NNN Options History — June 2019

In June 2019, NNN traded between $52.44 and $55.27. ATM implied volatility averaged 17.0%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 1.6% (HV 20d: 18.6%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 92.81.

Notable Days

  • 2019-06-21: Highest Volume — 6,972 contracts
  • 2019-06-19: Largest IV spike — 73.1% change
  • 2019-06-19: Highest IV Rank — 78.9%
  • 2019-06-19: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.32$52.44$55.27$54.26$52.75
Max Pain$52.50$50.00$55.00$50.00$55.00
ATM IV17.0%14.2%27.8%14.6%14.2%
Expected Move4.9%4.1%8.0%4.2%4.1%
HV 20d18.6%17.2%20.7%17.2%19.5%
HV 60d19.1%18.3%19.4%18.3%19.3%
IV Rank37.4%19.8%78.9%29.1%19.8%
IV Percentile58.9%33.3%97.6%43.7%33.3%
Term Structure0.1%-7.7%1.4%0.7%1.3%
VWIV18.7%13.8%25.4%23.7%24.6%
Skew 25d6.5%-4.0%72.9%-3.9%5.9%
Skew 10d9.7%-8.7%108.0%-8.7%6.9%
Call IV 25d17.1%13.6%22.6%17.4%16.8%
Put IV 25d23.5%13.5%95.5%13.5%22.6%
Bid-Ask Spread %97.9493.62115.8294.8597.42
Gamma HHI0.590.500.840.500.82
Net GEX-241.7K-2.0M801.6K22.7K-1.9M
Net DEX419.9K-4.6M13.9M-2.2M12.0M
Net VEX-40.1K-82.6K-25.1K-28.2K-76.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio92.810.02557.751.4344.11
Total Volume1,383.45176,972172,075
Total OI10,455.255,40012,2495,40012,249

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-06-03$54.26$50.0014.6%4.2%17.2%29.1%0.0%-3.9%0.7%22.7K-2.2M-28.2K1.4394.85N/AN/A7101,6383,762
2019-06-04$53.03$50.0014.6%4.2%19.1%29.1%23.7%6.0%0.9%-261.6K301.3K-34.9K557.75103.36N/AN/A84,4621,6403,760
2019-06-05$54.33$50.0015.9%4.6%18.1%34.0%13.8%-4.0%0.3%-206.2K-1.8M-31.0K557.7594.22N/AN/A84,4621,6418,211
2019-06-06$54.48$50.0015.6%4.4%18.1%32.6%15.5%3.2%1.2%48.3K-2.4M-28.2K446.0096.94N/AN/A104,4601,6448,211
2019-06-07$54.45$50.0015.0%4.3%18.1%30.5%15.2%3.3%1.0%-4.8K-2.5M-27.7K0.2796.98N/AN/A186511,6468,215
2019-06-10$54.09$50.0015.7%4.5%18.3%33.3%15.6%3.0%0.8%66.0K-2.0M-28.4K27.7893.62N/AN/A277501,7508,234
2019-06-11$54.40$50.0016.6%4.7%18.2%36.6%16.4%4.0%0.3%-32.9K-1.8M-33.3K32.6194.25N/AN/A237501,7728,984
2019-06-12$55.19$50.0015.7%4.5%18.8%33.2%15.7%5.3%1.2%251.5K-3.7M-30.0K29.2396.62N/AN/A267601,7738,984
2019-06-13$54.98$50.0015.0%4.3%18.8%30.5%15.0%3.3%1.4%301.6K-3.3M-29.6K29.2395.15N/AN/A267601,7808,980
2019-06-14$55.27$50.0016.9%4.8%18.8%37.6%16.9%0.5%-0.3%301.4K-4.1M-27.5K36.7899.99N/AN/A238461,7808,980
2019-06-17$55.24$55.0015.7%4.5%18.7%32.9%15.8%3.5%0.6%284.2K-3.9M-26.9K0.0295.96N/AN/A5211,7819,066
2019-06-18$54.86$55.0016.0%4.6%18.3%34.4%16.0%3.0%0.6%419.9K-2.7M-29.1K0.0496.60N/AN/A7131,7799,066
2019-06-19$55.11$55.0027.8%8.0%18.3%78.9%25.1%72.9%-7.7%687.1K-3.4M-25.1K0.03115.82N/AN/A432131,7919,065
2019-06-20$55.27$55.0016.3%4.7%18.2%35.3%16.8%2.7%0.8%801.6K-4.6M-27.5K0.6596.94N/AN/A51331,9409,076
2019-06-21$54.86$55.0019.3%5.5%18.4%46.8%25.4%2.8%-1.1%575.0K-2.6M-31.6K88.38101.45N/AN/A786,8941,9519,056
2019-06-24$54.48$55.0018.7%5.4%18.5%44.6%20.2%4.4%0.1%-1.1M5.7M-62.8K1.3396.80N/AN/A18241,09811,103
2019-06-25$54.09$55.0017.3%5.0%17.4%39.3%24.0%4.2%1.0%-1.1M5.9M-63.6K1.3197.11N/AN/A42551,11411,105
2019-06-26$52.44$55.0024.6%7.1%20.5%67.0%20.5%4.9%-2.2%-2.0M13.9M-82.6K0.8396.89N/AN/A46381,14311,090
2019-06-27$52.90$55.0014.7%4.2%20.7%22.1%18.5%4.4%1.0%-1.9M11.8M-76.8K0.7397.80N/AN/A51371,14311,104
2019-06-28$52.75$55.0014.2%4.1%19.5%19.8%24.6%5.9%1.3%-1.9M12.0M-76.1K44.1197.42N/AN/A462,0291,15511,094