NNN Options History — July 2008

In July 2008, NNN traded between $19.60 and $21.96. ATM implied volatility averaged 28.9%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 12.8% (HV 20d: 41.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2008-07-22: Highest Volume — 169 contracts
  • 2008-07-22: Largest IV drop — 38.1% change
  • 2008-07-28: Highest IV Rank — 89.3%
  • 2008-07-28: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.85$19.60$21.96$21.04$21.14
Max Pain$22.27$20.00$22.50$22.50$22.50
ATM IV28.9%18.5%38.4%18.5%29.0%
Expected Move8.2%5.3%11.0%5.3%8.3%
HV 20d41.8%24.2%51.5%27.1%51.0%
HV 60d30.9%23.5%35.2%25.1%35.1%
IV Rank54.1%15.5%89.3%15.5%54.3%
IV Percentile40.9%2.9%98.4%2.9%42.2%
Term Structure2.1%-21.2%12.3%12.3%3.2%
VWIV26.4%21.2%31.6%21.2%25.3%
Bid-Ask Spread %97.4625.42127.3990.52114.84
Gamma HHI0.360.350.390.360.38
Net GEX27.6K7.5K50.9K25.4K42.5K
Net DEX-43.0K-535.6K344.7K40.8K-338.6K
Net VEX-5.4K-7.0K-4.1K-4.9K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.001.820.861.42
Total Volume43.501693987
Total OI1,955.2731,7762,1571,7762,157

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$21.04$22.5018.5%5.3%27.1%15.5%0.0%0.0%12.3%25.4K40.8K-4.9K0.8690.52N/AN/A21181,314462
2008-07-02$20.71$22.5021.7%6.2%27.5%27.5%0.0%0.0%3.7%21.8K120.7K-4.9K0.0073.63N/AN/A001,330480
2008-07-03$20.53$22.5023.2%6.7%26.0%33.0%0.0%0.0%5.3%18.7K177.0K-4.5K0.0048.03N/AN/A001,330480
2008-07-07$20.35$20.0027.8%8.3%24.2%50.0%0.0%0.0%1.2%15.3K232.6K-4.3K0.0282.95N/AN/A6611,330480
2008-07-08$21.57$20.0033.0%5.4%30.3%69.3%21.2%0.0%8.8%44.0K-279.9K-5.9K0.00127.39N/AN/A0581,353480
2008-07-09$20.31$22.5025.4%8.3%36.9%40.9%0.0%0.0%0.2%15.4K195.6K-4.4K0.6125.42N/AN/A33201,353488
2008-07-10$20.89$22.5032.3%9.3%38.2%66.8%31.6%0.0%-1.2%18.6K110.3K-4.7K0.3568.51N/AN/A60211,358508
2008-07-11$20.87$22.5032.9%9.4%38.0%68.8%29.0%0.0%-0.4%26.2K-1.2K-5.4K0.0083.11N/AN/A4001,414519
2008-07-14$19.91$22.5032.7%9.4%41.0%68.2%0.0%0.0%0.6%9.9K273.3K-4.4K0.00101.38N/AN/A2701,452519
2008-07-15$19.60$22.5030.9%8.9%40.3%61.4%0.0%0.0%2.9%7.5K344.7K-4.1K0.00100.66N/AN/A031,453519
2008-07-16$20.92$22.5032.3%9.3%47.2%66.7%0.0%0.0%1.8%26.1K-47.4K-5.4K1.10109.34N/AN/A10111,453522
2008-07-17$20.86$22.5032.2%9.2%47.2%66.4%0.0%0.0%1.1%23.9K11.5K-5.1K0.00104.76N/AN/A001,458521
2008-07-18$20.65$22.5032.1%9.2%46.1%65.9%0.0%0.0%1.1%18.9K76.8K-5.0K0.00105.95N/AN/A001,458521
2008-07-21$21.05$22.5033.2%9.5%46.5%69.9%0.0%0.0%0.2%27.8K-52.5K-5.1K0.00108.14N/AN/A3301,383488
2008-07-22$21.49$22.5020.5%5.9%47.1%23.2%0.0%0.0%10.8%37.3K-245.5K-5.5K0.31116.18N/AN/A129401,411488
2008-07-23$21.96$22.5022.7%6.5%47.7%31.2%25.1%0.0%2.7%50.9K-535.6K-7.0K0.00106.45N/AN/A1401,540528
2008-07-24$20.81$22.5031.0%8.9%51.5%61.8%0.0%0.0%1.2%29.2K-66.2K-5.9K0.00111.38N/AN/A101,548528
2008-07-25$21.22$22.5029.4%8.4%51.0%56.0%0.0%0.0%-1.3%37.3K-232.5K-6.2K0.00116.58N/AN/A1501,548528
2008-07-28$20.91$22.5038.4%11.0%51.3%89.3%25.3%0.0%-21.2%41.4K-344.8K-6.3K1.82116.67N/AN/A33601,548528
2008-07-29$20.93$22.5028.4%8.2%51.3%52.4%0.0%0.0%6.8%34.5K-179.4K-6.2K0.57116.28N/AN/A94541,515567
2008-07-30$20.95$22.5028.4%8.1%51.2%52.3%0.0%0.0%7.1%34.7K-206.4K-6.6K0.00116.04N/AN/A801,567589
2008-07-31$21.14$22.5029.0%8.3%51.0%54.3%0.0%0.0%3.2%42.5K-338.6K-6.8K1.42114.84N/AN/A36511,568589