NNN Options History — May 2008

In May 2008, NNN traded between $21.96 and $23.25. ATM implied volatility averaged 29.0%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 5.1% (HV 20d: 23.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2008-05-05: Highest Volume — 61 contracts
  • 2008-05-02: Largest IV spike — 42.5% change
  • 2008-05-08: Highest IV Rank — 71.0%
  • 2008-05-02: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.66$21.96$23.25$23.25$22.71
Max Pain$22.74$22.50$25.00$25.00$22.50
ATM IV29.0%22.8%34.6%22.8%26.3%
Expected Move8.0%6.5%9.3%6.5%7.5%
HV 20d23.9%20.4%28.1%28.1%20.4%
HV 60d34.7%30.7%37.4%37.4%30.7%
IV Rank46.8%20.2%71.0%20.2%35.2%
IV Percentile33.5%7.8%67.2%7.8%25.5%
Term Structure0.4%-4.0%6.0%6.0%2.2%
VWIV25.0%14.8%30.1%28.7%26.3%
Skew 25d2.7%-8.5%10.8%0.9%2.1%
Skew 10d1.6%-7.7%18.8%-3.1%2.9%
Call IV 25d24.0%18.0%31.1%26.5%23.5%
Put IV 25d26.6%22.6%34.1%27.4%25.6%
Bid-Ask Spread %94.1581.77120.18120.1899.03
Gamma HHI0.520.460.620.620.47
Net GEX73.0K55.5K90.3K89.7K77.2K
Net DEX-774.3K-1.1M-380.9K-1.1M-673.5K
Net VEX-7.7K-8.7K-6.9K-8.5K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.003.070.020.75
Total Volume19.7620614310
Total OI2,345.812,1732,4972,3592,246

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$23.25$25.0022.8%6.5%28.1%20.2%0.0%0.9%6.0%89.7K-1.1M-8.5K0.02120.18N/AN/A4211,905454
2008-05-02$23.07$25.0032.5%9.3%27.7%61.9%0.0%-1.3%-4.0%90.3K-1.1M-8.7K0.0092.10N/AN/A001,947455
2008-05-05$22.96$22.5033.5%8.3%27.6%66.4%28.7%0.1%-2.0%88.2K-999.2K-8.6K3.0791.55N/AN/A15461,947455
2008-05-06$23.04$22.5034.0%8.7%27.5%68.6%30.1%1.4%-2.7%88.8K-1.0M-8.7K0.0091.43N/AN/A501,959489
2008-05-07$22.31$22.5034.2%8.0%26.6%69.3%27.9%3.9%-2.1%70.6K-637.5K-7.6K0.6095.51N/AN/A20121,963480
2008-05-08$22.07$22.5034.6%7.8%24.9%71.0%0.0%3.1%-0.1%61.7K-443.7K-7.2K1.0094.41N/AN/A331,963490
2008-05-09$21.96$22.5032.4%8.4%23.6%61.3%29.2%-8.5%-2.0%55.5K-380.9K-7.1K1.3385.89N/AN/A341,966493
2008-05-12$22.68$22.5031.8%7.8%26.3%58.8%16.2%6.0%0.6%65.4K-782.9K-7.9K0.0099.79N/AN/A5201,967496
2008-05-13$22.70$22.5029.8%8.5%25.1%50.2%0.0%7.1%-2.3%62.8K-784.0K-8.0K0.0097.37N/AN/A2001,967496
2008-05-14$22.86$22.5025.9%8.5%22.8%33.4%0.0%-0.8%-2.4%66.6K-881.1K-8.2K0.0085.86N/AN/A2401,987496
2008-05-15$22.99$22.5030.5%8.8%22.9%53.5%0.0%10.8%-2.1%73.9K-945.2K-8.1K0.00100.19N/AN/A1002,001496
2008-05-16$22.77$22.5028.5%8.2%23.1%44.9%0.0%1.0%-1.1%63.7K-920.6K-8.2K0.0089.37N/AN/A042,001496
2008-05-19$22.72$22.5027.4%7.8%23.0%39.9%26.1%6.2%1.7%74.0K-863.9K-7.7K0.6295.90N/AN/A21131,728445
2008-05-20$22.48$22.5027.7%7.9%23.3%41.3%0.0%-3.1%1.1%69.2K-734.4K-7.7K0.0089.64N/AN/A1301,747458
2008-05-21$22.35$22.5025.7%7.4%22.7%32.8%25.3%2.1%3.4%71.0K-641.4K-7.2K0.0098.37N/AN/A3701,760458
2008-05-22$22.35$22.5026.2%7.5%21.0%34.9%0.0%2.9%3.2%67.9K-600.9K-7.0K0.0085.00N/AN/A021,737458
2008-05-23$22.27$22.5028.1%8.1%21.0%43.0%0.0%1.0%0.3%67.9K-565.3K-7.1K0.0096.13N/AN/A001,737460
2008-05-27$22.71$22.5026.2%7.5%21.8%34.7%0.0%3.8%3.5%74.1K-646.5K-6.9K0.0090.07N/AN/A0201,737460
2008-05-28$22.73$22.5024.2%6.9%21.8%26.2%14.8%7.0%4.5%75.2K-758.0K-7.3K0.7581.77N/AN/A20151,737479
2008-05-29$22.91$22.5026.3%7.5%21.0%35.2%0.0%10.0%2.1%78.7K-780.2K-7.1K0.0097.56N/AN/A001,752494
2008-05-30$22.71$22.5026.3%7.5%20.4%35.2%26.3%2.1%2.2%77.2K-673.5K-7.2K0.0099.03N/AN/A0101,752494