NNN Options History — September 2019

In September 2019, NNN traded between $52.97 and $57.58. ATM implied volatility averaged 17.3%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 3.9% (HV 20d: 21.2%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 15.36.

Notable Days

  • 2019-09-05: Highest Volume — 2,136 contracts
  • 2019-09-05: Largest IV spike — 129.1% change
  • 2019-09-05: Highest IV Rank — 47.1%
  • 2019-09-03: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.37$52.97$57.58$57.06$56.44
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV17.3%8.9%20.4%19.4%18.7%
Expected Move4.9%2.6%5.6%5.6%5.4%
HV 20d21.2%10.1%24.7%10.2%24.6%
HV 60d17.7%14.8%19.3%14.8%17.4%
IV Rank34.5%0.0%47.1%41.1%40.3%
IV Percentile58.5%0.0%84.9%77.0%71.4%
Term Structure0.8%-0.1%5.7%0.0%-0.1%
VWIV18.4%15.6%24.5%24.5%18.6%
Skew 25d5.3%1.4%9.5%6.6%1.4%
Skew 10d7.3%2.8%12.2%7.6%9.1%
Call IV 25d14.6%9.3%17.4%12.4%17.4%
Put IV 25d19.9%15.7%23.4%19.0%18.8%
Bid-Ask Spread %97.0689.58103.17102.86103.17
Gamma HHI0.680.380.980.380.58
Net GEX-546.8K-2.5M303.5K71.4K303.5K
Net DEX306.3K-5.6M8.8M-4.1M-3.8M
Net VEX-12.3K-17.8K-8.6K-10.0K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.360.02195.500.282.50
Total Volume238.1572,136378
Total OI9,8041,22914,00511,9491,555

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$57.06$55.0019.4%5.6%10.2%41.1%24.5%6.6%0.0%71.4K-4.1M-10.0K0.28102.86N/AN/A2981,17510,774
2019-09-04$57.58$55.008.9%2.6%10.1%0.0%20.1%9.5%5.7%106.5K-4.7M-9.0K0.09101.45N/AN/A129111,19610,779
2019-09-05$55.38$55.0020.4%5.3%17.7%47.1%18.5%5.1%0.7%-301.6K-1.5M-15.4K6.6392.68N/AN/A2801,8561,24110,774
2019-09-06$55.95$55.0018.3%5.3%17.4%38.4%18.6%5.5%0.1%-845.8K-235.1K-17.8K39.6090.80N/AN/A103961,23312,401
2019-09-09$55.48$55.0019.8%5.4%17.8%44.7%0.0%5.9%0.0%-999.4K1.0M-17.1K1.2389.58N/AN/A1261551,24312,623
2019-09-10$53.93$55.0017.1%5.1%20.5%33.7%20.8%7.9%0.6%-1.2M6.4M-16.6K195.5092.97N/AN/A23911,30512,486
2019-09-11$53.81$55.0017.8%5.1%20.3%36.7%17.8%5.6%0.2%-1.1M6.4M-15.5K0.4192.33N/AN/A44181,30312,392
2019-09-12$54.33$55.0017.2%4.9%20.6%33.8%0.0%6.0%0.5%-976.5K4.7M-14.2K19.0097.87N/AN/A1191,29112,401
2019-09-13$52.97$55.0016.8%4.8%22.5%32.5%20.0%4.8%0.5%-713.0K8.8M-9.5K13.1392.14N/AN/A81051,29212,401
2019-09-16$53.66$55.0016.9%4.8%22.8%32.6%17.1%5.0%0.7%-705.2K7.3M-9.8K1.5795.03N/AN/A14221,29712,440
2019-09-17$54.83$55.0017.2%4.9%24.1%33.9%17.2%6.6%0.4%-1.4M3.1M-11.7K0.0895.65N/AN/A11991,29712,440
2019-09-18$54.57$55.0016.6%4.7%24.1%31.4%16.5%5.3%0.5%-1.4M4.1M-11.0K11.00100.77N/AN/A3331,40712,440
2019-09-19$55.15$55.0015.6%4.5%24.4%27.5%15.6%4.8%1.3%-2.5M255.9K-10.3K0.0299.03N/AN/A22251,40812,411
2019-09-20$55.56$55.0016.7%4.8%24.4%31.8%16.3%2.7%0.3%-622.3K-5.6M-8.6K0.09100.07N/AN/A316291,58912,416
2019-09-23$55.99$55.0017.0%4.9%24.6%33.2%16.7%3.7%1.0%259.0K-2.8M-9.2K0.1498.43N/AN/A119171,030199
2019-09-24$55.88$55.0018.3%5.2%24.6%38.5%18.3%3.9%0.7%262.4K-2.9M-10.5K0.1299.64N/AN/A143171,124213
2019-09-25$56.10$55.0018.0%5.2%24.5%37.4%0.0%4.4%0.6%286.0K-3.2M-12.0K0.3398.27N/AN/A621,248225
2019-09-26$56.52$55.0017.8%5.1%24.6%36.3%17.5%5.4%1.4%287.1K-3.5M-11.8K0.12100.27N/AN/A7591,250226
2019-09-27$56.26$55.0018.5%5.3%24.7%39.4%18.6%5.3%0.5%297.6K-3.6M-12.8K2.5098.20N/AN/A251,324231
2019-09-30$56.44$55.0018.7%5.4%24.6%40.3%0.0%1.4%-0.1%303.5K-3.8M-12.4K0.00103.17N/AN/A081,326229