NNN Options History — September 2008

In September 2008, NNN traded between $21.84 and $24.57. ATM implied volatility averaged 38.7%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 1.1% (HV 20d: 39.8%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.81.

Notable Days

  • 2008-09-23: Highest Volume — 393 contracts
  • 2008-09-29: Largest IV spike — 312.8% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 35.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.06$21.84$24.57$22.85$23.95
Max Pain$21.90$20.00$25.00$20.00$25.00
ATM IV38.7%23.2%123.4%31.3%31.4%
Expected Move11.2%6.6%35.4%9.0%9.0%
HV 20d39.8%23.1%60.2%30.0%60.2%
HV 60d41.1%36.4%48.2%37.1%48.2%
IV Rank28.9%11.3%100.0%21.6%15.7%
IV Percentile51.8%9.3%100.0%51.9%54.3%
Term Structure-8.8%-88.4%8.7%0.1%-12.1%
VWIV52.5%24.8%99.8%30.4%30.7%
Bid-Ask Spread %118.7381.33189.15109.83133.37
Gamma HHI0.470.330.810.410.45
Net GEX92.9K30.8K234.3K114.9K53.0K
Net DEX-1.2M-2.9M-534.3K-1.4M-1.4M
Net VEX-8.7K-10.7K-6.0K-9.3K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.0019.000.001.73
Total Volume610393135
Total OI2,784.9051,7173,1123,0542,418

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$22.85$20.0031.3%9.0%30.0%21.6%0.0%0.0%0.1%114.9K-1.4M-9.3K0.00109.83N/AN/A102,0391,015
2008-09-03$22.89$20.0030.4%8.7%25.0%20.4%0.0%0.0%-0.1%119.3K-1.4M-9.0K0.00112.07N/AN/A1002,0401,015
2008-09-04$22.32$20.0029.7%8.5%26.5%19.6%0.0%0.0%-0.0%103.2K-925.2K-9.3K0.00113.91N/AN/A092,0501,015
2008-09-05$22.31$22.5030.0%8.9%23.1%20.0%0.0%0.0%-0.2%101.1K-891.2K-9.1K0.0093.10N/AN/A0152,0501,020
2008-09-08$23.06$22.5028.0%8.9%25.2%17.4%0.0%0.0%1.1%129.8K-1.5M-9.0K0.00106.99N/AN/A202,0501,025
2008-09-09$22.49$22.5030.2%8.8%26.8%20.2%0.0%0.0%0.0%115.7K-945.1K-8.6K0.2998.86N/AN/A35102,0521,025
2008-09-10$22.58$22.5030.1%8.8%26.6%20.1%0.0%0.0%0.7%121.9K-1.1M-8.8K0.00100.25N/AN/A2302,0871,025
2008-09-11$22.63$22.5030.4%8.7%26.6%20.5%0.0%0.0%0.5%127.8K-1.1M-8.5K0.0097.41N/AN/A502,0671,025
2008-09-12$23.00$22.5029.8%8.5%27.0%19.7%0.0%0.0%1.9%133.1K-1.4M-8.5K0.00102.02N/AN/A002,0711,025
2008-09-15$21.84$22.5030.4%8.7%32.6%20.5%0.0%0.0%1.1%100.3K-696.0K-8.0K0.00104.32N/AN/A002,0711,025
2008-09-16$22.97$22.5031.3%9.0%37.6%21.7%0.0%0.0%0.7%138.7K-1.4M-8.1K0.0081.33N/AN/A5002,0711,025
2008-09-17$21.92$22.5030.4%8.7%40.8%20.5%30.4%0.0%0.9%103.4K-534.3K-7.7K0.00108.40N/AN/A3902,0671,025
2008-09-18$23.93$22.5090.0%25.8%51.6%96.2%76.7%0.0%-84.6%34.4K-2.1M-8.4K3.00187.20N/AN/A10302,0851,025
2008-09-19$24.57$20.0023.2%6.6%51.6%11.3%24.8%0.0%4.9%234.3K-2.9M-7.0K0.49109.78N/AN/A82402,0951,005
2008-09-22$23.42$20.0031.2%8.9%54.3%21.5%0.0%0.0%0.4%31.0K-768.0K-6.0K0.18110.41N/AN/A8415910807
2008-09-23$23.70$20.0023.9%6.8%53.6%12.2%0.0%0.0%8.7%32.4K-967.3K-7.4K0.00117.56N/AN/A39301,017799
2008-09-24$23.54$20.0033.3%9.6%53.3%24.2%0.0%0.0%1.0%49.2K-1.1M-10.1K19.00114.10N/AN/A5951,403799
2008-09-25$23.76$20.0064.6%18.5%53.4%63.9%99.8%0.0%-10.5%33.6K-1.3M-10.7K2.40171.52N/AN/A431031,408884
2008-09-26$23.87$25.0029.9%8.6%53.1%19.8%30.7%0.0%-11.4%43.6K-1.3M-10.3K1.73131.69N/AN/A52901,451984
2008-09-29$22.60$25.00123.4%35.4%56.5%100.0%0.0%0.0%-88.4%30.8K-740.6K-10.4K0.00189.15N/AN/A051,449964
2008-09-30$23.95$25.0031.4%9.0%60.2%15.7%0.0%0.0%-12.1%53.0K-1.4M-9.1K0.00133.37N/AN/A0351,449969