NNN Options History — November 2019

In November 2019, NNN traded between $55.06 and $57.66. ATM implied volatility averaged 19.0%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.3% (HV 20d: 17.6%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 92.01.

Notable Days

  • 2019-11-07: Highest Volume — 3,564 contracts
  • 2019-11-04: Largest IV spike — 38.7% change
  • 2019-11-07: Highest IV Rank — 60.0%
  • 2019-11-04: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.09$55.06$57.66$57.66$55.89
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV19.0%15.7%23.5%16.4%16.9%
Expected Move5.2%4.5%5.7%4.7%4.8%
HV 20d17.6%12.2%20.9%12.2%20.3%
HV 60d17.9%16.4%18.8%16.4%17.0%
IV Rank41.3%27.7%60.0%30.9%32.8%
IV Percentile65.9%32.5%93.7%41.7%48.4%
Term Structure-0.7%-7.1%1.2%-2.3%-0.1%
VWIV19.1%14.5%27.9%17.0%18.0%
Skew 25d4.6%1.4%8.6%3.5%4.2%
Skew 10d7.9%1.0%14.6%2.2%4.9%
Call IV 25d15.2%11.6%17.5%16.7%12.3%
Put IV 25d19.8%15.8%23.8%20.3%16.5%
Bid-Ask Spread %91.8585.54103.90103.9093.63
Gamma HHI0.490.330.830.480.37
Net GEX-473.0K-1.1M202.5K202.5K-165.7K
Net DEX1.9M-1.6M8.0M-1.6M-653.3K
Net VEX-22.1K-39.0K-11.6K-11.6K-13.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio92.010.001455.001455.000.00
Total Volume486.5523,5642,9125
Total OI5,688.51,6407,7171,6405,743

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$57.66$55.0016.4%4.7%12.2%30.9%17.0%3.5%-2.3%202.5K-1.6M-11.6K1455.00103.90N/AN/A22,9101,140500
2019-11-04$57.18$55.0022.8%5.7%12.6%57.0%17.8%4.3%-1.6%-506.4K2.1M-27.8K24.0086.22N/AN/A1241,1313,012
2019-11-05$55.72$55.0021.1%5.3%15.7%50.1%18.5%4.6%-0.2%-674.7K4.9M-28.9K6.9096.42N/AN/A10691,1313,033
2019-11-06$56.34$55.0020.3%5.4%16.2%46.7%18.7%4.8%-0.1%-608.8K3.6M-27.9K3.0089.67N/AN/A391,1283,014
2019-11-07$56.15$55.0023.5%5.5%16.1%60.0%27.6%5.1%-0.6%-619.3K4.0M-27.9K59.4192.73N/AN/A593,5051,1273,020
2019-11-08$55.06$55.0020.1%5.6%17.4%45.9%27.9%6.3%-1.3%-1.1M8.0M-39.0K0.0085.54N/AN/A02041,1296,509
2019-11-11$55.49$55.0022.1%5.5%17.7%53.9%19.0%5.9%-1.1%-1.0M5.5M-33.8K0.0087.23N/AN/A2101,1296,533
2019-11-12$55.23$55.0023.3%5.2%17.5%59.1%17.2%5.7%-0.2%-1.1M6.2M-35.0K2.6086.76N/AN/A15391,1436,533
2019-11-13$55.81$55.0018.2%5.2%17.7%38.2%0.0%5.2%-0.0%-1.0M4.6M-32.2K0.0091.51N/AN/A201,1576,559
2019-11-14$55.98$55.0018.1%5.2%17.7%37.9%18.2%4.6%-0.1%-1.0M4.2M-30.7K0.0086.24N/AN/A02,5061,1586,559
2019-11-15$56.44$55.0017.4%5.0%17.7%35.1%16.5%1.4%-0.5%-199.1K-360.3K-16.5K0.1191.82N/AN/A1921,1584,693
2019-11-18$56.86$55.0018.1%5.2%17.8%37.6%17.9%2.2%-7.1%-139.3K-932.0K-14.5K6.0896.32N/AN/A12739924,659
2019-11-19$57.32$55.0019.6%5.6%18.1%43.8%14.5%4.3%-0.3%-149.7K-1.1M-15.5K0.0087.39N/AN/A2909884,666
2019-11-20$56.77$55.0018.9%5.4%18.4%41.0%15.8%3.6%-0.4%-172.9K-741.7K-15.8K0.0091.86N/AN/A0131,0174,666
2019-11-21$55.57$55.0017.2%4.9%19.6%34.0%17.2%8.2%1.2%-281.6K436.2K-15.6K2.8092.26N/AN/A5141,0174,669
2019-11-22$55.32$55.0016.8%4.8%19.6%32.5%0.0%2.5%0.3%-281.5K736.2K-14.8K1.7097.73N/AN/A33561,0174,679
2019-11-25$55.21$55.0016.4%4.7%19.6%30.8%15.0%2.6%0.2%-274.5K659.6K-14.4K1.0891.77N/AN/A13141,0384,696
2019-11-26$55.35$55.0015.7%4.5%19.5%27.7%27.1%8.6%0.5%-265.2K267.3K-14.2K1.3891.72N/AN/A8111,0514,670
2019-11-27$56.41$55.0016.5%4.7%20.9%31.2%18.0%5.0%0.2%-108.0K-1.1M-12.2K0.1596.37N/AN/A3961,0544,652
2019-11-29$55.89$55.0016.9%4.8%20.3%32.8%0.0%4.2%-0.1%-165.7K-653.3K-13.1K0.0093.63N/AN/A501,0874,656