NNN Options History — April 2008

In April 2008, NNN traded between $22.13 and $24.00. ATM implied volatility averaged 35.0%, placing in the 61.0% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 0.6% (HV 20d: 34.4%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2008-04-21: Highest Volume — 99 contracts
  • 2008-04-24: Largest IV drop — 31.7% change
  • 2008-04-29: Highest IV Rank — 64.7%
  • 2008-04-02: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.14$22.13$24.00$23.04$22.91
Max Pain$22.84$22.50$25.00$22.50$25.00
ATM IV35.0%24.9%38.5%37.5%31.0%
Expected Move10.0%7.1%10.8%10.8%8.9%
HV 20d34.4%27.3%41.7%41.7%27.5%
HV 60d41.3%37.5%44.8%44.8%37.6%
IV Rank61.0%55.5%64.7%62.8%55.5%
IV Percentile44.9%36.7%51.2%46.8%36.7%
Term Structure-1.8%-3.8%3.8%-2.2%-0.9%
VWIV32.4%16.4%54.6%16.4%32.8%
Skew 25d4.2%-3.2%11.3%6.7%-3.2%
Skew 10d0.6%-7.5%5.9%2.1%-7.5%
Call IV 25d27.9%23.1%34.0%29.3%28.4%
Put IV 25d32.0%25.2%36.0%36.0%25.2%
Bid-Ask Spread %82.1061.06101.9194.4787.72
Gamma HHI0.630.590.660.620.61
Net GEX76.6K56.3K95.1K70.2K82.2K
Net DEX-1.3M-1.6M-860.6K-1.3M-1.1M
Net VEX-9.0K-9.9K-7.9K-9.7K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.003.950.000.06
Total Volume15.455099212
Total OI2,280.4552,1892,3472,2502,347

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$23.04$22.5037.5%10.8%41.7%0.0%0.0%6.7%-2.2%70.2K-1.3M-9.7K0.0094.47N/AN/A201,873377
2008-04-02$23.43$22.5037.5%10.8%40.4%0.0%16.4%7.6%-1.1%74.0K-1.5M-9.9K0.0078.08N/AN/A2501,875377
2008-04-03$23.41$22.5037.2%10.7%40.5%0.0%0.0%8.3%-0.7%77.0K-1.5M-9.9K0.0080.96N/AN/A701,900377
2008-04-04$23.06$22.5038.5%10.5%38.3%0.0%0.0%6.8%-2.9%72.1K-1.4M-9.4K0.0066.84N/AN/A001,907377
2008-04-07$23.18$22.5037.9%10.5%37.1%0.0%0.0%5.1%-3.3%73.7K-1.4M-9.4K0.0070.45N/AN/A001,907377
2008-04-08$22.97$22.5037.2%10.4%37.1%0.0%21.4%6.2%-2.4%72.4K-1.3M-9.3K0.0077.76N/AN/A0261,907377
2008-04-09$22.13$22.5033.9%10.5%37.2%0.0%37.3%11.3%-3.4%58.6K-860.6K-8.1K0.2070.03N/AN/A511,907368
2008-04-10$22.74$22.5034.7%10.0%36.4%0.0%0.0%2.5%-1.9%67.5K-1.1M-8.8K0.0091.83N/AN/A001,907368
2008-04-11$22.21$22.5035.1%10.1%35.9%0.0%28.1%3.1%-2.6%58.6K-882.5K-8.2K0.0094.73N/AN/A011,907368
2008-04-14$22.25$22.5036.4%10.4%34.9%0.0%0.0%1.0%-3.1%56.3K-889.1K-7.9K0.0072.61N/AN/A001,907368
2008-04-15$22.74$22.5036.0%10.3%35.3%0.0%0.0%4.2%-2.4%61.2K-1.1M-8.4K0.0083.37N/AN/A501,907368
2008-04-16$23.41$22.5037.0%10.6%32.5%0.0%0.0%0.0%-3.8%80.0K-1.5M-8.9K0.0079.82N/AN/A001,912368
2008-04-17$23.48$22.5036.5%10.5%32.5%0.0%0.0%7.3%-2.6%82.1K-1.5M-9.0K0.0081.23N/AN/A001,912368
2008-04-18$23.43$22.5036.7%10.5%32.4%0.0%36.6%5.7%-3.6%80.7K-1.5M-8.9K1.5077.69N/AN/A14211,912368
2008-04-21$23.25$22.5034.3%9.8%32.5%0.0%34.7%-0.7%-0.6%82.7K-1.3M-8.6K3.95101.91N/AN/A20791,848341
2008-04-22$23.21$22.5037.2%10.7%31.6%0.0%0.0%6.4%-3.5%79.8K-1.3M-8.5K0.0061.06N/AN/A001,848341
2008-04-23$23.51$22.5036.4%10.4%32.0%0.0%54.6%1.2%-2.8%84.9K-1.3M-9.4K0.1188.02N/AN/A4751,866419
2008-04-24$24.00$22.5024.9%7.1%31.0%0.0%0.0%3.6%3.8%95.1K-1.6M-9.7K0.0078.49N/AN/A2001,898424
2008-04-25$23.89$22.5028.1%8.1%30.9%0.0%29.3%2.9%-0.4%95.0K-1.5M-9.7K1.2180.17N/AN/A14171,910424
2008-04-28$23.48$25.0032.7%9.4%31.2%62.8%32.8%2.5%1.4%91.1K-1.4M-9.3K1.0093.46N/AN/A111,888440
2008-04-29$23.35$25.0033.1%9.5%27.3%64.7%0.0%2.6%-0.5%89.2K-1.3M-9.1K0.0695.60N/AN/A1611,889441
2008-04-30$22.91$25.0031.0%8.9%27.5%55.5%0.0%-3.2%-0.9%82.2K-1.1M-8.8K0.0087.72N/AN/A0121,905442