NNN Options History — June 2008

In June 2008, NNN traded between $20.75 and $22.70. ATM implied volatility averaged 25.2%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.9% (HV 20d: 24.3%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2008-06-23: Highest Volume — 343 contracts
  • 2008-06-23: Largest IV drop — 48.6% change
  • 2008-06-06: Highest IV Rank — 83.9%
  • 2008-06-12: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.51$20.75$22.70$22.27$20.90
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV25.2%14.3%37.6%28.5%21.3%
Expected Move7.2%4.1%8.8%8.2%6.1%
HV 20d24.3%19.3%27.5%21.3%26.9%
HV 60d27.2%24.9%30.1%30.1%25.1%
IV Rank34.7%0.0%83.9%44.7%25.8%
IV Percentile25.4%0.0%95.5%35.3%7.6%
Term Structure3.2%-2.6%14.8%0.3%4.2%
VWIV22.8%13.9%27.9%27.6%17.3%
Skew 25d1.6%-14.4%11.6%0.6%9.3%
Skew 10d9.7%-2.4%43.8%1.2%11.0%
Call IV 25d32.2%20.0%47.9%26.9%20.0%
Put IV 25d33.8%27.3%57.2%27.5%29.2%
Bid-Ask Spread %81.8963.02102.1796.6290.69
Gamma HHI0.380.350.450.440.36
Net GEX41.5K24.1K75.3K65.0K24.6K
Net DEX-126.1K-603.9K183.7K-528.4K52.6K
Net VEX-5.5K-6.8K-4.5K-6.8K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.008.000.400.70
Total Volume32.09503432817
Total OI2,121.2861,5272,3062,2561,775

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$22.27$22.5028.5%8.2%21.3%44.7%0.0%0.6%0.3%65.0K-528.4K-6.8K0.4096.62N/AN/A2081,752504
2008-06-03$22.24$22.5026.6%7.6%21.3%36.5%0.0%10.8%1.7%61.3K-397.4K-6.6K0.00100.04N/AN/A001,772512
2008-06-04$22.25$22.5027.7%7.9%21.3%41.2%0.0%-0.6%0.5%62.3K-424.1K-6.6K8.00101.82N/AN/A181,772512
2008-06-05$22.70$22.5027.5%7.9%19.3%40.4%0.0%11.6%0.7%75.3K-603.9K-6.7K0.00102.17N/AN/A801,773502
2008-06-06$22.00$22.5037.6%8.0%22.1%83.9%0.0%9.3%-0.7%58.4K-407.9K-6.5K0.0067.90N/AN/A201,765502
2008-06-09$21.26$22.5029.7%8.2%25.2%49.9%0.0%0.0%-1.3%44.1K-106.8K-5.5K1.0064.77N/AN/A10101,763502
2008-06-10$20.91$22.5024.9%8.4%22.3%29.3%0.0%-12.7%0.7%31.7K95.0K-4.8K5.0067.57N/AN/A151,763512
2008-06-11$20.75$22.5026.4%8.4%22.2%35.7%27.6%-14.4%1.6%30.7K49.9K-5.0K1.1069.73N/AN/A20221,763496
2008-06-12$20.99$22.5030.7%8.8%22.6%54.3%0.0%0.5%0.6%24.1K183.7K-4.5K0.0073.50N/AN/A011,763516
2008-06-13$21.31$22.5028.7%8.2%23.4%45.5%0.0%9.3%-2.6%32.1K76.5K-5.1K0.0072.45N/AN/A0131,763515
2008-06-16$21.71$22.5027.6%7.9%24.6%40.6%0.0%0.0%-0.3%45.7K-126.1K-5.5K0.0071.56N/AN/A001,763528
2008-06-17$21.39$22.5028.5%8.2%25.0%44.8%0.0%0.0%-1.1%43.3K-113.8K-5.4K0.0077.09N/AN/A701,763528
2008-06-18$21.32$22.5027.6%7.9%24.8%40.8%27.4%0.0%-1.2%32.9K33.3K-5.1K3.3077.97N/AN/A10331,765528
2008-06-19$21.89$22.5025.1%7.2%26.8%30.3%0.0%0.0%1.7%50.2K-98.3K-5.4K0.0080.22N/AN/A2001,755551
2008-06-20$21.57$22.5027.8%8.0%27.2%41.5%27.9%0.0%-1.1%39.1K-37.1K-5.4K0.0579.84N/AN/A1911,745551
2008-06-23$21.41$22.5014.3%4.1%27.3%0.0%13.9%0.0%13.8%25.1K-48.6K-4.7K0.0390.44N/AN/A333101,106421
2008-06-24$21.38$22.5016.4%4.7%26.1%7.7%0.0%0.0%10.4%35.1K-112.5K-5.4K0.0091.13N/AN/A001,319431
2008-06-25$21.54$22.5015.6%4.5%26.3%4.7%0.0%0.0%12.7%38.2K-156.3K-5.6K1.8292.14N/AN/A11201,319431
2008-06-26$20.95$22.5020.8%6.0%27.5%24.3%0.0%0.0%12.8%25.4K40.0K-4.8K0.0063.02N/AN/A901,322451
2008-06-27$21.00$22.5016.3%4.7%27.5%7.3%0.0%0.0%14.8%27.2K-18.6K-5.2K1.2089.10N/AN/A25301,322451
2008-06-30$20.90$22.5021.3%6.1%26.9%25.8%17.3%0.0%4.2%24.6K52.6K-4.8K0.7090.69N/AN/A1071,314461