NNN Options History — February 2020 In February 2020, NNN traded between $50.67 and $58.70. ATM implied volatility averaged 20.6%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.4% (HV 20d: 15.2%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.72.
Notable Days 2020-02-24 : Highest Volume — 124 contracts2020-02-28 : Largest IV spike — 57.8% change2020-02-28 : Highest IV Rank — 100.0%2020-02-28 : Largest Expected Move — 11.5%Monthly Statistics Metric Avg Min Max Open Close Price $56.43 $50.67 $58.70 $56.64 $50.67 Max Pain $55.00 $55.00 $55.00 $55.00 $55.00 ATM IV 20.6% 14.0% 40.2% 21.0% 40.2% Expected Move 5.7% 4.0% 11.5% 6.0% 11.5% HV 20d 15.2% 11.9% 33.9% 12.7% 33.9% HV 60d 17.9% 16.9% 24.1% 17.5% 24.1% IV Rank 48.0% 23.3% 100.0% 50.9% 100.0% IV Percentile 70.8% 24.6% 100.0% 90.5% 100.0% Term Structure -1.2% -6.8% 0.6% -2.0% -6.8% VWIV 19.1% 11.3% 38.6% 19.6% 38.6% Skew 25d 4.7% -4.0% 10.0% 9.2% 10.0% Skew 10d 7.5% -0.7% 22.0% 7.5% 22.0% Call IV 25d 16.5% 8.5% 35.8% 11.8% 35.8% Put IV 25d 21.2% 11.3% 45.9% 21.0% 45.9% Bid-Ask Spread % 95.64 82.38 106.23 95.31 82.38 Gamma HHI 0.44 0.29 0.62 0.40 0.29 Net GEX 197.8K 14.2K 249.4K 211.7K 14.2K Net DEX -1.8M -3.0M 753.4K -1.9M 753.4K Net VEX -9.1K -10.3K -7.8K -10.3K -8.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.00 3.90 0.32 0.28 Total Volume 35.579 1 124 83 83 Total OI 1,755.684 1,615 1,865 1,682 1,750
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-02-03 $56.64 $55.00 21.0% 6.0% 12.7% 50.9% 19.6% 9.2% -2.0% 211.7K -1.9M -10.3K 0.32 95.31 N/A N/A 63 20 1,102 580 2020-02-04 $56.33 $55.00 21.2% 6.1% 13.0% 51.7% 12.6% 6.7% -2.4% 199.6K -1.7M -10.3K 0.20 103.42 N/A N/A 5 1 1,117 600 2020-02-05 $56.25 $55.00 21.3% 6.1% 12.7% 52.3% 21.7% 4.3% -2.6% 198.6K -1.7M -9.9K 1.00 96.54 N/A N/A 3 3 1,122 600 2020-02-06 $56.77 $55.00 21.5% 5.3% 12.9% 52.9% 0.0% 3.4% -1.1% 214.9K -2.0M -9.7K 0.00 90.81 N/A N/A 3 0 1,122 603 2020-02-07 $56.95 $55.00 21.8% 5.4% 12.4% 54.2% 15.8% 3.2% -1.5% 222.5K -2.1M -9.9K 0.00 91.22 N/A N/A 15 0 1,125 603 2020-02-10 $57.01 $55.00 25.0% 5.6% 12.2% 67.1% 19.5% 4.1% -2.1% 227.0K -2.2M -9.8K 0.47 92.66 N/A N/A 15 7 1,136 602 2020-02-11 $56.28 $55.00 17.6% 4.8% 13.4% 37.6% 15.9% 1.2% -0.2% 217.3K -1.7M -8.7K 3.90 95.76 N/A N/A 10 39 1,149 603 2020-02-12 $55.75 $55.00 15.8% 4.5% 14.0% 30.5% 15.8% 6.7% 0.3% 194.5K -1.3M -8.8K 0.50 98.17 N/A N/A 10 5 1,148 642 2020-02-13 $56.03 $55.00 16.3% 4.7% 12.6% 32.1% 16.3% 6.8% 0.6% 204.8K -1.5M -8.5K 0.08 99.27 N/A N/A 36 3 1,153 646 2020-02-14 $56.97 $55.00 16.7% 4.8% 13.7% 34.0% 16.7% 8.2% -0.2% 211.0K -2.2M -8.2K 0.00 100.42 N/A N/A 17 0 1,154 646 2020-02-18 $57.21 $55.00 14.0% 4.0% 13.7% 23.3% 11.3% -4.0% 0.4% 216.0K -2.4M -7.8K 1.45 106.23 N/A N/A 11 16 1,160 646 2020-02-19 $56.95 $55.00 18.2% 5.2% 11.9% 40.0% 15.3% 3.5% -0.8% 200.0K -2.3M -8.3K 0.69 99.30 N/A N/A 29 20 1,164 652 2020-02-20 $57.91 $55.00 15.0% 4.3% 12.9% 27.0% 15.2% 3.0% 0.5% 244.3K -2.8M -8.4K 0.00 98.62 N/A N/A 9 0 1,186 672 2020-02-21 $58.23 $55.00 16.2% 4.6% 12.7% 32.0% 16.6% 3.3% 0.3% 239.0K -3.0M -8.7K 0.02 89.69 N/A N/A 52 1 1,193 672 2020-02-24 $58.70 $55.00 17.4% 5.0% 12.7% 36.7% 19.8% 5.9% 0.2% 249.4K -2.8M -8.7K 0.11 95.23 N/A N/A 112 12 1,026 589 2020-02-25 $57.44 $55.00 24.3% 7.0% 15.2% 64.2% 24.1% 2.9% -0.9% 221.9K -2.2M -9.7K 2.13 97.85 N/A N/A 15 32 1,127 582 2020-02-26 $57.08 $55.00 22.6% 6.5% 15.4% 57.4% 0.0% 2.3% -0.6% 212.7K -1.9M -10.0K 0.00 91.99 N/A N/A 1 0 1,135 608 2020-02-27 $53.05 $55.00 25.4% 7.3% 30.4% 68.8% 30.7% 8.3% -4.1% 59.5K 82.6K -8.7K 2.50 92.23 N/A N/A 8 20 1,135 608 2020-02-28 $50.67 $55.00 40.2% 11.5% 33.9% 100.0% 38.6% 10.0% -6.8% 14.2K 753.4K -8.5K 0.28 82.38 N/A N/A 65 18 1,134 616
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