NNN Options History — December 2019

In December 2019, NNN traded between $51.25 and $55.17. ATM implied volatility averaged 16.7%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 2.2% (HV 20d: 18.8%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 5.63.

Notable Days

  • 2019-12-10: Highest Volume — 205 contracts
  • 2019-12-26: Largest IV drop — 28.8% change
  • 2019-12-12: Highest IV Rank — 43.9%
  • 2019-12-12: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.07$51.25$55.17$54.50$53.65
Max Pain$52.86$50.00$55.00$55.00$50.00
ATM IV16.7%11.2%19.6%17.3%12.4%
Expected Move4.8%3.2%5.6%5.0%3.6%
HV 20d18.8%17.0%20.5%20.4%17.2%
HV 60d16.6%15.5%17.7%17.7%16.8%
IV Rank31.8%9.4%43.9%34.7%14.4%
IV Percentile48.9%5.6%78.2%52.8%11.1%
Term Structure0.8%-1.0%2.6%-0.6%2.6%
VWIV15.6%8.3%20.0%17.3%12.4%
Skew 25d3.8%-3.2%9.6%0.7%0.3%
Skew 10d9.3%-3.6%57.4%1.6%-3.6%
Call IV 25d14.6%9.6%16.9%15.9%12.7%
Put IV 25d18.5%11.7%25.8%16.7%12.9%
Bid-Ask Spread %97.5787.99107.7397.3899.82
Gamma HHI0.530.350.940.390.42
Net GEX-350.8K-1.6M84.1K-342.4K84.1K
Net DEX1.9M-235.3K7.3M1.3M-235.3K
Net VEX-10.2K-16.4K-7.3K-13.0K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.630.0052.000.370.83
Total Volume57.42902052644
Total OI4,543.2381,3236,0135,7431,417

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$54.50$55.0017.3%5.0%20.4%34.7%17.3%0.7%-0.6%-342.4K1.3M-13.0K0.3797.38N/AN/A1971,0874,656
2019-12-03$54.80$55.0017.6%5.1%20.5%35.8%17.6%1.7%-0.5%-293.0K810.9K-12.5K4.2587.99N/AN/A20851,0864,659
2019-12-04$55.17$55.0018.1%5.2%18.7%37.5%0.0%9.6%-0.7%-220.3K139.9K-12.2K0.0090.89N/AN/A001,0854,584
2019-12-05$54.69$55.0018.1%5.4%18.4%37.6%20.0%5.3%-1.0%-305.8K815.4K-11.7K10.8099.34N/AN/A101081,0854,584
2019-12-06$54.69$55.0016.1%4.7%18.4%29.5%16.4%5.5%1.2%-224.3K646.0K-11.4K1.5095.22N/AN/A461,0804,691
2019-12-09$54.44$55.0018.0%4.9%17.1%37.2%0.0%5.7%0.6%-237.1K1.1M-10.7K0.0092.47N/AN/A4001,0824,697
2019-12-10$54.06$55.0017.7%4.9%17.0%36.0%16.3%5.2%0.7%-244.7K1.7M-10.1K7.2093.25N/AN/A251801,0794,697
2019-12-11$53.08$55.0016.1%4.6%18.0%29.4%17.8%9.3%0.8%-188.7K3.7M-8.1K8.5098.72N/AN/A181531,0714,823
2019-12-12$51.92$55.0019.6%5.6%18.7%43.9%19.4%3.5%0.2%-1.2M7.3M-16.4K11.0092.66N/AN/A6661,0804,933
2019-12-13$51.40$55.0018.6%5.3%18.7%39.7%18.6%2.0%0.1%-1.6M6.2M-15.1K52.0096.09N/AN/A1521,1924,636
2019-12-16$52.10$55.0018.2%5.2%19.2%38.0%15.8%3.5%0.8%-488.3K2.9M-9.1K1.00100.24N/AN/A15151,1924,628
2019-12-17$51.25$55.0017.7%5.1%19.2%36.1%17.0%1.9%0.4%-1.4M3.8M-9.7K0.8799.47N/AN/A15131,2074,623
2019-12-18$51.90$50.0018.2%5.2%19.7%38.1%12.7%2.7%0.9%-393.6K2.7M-8.8K4.3399.06N/AN/A3131,2204,633
2019-12-19$52.10$50.0018.3%5.2%19.9%38.4%0.0%2.5%1.1%-473.7K2.8M-8.4K0.0099.93N/AN/A031,2244,637
2019-12-20$52.40$50.0016.8%4.8%19.1%32.3%13.6%2.0%1.8%15.6K2.3M-8.0K0.02104.94N/AN/A5111,2244,636
2019-12-23$51.82$50.0017.6%5.0%19.3%35.5%8.3%7.1%1.7%4.2K560.4K-7.3K0.1798.96N/AN/A539796527
2019-12-24$52.11$50.0018.0%5.2%19.5%37.2%0.0%8.1%1.7%20.1K398.5K-8.1K1.40100.74N/AN/A1014843534
2019-12-26$52.56$50.0012.8%3.7%19.9%16.0%14.4%3.0%0.8%32.9K256.1K-8.5K1.6495.40N/AN/A2236853544
2019-12-27$52.84$50.0011.2%3.2%18.5%9.4%14.4%4.2%1.6%43.8K78.4K-8.3K0.6398.67N/AN/A2415862529
2019-12-30$52.95$50.0011.7%3.4%18.4%11.6%12.8%-3.2%1.5%43.5K156.5K-7.7K0.39107.73N/AN/A3614864528
2019-12-31$53.65$50.0012.4%3.6%17.2%14.4%12.4%0.3%2.6%84.1K-235.3K-8.5K0.8399.82N/AN/A2420889528