NNN Options History — May 2019

In May 2019, NNN traded between $52.26 and $53.86. ATM implied volatility averaged 16.6%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 3.7% (HV 20d: 20.3%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 11.49.

Notable Days

  • 2019-05-31: Highest Volume — 2,959 contracts
  • 2019-05-29: Largest IV spike — 55.5% change
  • 2019-05-10: Highest IV Rank — 100.0%
  • 2019-05-01: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.02$52.26$53.86$52.56$53.59
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV16.6%10.7%33.3%23.1%12.6%
Expected Move4.3%3.1%6.6%6.6%3.6%
HV 20d20.3%15.7%24.3%21.9%16.8%
HV 60d17.8%17.1%18.7%17.7%18.2%
IV Rank37.2%13.9%100.0%64.3%21.3%
IV Percentile45.7%5.6%100.0%94.8%17.5%
Term Structure1.3%-1.4%7.1%7.1%0.6%
VWIV16.1%12.3%21.7%18.2%14.2%
Skew 25d3.4%-2.8%14.4%11.9%-2.8%
Skew 10d3.6%-5.8%12.9%7.5%-5.1%
Call IV 25d15.0%11.2%17.1%11.2%14.9%
Put IV 25d18.4%12.0%29.3%23.1%12.0%
Bid-Ask Spread %92.0375.96113.74113.7499.36
Gamma HHI0.730.520.880.710.52
Net GEX315.0K138.3K438.4K303.3K138.3K
Net DEX-3.1M-4.1M-1.7M-3.3M-1.7M
Net VEX-10.5K-24.8K-8.6K-10.3K-24.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.490.00109.200.1624.96
Total Volume266.45502,959812,959
Total OI1,936.6821,6613,5441,8813,544

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$52.56$50.0023.1%6.6%21.9%64.3%18.2%11.9%7.1%303.3K-3.3M-10.3K0.16113.74N/AN/A70111,525356
2019-05-02$53.12$50.0017.7%5.1%22.1%42.8%21.7%14.4%1.0%340.6K-3.6M-10.0K0.58110.40N/AN/A53311,529356
2019-05-03$53.45$50.0013.2%3.8%22.1%24.7%14.2%-0.9%2.3%387.5K-3.8M-9.8K0.84104.68N/AN/A37311,539356
2019-05-06$53.75$50.0012.5%4.3%22.2%21.9%15.1%3.1%1.2%438.4K-3.7M-9.4K0.0092.42N/AN/A701,457356
2019-05-07$52.26$50.0016.6%6.0%24.3%38.4%20.3%4.7%-1.4%224.9K-2.4M-9.8K0.4584.53N/AN/A2091,460356
2019-05-08$52.39$50.0016.9%5.7%24.1%39.8%19.6%3.3%0.2%241.3K-2.6M-9.7K0.3181.27N/AN/A2991,476364
2019-05-09$52.49$50.0024.8%5.0%23.8%71.2%18.9%3.1%6.7%288.0K-2.6M-9.8K0.3588.30N/AN/A2691,476364
2019-05-10$52.70$50.0033.3%3.6%23.8%100.0%0.0%3.3%1.3%314.3K-3.0M-9.5K0.0094.98N/AN/A001,473360
2019-05-13$53.18$50.0025.4%4.6%24.1%70.0%0.0%4.3%0.8%351.0K-3.2M-9.3K0.0084.84N/AN/A10001,473360
2019-05-14$53.20$50.0023.1%4.5%24.1%61.4%19.0%3.3%0.8%374.1K-3.4M-9.6K0.3383.38N/AN/A134441,573360
2019-05-15$53.48$50.0014.8%4.2%20.0%29.5%16.1%3.1%2.3%420.0K-3.6M-9.5K0.0076.28N/AN/A301,571360
2019-05-16$53.35$50.0011.0%3.2%19.4%15.3%13.3%2.6%2.2%394.3K-3.5M-8.6K0.0082.49N/AN/A12301,570360
2019-05-17$53.16$50.0011.5%3.3%19.2%17.0%13.6%2.6%2.0%288.9K-3.3M-9.7K0.0075.96N/AN/A11601,653360
2019-05-20$52.53$50.0012.5%3.6%19.1%20.9%16.0%4.0%1.6%254.8K-2.8M-10.0K2.0092.96N/AN/A361,323342
2019-05-21$52.91$50.0011.8%3.4%18.7%18.2%13.2%3.1%0.5%282.4K-3.1M-8.9K2.3390.08N/AN/A371,322339
2019-05-22$53.12$50.0013.1%3.8%17.7%23.3%15.9%2.0%-0.6%288.3K-3.2M-9.5K1.5796.50N/AN/A7111,322340
2019-05-23$53.58$50.0010.7%3.1%17.5%13.9%12.3%1.4%0.8%344.1K-3.7M-8.8K0.0794.78N/AN/A11381,325336
2019-05-24$53.86$50.0013.3%3.8%17.5%23.8%13.5%-2.4%1.5%377.0K-4.1M-9.5K0.0498.46N/AN/A17881,430336
2019-05-28$52.90$50.0013.1%3.8%16.2%23.2%0.0%4.2%0.0%353.7K-3.6M-9.8K0.6792.86N/AN/A321,534336
2019-05-29$52.38$50.0020.3%5.8%15.7%50.8%17.1%3.6%-0.6%307.1K-3.0M-9.9K97.3395.40N/AN/A65841,534343
2019-05-30$52.56$50.0013.8%4.0%15.8%26.0%14.5%3.2%-1.3%218.0K-2.1M-15.3K109.2090.92N/AN/A101,0921,534924
2019-05-31$53.59$50.0012.6%3.6%16.8%21.3%14.2%-2.8%0.6%138.3K-1.7M-24.8K24.9699.36N/AN/A1142,8451,5342,010