NNN Options History — October 2019

In October 2019, NNN traded between $56.08 and $59.06. ATM implied volatility averaged 17.2%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 4.3% (HV 20d: 12.9%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 4.02.

Notable Days

  • 2019-10-29: Highest Volume — 271 contracts
  • 2019-10-30: Largest IV spike — 53.8% change
  • 2019-10-11: Highest IV Rank — 51.1%
  • 2019-10-11: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.23$56.08$59.06$56.64$59.06
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV17.2%9.5%21.4%18.7%14.1%
Expected Move4.9%2.7%6.1%5.4%4.0%
HV 20d12.9%7.9%23.9%23.9%8.0%
HV 60d16.8%15.7%17.6%17.5%15.8%
IV Rank34.1%2.6%51.1%40.1%21.2%
IV Percentile54.4%0.4%87.3%70.2%21.0%
Term Structure0.4%-3.1%5.9%0.8%0.7%
VWIV18.1%14.2%27.0%16.8%14.2%
Skew 25d6.9%-1.6%23.0%0.2%-0.1%
Skew 10d23.6%-6.0%61.5%48.3%0.2%
Call IV 25d14.0%8.4%18.7%18.7%14.0%
Put IV 25d20.9%13.8%40.3%18.9%13.8%
Bid-Ask Spread %100.0089.83112.2799.63100.65
Gamma HHI0.500.460.600.570.56
Net GEX304.7K246.2K361.2K308.7K255.2K
Net DEX-3.9M-4.7M-3.1M-3.9M-3.3M
Net VEX-11.3K-12.6K-10.0K-12.3K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.020.0052.000.045.67
Total Volume64.13127127180
Total OI1,600.6521,4091,7301,5631,494

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$56.64$55.0018.7%5.4%23.9%40.1%0.0%0.2%0.8%308.7K-3.9M-12.3K0.0499.63N/AN/A2611,326237
2019-10-02$56.08$55.0018.8%5.4%23.9%40.6%0.0%-0.1%0.8%314.1K-3.5M-12.5K0.0099.65N/AN/A101,331238
2019-10-03$56.83$55.0020.1%5.6%19.8%46.1%16.8%23.0%-0.6%297.9K-4.0M-12.2K0.0189.83N/AN/A14211,332238
2019-10-04$56.86$55.0018.6%5.4%19.5%40.0%18.7%10.8%-0.4%337.3K-4.3M-12.6K0.0093.41N/AN/A041,474238
2019-10-07$56.75$55.0020.4%5.6%19.3%47.0%19.4%12.5%-0.8%337.2K-4.2M-12.5K0.0090.32N/AN/A051,474239
2019-10-08$56.83$55.0020.7%5.7%15.8%48.4%0.0%5.0%-1.2%334.2K-4.3M-12.4K3.0095.48N/AN/A261,474244
2019-10-09$56.73$55.0020.1%5.8%15.8%46.1%0.0%4.5%-1.8%340.9K-4.2M-12.3K0.0095.43N/AN/A101,474248
2019-10-10$57.08$55.0019.5%5.6%15.6%43.5%19.4%6.7%-1.4%333.5K-4.5M-11.8K0.0093.95N/AN/A101,474248
2019-10-11$56.86$55.0021.4%6.1%12.0%51.1%0.0%10.5%-3.0%330.3K-4.4M-12.3K0.00112.27N/AN/A501,475248
2019-10-14$56.98$55.0016.0%4.6%11.5%29.2%0.0%7.0%5.5%329.6K-4.3M-11.7K0.43109.36N/AN/A731,475248
2019-10-15$56.52$55.0020.7%5.9%9.8%48.5%0.0%6.3%-3.1%361.2K-4.1M-11.3K1.00108.91N/AN/A441,465245
2019-10-16$56.97$55.0019.2%5.5%9.8%42.3%0.0%4.5%-2.2%255.1K-4.6M-10.2K0.00105.32N/AN/A061,463248
2019-10-17$56.71$55.0017.1%4.9%9.5%33.7%17.1%7.5%-0.7%276.9K-4.4M-10.2K2.75100.11N/AN/A4111,466264
2019-10-18$57.20$55.0017.5%5.0%9.6%35.4%17.4%6.2%-0.5%246.2K-4.7M-10.4K0.09101.95N/AN/A189171,468255
2019-10-21$57.49$55.0019.2%5.5%9.5%42.3%18.9%8.8%-1.4%301.9K-3.5M-10.5K1.2999.75N/AN/A14181,237175
2019-10-22$57.44$55.0019.2%5.5%9.4%42.3%0.0%3.2%-1.9%301.3K-3.5M-10.5K0.0098.25N/AN/A301,241188
2019-10-23$57.50$55.0016.0%4.6%9.4%29.1%0.0%9.8%4.9%308.7K-3.6M-10.3K0.0094.48N/AN/A01521,244198
2019-10-24$57.82$55.009.5%2.7%9.2%2.6%0.0%10.7%5.9%262.7K-3.1M-11.4K52.0095.50N/AN/A31561,244348
2019-10-25$57.78$55.0012.3%3.5%9.0%14.2%14.5%3.5%-0.7%312.7K-3.6M-10.1K0.30100.94N/AN/A1031,244215
2019-10-28$57.90$55.0011.4%3.3%9.0%10.3%17.1%10.8%5.3%306.4K-3.7M-10.3K3.68102.62N/AN/A281031,252216
2019-10-29$58.11$55.009.9%2.8%9.0%4.1%27.0%9.8%5.6%304.9K-3.7M-10.0K1.85105.04N/AN/A951761,249252
2019-10-30$58.25$55.0015.2%4.4%7.9%26.0%16.1%-1.6%-0.7%252.0K-3.1M-10.9K4.22107.06N/AN/A18761,133276
2019-10-31$59.06$55.0014.1%4.0%8.0%21.2%14.2%-0.1%0.7%255.2K-3.3M-11.3K5.67100.65N/AN/A271531,143351