NNN Options History — December 2007

In December 2007, NNN traded between $22.66 and $25.08. ATM implied volatility averaged 29.7%. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 7.4% (HV 20d: 37.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.73.

Notable Days

  • 2007-12-03: Highest Volume — 626 contracts
  • 2007-12-13: Largest IV spike — 57.7% change
  • 2007-12-20: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.93$22.66$25.08$24.19$23.38
Max Pain$24.50$22.50$25.00$22.50$25.00
ATM IV29.7%19.1%35.3%25.7%34.6%
Expected Move8.9%7.4%10.1%7.4%9.9%
HV 20d37.2%33.8%40.7%36.4%33.8%
HV 60d35.2%35.2%35.2%35.2%35.2%
Term Structure-1.8%-5.8%4.5%-1.6%-1.8%
VWIV32.9%29.6%35.5%29.6%31.5%
Bid-Ask Spread %79.9166.0295.7471.0391.78
Gamma HHI0.650.360.950.950.45
Net GEX30.1K2.1K85.3K61.1K6.4K
Net DEX-116.9K-942.4K569.2K-509.4K376.2K
Net VEX-5.9K-7.4K-2.6K-2.6K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.730.0023.000.080.15
Total Volume71.35062662615
Total OI1,579.157031,7907031,533

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$24.19$22.5025.7%7.4%36.4%0.0%0.0%0.0%-1.6%61.1K-509.4K-2.6K0.0871.03N/AN/A5774962974
2007-12-04$23.86$22.5026.2%7.5%36.4%0.0%0.0%0.0%-1.6%76.3K-747.2K-5.1K0.2480.13N/AN/A41101,100123
2007-12-05$24.35$22.5026.4%7.6%36.7%0.0%0.0%0.0%3.7%85.3K-942.4K-5.5K23.0070.38N/AN/A204601,104133
2007-12-06$25.06$22.5025.8%7.4%35.8%0.0%0.0%0.0%4.5%56.1K-855.2K-7.4K0.0066.02N/AN/A001,114566
2007-12-07$24.77$25.0028.1%8.5%36.0%0.0%29.6%0.0%-1.2%52.1K-653.7K-7.2K0.0084.07N/AN/A2001,114566
2007-12-10$25.08$25.0027.8%8.7%35.9%0.0%0.0%0.0%-1.9%61.1K-905.4K-7.2K0.0088.84N/AN/A101,134566
2007-12-11$23.85$25.0019.1%8.6%40.7%0.0%0.0%0.0%-2.9%38.3K-54.5K-6.3K0.0068.61N/AN/A201,135566
2007-12-12$24.02$25.0019.7%8.7%37.8%0.0%0.0%0.0%-2.3%47.7K-132.2K-6.4K0.0068.99N/AN/A0501,137566
2007-12-13$23.91$25.0031.0%8.9%37.3%0.0%0.0%0.0%-2.5%37.3K12.3K-6.5K0.0069.83N/AN/A401,137616
2007-12-14$23.42$25.0033.4%9.6%37.7%0.0%0.0%0.0%-3.5%13.6K257.7K-5.9K0.0069.41N/AN/A0501,141616
2007-12-17$22.66$25.0032.6%9.3%39.2%0.0%0.0%0.0%-4.1%6.5K569.2K-4.8K0.6072.56N/AN/A1061,141616
2007-12-18$23.25$25.0035.0%10.0%39.9%0.0%34.9%0.0%-5.8%4.9K358.9K-5.4K0.0075.45N/AN/A081,137617
2007-12-19$23.25$25.0030.8%8.8%39.8%0.0%0.0%0.0%-0.5%3.4K364.7K-5.3K0.1095.74N/AN/A3031,137620
2007-12-20$23.44$25.0035.3%10.1%39.8%0.0%35.5%0.0%-4.7%6.2K261.3K-5.8K0.0082.88N/AN/A201,167621
2007-12-21$23.91$25.0030.8%8.8%39.9%0.0%0.0%0.0%-1.3%27.0K44.1K-6.3K0.0084.87N/AN/A1001,169621
2007-12-24$24.62$25.0032.6%9.3%36.5%0.0%0.0%0.0%-3.5%2.1K-143.6K-6.4K0.0089.82N/AN/A450890600
2007-12-26$24.24$25.0033.1%9.5%35.3%0.0%33.1%0.0%-3.4%4.4K-28.0K-6.3K0.0092.95N/AN/A100919600
2007-12-27$23.80$25.0033.5%9.6%34.3%0.0%0.0%0.0%-2.9%6.0K131.5K-6.1K0.0085.58N/AN/A00929600
2007-12-28$23.60$25.0033.2%9.5%34.2%0.0%31.5%0.0%0.5%5.4K257.1K-5.6K0.0089.19N/AN/A04929600
2007-12-31$23.38$25.0034.6%9.9%33.8%0.0%0.0%0.0%-1.8%6.4K376.2K-5.4K0.1591.78N/AN/A132929604