NNN Options History — August 2008

In August 2008, NNN traded between $21.86 and $23.08. ATM implied volatility averaged 33.8%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 4.3% (HV 20d: 38.1%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.67.

Notable Days

  • 2008-08-05: Highest Volume — 288 contracts
  • 2008-08-18: Largest IV spike — 202.2% change
  • 2008-08-18: Highest IV Rank — 100.0%
  • 2008-08-18: Largest Expected Move — 26.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.60$21.86$23.08$21.86$22.69
Max Pain$20.12$20.00$22.50$22.50$20.00
ATM IV33.8%23.5%93.0%25.9%29.1%
Expected Move9.7%7.4%26.7%7.4%8.3%
HV 20d38.1%28.9%52.1%52.1%30.0%
HV 60d36.8%35.2%37.7%35.3%37.6%
IV Rank44.5%17.1%100.0%42.9%18.8%
IV Percentile47.9%11.8%100.0%22.3%41.3%
Term Structure2.5%-23.8%40.7%8.2%1.4%
VWIV29.3%21.3%31.8%28.9%21.3%
Bid-Ask Spread %108.3589.89181.57117.13100.02
Gamma HHI0.380.340.410.390.41
Net GEX86.0K49.8K116.0K56.6K107.2K
Net DEX-1.2M-1.6M-596.7K-596.7K-1.2M
Net VEX-9.7K-11.1K-7.5K-7.5K-9.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.670.0031.002.931.00
Total Volume64.952028816110
Total OI2,811.8572,2213,0542,2213,054

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$21.86$22.5025.9%7.4%52.1%42.9%0.0%0.0%8.2%56.6K-596.7K-7.5K2.93117.13N/AN/A411201,581640
2008-08-04$22.00$20.0025.8%8.3%51.9%42.4%28.9%0.0%1.2%64.9K-677.6K-8.1K1.7391.60N/AN/A22381,619760
2008-08-05$23.04$20.0023.5%8.6%50.4%34.0%28.2%0.0%0.9%85.2K-1.3M-8.6K1.50100.31N/AN/A1151731,627753
2008-08-06$22.99$20.0032.5%8.6%44.6%67.3%0.0%0.0%2.3%88.9K-1.4M-9.6K0.4093.90N/AN/A126511,729891
2008-08-07$22.17$20.0031.7%9.0%46.2%64.5%0.0%0.0%0.8%72.3K-890.0K-9.9K31.0093.43N/AN/A1311,827932
2008-08-08$22.57$20.0029.8%8.9%46.5%57.5%0.0%0.0%1.3%83.3K-1.2M-10.2K0.0098.16N/AN/A0101,828963
2008-08-11$22.63$20.0031.9%9.1%42.4%65.1%31.6%0.0%1.0%86.5K-1.2M-10.0K0.0099.02N/AN/A4001,828973
2008-08-12$22.85$20.0034.8%9.1%41.6%75.9%31.8%0.0%1.1%92.0K-1.4M-9.9K0.0299.23N/AN/A4511,841973
2008-08-13$22.82$20.0031.0%8.9%35.7%61.7%31.2%0.0%1.2%96.8K-1.4M-10.0K0.0094.48N/AN/A2201,874974
2008-08-14$23.08$20.0030.4%8.7%35.7%59.8%29.1%0.0%2.9%101.3K-1.5M-10.1K0.1189.89N/AN/A100111,874974
2008-08-15$22.98$20.0030.8%8.8%35.4%61.0%30.8%0.0%2.5%103.5K-1.5M-10.3K0.00101.17N/AN/A15201,930975
2008-08-18$22.85$20.0093.0%26.7%35.2%100.0%0.0%0.0%-23.8%49.8K-1.6M-11.1K1.90181.57N/AN/A21401,934935
2008-08-19$22.46$20.0053.2%15.3%35.4%49.4%0.0%0.0%40.7%58.9K-1.3M-11.1K2.55180.17N/AN/A20511,952958
2008-08-20$22.44$20.0030.9%8.9%34.7%21.1%30.9%0.0%0.7%88.1K-1.1M-10.0K2.30100.34N/AN/A10231,953996
2008-08-21$22.07$20.0029.5%8.5%28.9%19.4%0.0%0.0%1.7%77.0K-798.1K-9.7K0.00105.57N/AN/A001,9631,015
2008-08-22$22.65$20.0029.4%8.4%29.5%19.2%0.0%0.0%0.7%95.6K-1.1M-10.2K0.00105.53N/AN/A001,9631,015
2008-08-25$22.13$20.0027.8%8.0%30.3%17.1%0.0%0.0%3.4%87.5K-850.0K-9.5K0.00104.26N/AN/A001,9631,015
2008-08-26$22.60$20.0030.2%8.7%31.0%20.2%0.0%0.0%0.8%95.7K-1.1M-9.8K0.00104.62N/AN/A1201,9631,015
2008-08-27$22.66$20.0029.1%8.3%31.0%18.8%21.3%0.0%1.8%99.3K-1.1M-9.4K0.00104.91N/AN/A2001,9731,015
2008-08-28$23.04$20.0028.5%8.2%31.2%18.0%0.0%0.0%1.7%116.0K-1.4M-9.6K0.00110.12N/AN/A5801,9861,015
2008-08-29$22.69$20.0029.1%8.3%30.0%18.8%0.0%0.0%1.4%107.2K-1.2M-9.8K1.00100.02N/AN/A552,0391,015