NNN Options History — January 2008

In January 2008, NNN traded between $20.34 and $23.65. ATM implied volatility averaged 33.5%. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 8.5% (HV 20d: 41.9%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2008-01-24: Highest Volume — 129 contracts
  • 2008-01-09: Largest IV drop — 37.9% change
  • 2008-01-18: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.84$20.34$23.65$23.65$22.72
Max Pain$20.63$20.00$25.00$25.00$20.00
ATM IV33.5%25.7%41.3%32.6%34.1%
Expected Move9.6%8.8%10.2%9.3%9.8%
HV 20d41.9%33.9%51.1%33.9%51.1%
HV 60d38.1%35.0%41.0%35.0%40.5%
Term Structure-0.5%-4.6%2.2%2.2%-0.7%
VWIV34.1%28.9%39.0%39.0%28.9%
Skew 25d4.7%3.1%8.7%8.7%3.2%
Skew 10d3.3%1.9%4.5%4.5%4.1%
Call IV 25d29.8%25.3%31.4%25.3%30.4%
Put IV 25d34.5%33.6%35.2%34.0%33.6%
Bid-Ask Spread %85.9163.62103.0894.2397.62
Gamma HHI0.710.360.840.360.75
Net GEX23.8K3.7K46.2K3.7K46.2K
Net DEX429.7K-362.3K977.1K248.0K-351.4K
Net VEX-3.5K-5.5K-1.8K-5.5K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.006.670.000.00
Total Volume24.1430129412
Total OI1,465.3331,1281,6451,5481,358

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$23.65$25.0032.6%9.3%33.9%0.0%0.0%0.0%2.2%3.7K248.0K-5.5K0.0094.23N/AN/A40942606
2008-01-03$22.69$25.0033.4%9.6%36.6%0.0%0.0%0.0%-1.4%9.9K379.7K-5.1K0.0089.49N/AN/A00942606
2008-01-04$21.65$0.0034.3%9.5%38.7%0.0%0.0%0.0%-2.3%16.5K865.1K-3.2K0.0063.62N/AN/A013942606
2008-01-07$21.65$0.0032.6%9.3%36.6%0.0%0.0%0.0%-0.6%18.5K886.4K-3.0K0.0076.09N/AN/A011942603
2008-01-08$20.69$0.0041.3%9.5%39.0%0.0%0.0%0.0%-4.6%13.2K893.8K-2.7K0.1067.20N/AN/A202942614
2008-01-09$21.36$0.0025.7%9.2%41.0%0.0%0.0%0.0%-1.0%19.1K933.3K-3.0K0.0076.96N/AN/A00962616
2008-01-10$21.39$0.0030.9%8.8%37.9%0.0%39.0%0.0%0.4%17.8K977.1K-2.7K0.0096.14N/AN/A100962616
2008-01-11$21.12$20.0032.7%9.4%37.7%0.0%0.0%0.0%1.0%17.5K963.8K-2.6K0.0079.77N/AN/A00970616
2008-01-14$21.35$20.0031.6%9.1%38.2%0.0%37.4%0.0%-0.2%18.4K965.2K-2.6K0.0070.59N/AN/A500970616
2008-01-15$21.19$20.0033.8%9.7%37.8%0.0%0.0%0.0%1.4%21.0K893.3K-2.7K0.0074.10N/AN/A021,010616
2008-01-16$21.85$20.0034.3%9.8%38.3%0.0%0.0%0.0%0.9%24.6K811.8K-3.3K0.0077.84N/AN/A3701,010617
2008-01-17$21.37$20.0033.3%9.6%37.5%0.0%0.0%0.0%1.0%22.5K864.6K-3.0K0.0077.19N/AN/A031,025617
2008-01-18$20.75$20.0035.6%10.2%38.5%0.0%0.0%0.0%-1.2%18.3K945.9K-2.4K0.0097.23N/AN/A001,025620
2008-01-22$20.34$20.0034.6%9.9%38.4%0.0%0.0%0.0%-0.8%14.2K200.1K-1.8K0.1194.80N/AN/A556909219
2008-01-23$22.18$20.0032.2%9.2%50.2%0.0%30.2%8.7%-0.7%28.3K-67.4K-3.3K0.18103.08N/AN/A285959222
2008-01-24$22.66$20.0034.8%10.0%49.5%0.0%35.0%4.5%-1.1%34.3K-249.3K-4.0K0.3493.43N/AN/A9633982227
2008-01-25$22.49$20.0033.1%9.5%49.4%0.0%0.0%5.1%-0.1%36.3K-241.2K-4.3K0.0094.21N/AN/A3501,071247
2008-01-28$22.97$20.0034.0%9.7%49.8%0.0%34.0%3.1%-0.9%41.6K-362.3K-4.6K6.6787.27N/AN/A3201,106247
2008-01-29$22.43$20.0033.9%9.7%50.4%0.0%0.0%4.1%-0.9%40.0K-295.6K-4.5K0.0095.96N/AN/A001,079227
2008-01-30$22.18$20.0034.5%9.9%50.4%0.0%28.9%4.1%-1.4%38.4K-237.6K-4.3K0.0297.28N/AN/A6111,079227
2008-01-31$22.72$20.0034.1%9.8%51.1%0.0%0.0%3.2%-0.7%46.2K-351.4K-4.6K0.0097.62N/AN/A1201,130228