NNN Options History — August 2019

In August 2019, NNN traded between $52.53 and $56.13. ATM implied volatility averaged 16.4%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.6% (HV 20d: 13.9%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 9.75.

Notable Days

  • 2019-08-01: Highest Volume — 1,158 contracts
  • 2019-08-05: Largest IV spike — 52.2% change
  • 2019-08-05: Highest IV Rank — 45.8%
  • 2019-08-28: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.77$52.53$56.13$52.53$56.13
Max Pain$51.82$50.00$55.00$50.00$55.00
ATM IV16.4%11.0%20.5%13.2%16.4%
Expected Move4.8%3.8%5.6%3.8%4.7%
HV 20d13.9%9.7%15.9%14.2%9.7%
HV 60d16.6%14.5%17.3%16.6%14.5%
IV Rank28.2%5.0%45.8%14.5%28.3%
IV Percentile51.1%2.8%85.7%18.7%48.8%
Term Structure0.9%-1.3%6.6%6.6%1.6%
VWIV18.4%11.0%31.3%22.1%16.5%
Skew 25d7.2%-2.0%11.7%11.7%3.7%
Skew 10d12.5%-8.4%27.3%27.3%6.4%
Call IV 25d13.9%11.0%16.8%11.0%13.1%
Put IV 25d21.1%13.9%23.6%22.7%16.8%
Bid-Ask Spread %96.8685.62107.74107.74105.13
Gamma HHI0.620.400.830.830.40
Net GEX-654.6K-2.1M1.2M-2.1M38.0K
Net DEX1.3M-3.2M12.2M12.2M-3.2M
Net VEX-33.8K-70.4K-11.7K-70.4K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.750.00146.0024.177.00
Total Volume97.27311,1581,1588
Total OI12,202.18211,45212,58312,33711,945

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$52.53$50.0013.2%3.8%14.2%14.5%22.1%11.7%6.6%-2.1M12.2M-70.4K24.17107.74N/AN/A461,1121,14611,191
2019-08-02$53.26$50.0013.5%3.9%15.1%15.8%15.6%-2.0%-0.5%-1.7M7.6M-60.5K0.01104.27N/AN/A10111,17311,193
2019-08-05$52.91$50.0020.5%5.1%15.2%45.8%31.3%5.2%-0.4%-1.9M10.4M-65.5K0.6085.62N/AN/A531,26211,193
2019-08-06$53.49$50.0011.0%4.2%15.8%5.0%14.7%6.8%2.3%-1.5M6.0M-54.1K0.0091.26N/AN/A19801,26711,196
2019-08-07$54.18$50.0013.1%4.9%15.9%13.9%17.3%8.6%0.1%-990.6K3.3M-46.6K0.0097.86N/AN/A2701,38711,196
2019-08-08$54.92$50.0016.8%4.6%15.9%30.0%20.4%7.7%1.1%-642.0K469.0K-39.5K0.9194.92N/AN/A11101,37911,196
2019-08-09$54.91$50.0016.4%4.7%15.7%28.1%0.0%7.8%0.9%-645.5K682.6K-39.2K0.0095.23N/AN/A101,38211,196
2019-08-12$55.09$50.0019.4%5.2%15.4%41.1%18.3%9.1%0.0%-613.0K640.2K-38.1K0.0896.61N/AN/A1211,38211,196
2019-08-13$54.69$50.0014.1%4.9%15.6%18.5%0.0%8.5%0.1%-586.8K1.1M-37.0K0.0096.04N/AN/A1001,38211,196
2019-08-14$54.49$50.0017.6%5.0%15.7%33.2%21.9%8.5%0.7%-712.5K1.7M-40.1K1.7595.21N/AN/A471,38311,196
2019-08-15$54.50$50.0017.6%5.1%15.4%33.5%17.6%9.3%0.8%-700.5K1.7M-36.7K0.0590.42N/AN/A2011,38411,196
2019-08-16$54.95$50.0014.3%4.1%14.1%19.2%14.3%7.5%3.6%1.2M-1.8M-23.8K0.1196.29N/AN/A2731,38411,197
2019-08-19$55.18$50.0015.7%4.5%14.0%25.3%15.7%6.9%1.3%-317.8K-1.7M-20.3K0.0097.99N/AN/A501,15510,297
2019-08-20$54.92$50.0016.0%4.6%13.8%26.3%16.0%6.7%1.6%-363.0K-1.4M-20.0K146.0098.42N/AN/A34381,15810,297
2019-08-21$55.18$55.0015.8%4.5%13.8%25.7%15.8%6.5%1.3%-477.8K-566.8K-21.2K0.5096.67N/AN/A631,15810,735
2019-08-22$55.56$55.0016.4%4.7%13.1%28.4%0.0%7.0%1.4%-324.7K-1.6M-19.1K0.0092.29N/AN/A101,16410,736
2019-08-23$55.56$55.0018.9%5.4%13.1%38.8%19.0%8.3%-0.2%-584.9K-669.3K-22.7K13.5094.14N/AN/A2271,16410,736
2019-08-26$55.40$55.0019.5%5.6%12.1%41.4%26.6%7.7%-1.1%-599.3K-317.1K-23.9K0.0098.88N/AN/A021,16610,737
2019-08-27$55.69$55.0017.9%5.1%10.4%34.4%11.0%8.5%0.5%-290.2K-1.9M-17.9K4.0096.04N/AN/A141,16610,737
2019-08-28$55.60$55.0019.6%5.6%10.5%41.8%0.0%7.2%-1.3%-438.9K-1.2M-20.4K5.00100.02N/AN/A6301,16710,737
2019-08-29$55.83$55.0017.4%5.0%10.5%32.6%17.4%7.0%0.2%-158.4K-2.4M-15.1K1.0099.93N/AN/A221,17310,767
2019-08-30$56.13$55.0016.4%4.7%9.7%28.3%16.5%3.7%1.6%38.0K-3.2M-11.7K7.00105.13N/AN/A171,17610,769