$49.74$45.00$50.00$45.00$50.00
ATM IV14.5%9.9%17.5%17.5%15.7%
Expected Move4.3%2.8%5.4%5.4%4.5%
HV 20d17.1%14.6%19.5%15.3%17.2%
HV 60d25.5%25.1%25.9%25.1%25.6%
IV Rank29.0%11.5%39.4%32.2%34.9%
IV Percentile31.9%1.6%63.1%63.1%44.4%
Term Structure1.3%-6.6%7.1%-1.0%-6.3%
VWIV14.3%8.8%20.5%20.5%10.4%
Skew 25d4.2%-2.1%8.5%3.6%-2.1%
Skew 10d3.4%-12.9%8.0%-12.9%1.1%
Call IV 25d12.2%8.0%16.6%14.7%12.8%
Put IV 25d16.4%10.6%18.8%18.3%10.6%
Bid-Ask Spread %67.6544.6481.4981.4962.25
Gamma HHI0.500.480.550.490.49
Net GEX338.4K182.4K378.0K334.7K375.6K
Net DEX-5.1M-6.0M-4.2M-6.0M-4.9M
Net VEX-12.6K-14.1K-9.6K-14.1K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.038.040.030.10
Total Volume79.4741942942969
Total OI2,323.1582,0572,3932,3002,390

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-02-01$52.23$45.0017.5%5.4%15.3%32.2%20.5%3.6%-1.0%334.7K-6.0M-14.1K0.0381.49N/AN/A418111,881419
2019-02-04$53.19$50.0012.5%4.6%15.7%16.9%16.8%2.3%-0.1%333.6K-5.6M-12.0K0.2572.25N/AN/A61151,639418
2019-02-05$53.50$50.0011.9%4.4%15.5%14.9%16.2%2.4%0.5%338.5K-5.7M-13.9K8.0472.94N/AN/A231851,692560
2019-02-06$52.99$50.0014.7%4.2%16.0%30.9%14.5%2.7%0.8%328.3K-5.4M-13.7K1.3174.32N/AN/A16211,702580
2019-02-07$53.12$50.0014.5%4.2%15.5%30.2%14.4%3.7%1.1%334.7K-5.4M-13.2K1.7176.51N/AN/A14241,708580
2019-02-08$53.23$50.0014.6%4.2%15.2%30.6%14.6%2.5%0.7%330.2K-5.6M-13.2K1.6374.44N/AN/A16261,706581
2019-02-11$53.59$50.0015.6%4.5%14.6%34.3%16.1%1.7%0.6%334.4K-5.8M-12.6K0.6471.43N/AN/A25161,709582
2019-02-12$52.16$50.0015.9%4.6%17.7%35.5%14.4%2.0%2.4%325.5K-4.6M-13.4K0.5880.12N/AN/A38221,711596
2019-02-13$51.84$50.0016.8%4.8%17.9%39.4%14.4%5.9%1.0%335.7K-4.3M-13.6K0.3980.25N/AN/A51201,720599
2019-02-14$52.41$50.0013.9%4.0%17.9%27.7%13.0%7.9%7.1%320.5K-4.7M-13.1K0.3662.42N/AN/A55201,706594
2019-02-15$52.35$50.0013.7%3.9%17.9%26.9%8.8%6.6%6.3%342.2K-4.9M-12.7K0.1375.57N/AN/A160201,765594
2019-02-19$52.31$50.0014.3%4.1%17.6%29.3%14.4%8.5%6.9%377.7K-4.9M-12.8K0.7745.99N/AN/A13101,845539
2019-02-20$51.50$50.0016.6%4.8%18.7%38.6%16.1%5.8%-6.6%374.8K-4.2M-12.7K1.1244.64N/AN/A17191,846547
2019-02-21$52.41$50.0014.2%4.1%19.5%29.0%11.9%5.7%6.1%378.0K-5.0M-12.6K1.1457.65N/AN/A14161,840542
2019-02-22$52.64$50.009.9%2.8%19.4%11.5%11.8%7.1%6.0%366.9K-5.2M-11.6K1.1446.69N/AN/A14161,841545
2019-02-25$52.50$50.0015.8%4.5%18.1%35.4%17.5%5.9%2.1%365.0K-5.0M-11.8K0.3368.55N/AN/A1861,842545
2019-02-26$52.27$50.0016.0%4.6%17.7%35.8%16.9%4.8%-6.6%351.4K-5.0M-11.2K0.3869.64N/AN/A1661,842545
2019-02-27$52.27$50.0011.2%3.2%17.2%16.7%10.0%2.9%3.3%182.4K-5.0M-9.6K0.4668.21N/AN/A1361,844545
2019-02-28$52.24$50.0015.7%4.5%17.2%34.9%10.4%-2.1%-6.3%375.6K-4.9M-11.7K0.1062.25N/AN/A6361,845545