NNN Options History — October 2008

In October 2008, NNN traded between $14.53 and $23.66. ATM implied volatility averaged 57.6%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 27.6% (HV 20d: 85.1%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 2.65.

Notable Days

  • 2008-10-08: Highest Volume — 183 contracts
  • 2008-10-09: Largest IV spike — 112.3% change
  • 2008-10-10: Highest IV Rank — 100.0%
  • 2008-10-09: Largest Expected Move — 28.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.66$14.53$23.66$23.66$17.83
Max Pain$22.83$22.50$25.00$25.00$22.50
ATM IV57.6%29.8%192.5%29.8%47.4%
Expected Move14.3%8.5%28.9%8.5%13.6%
HV 20d85.1%60.4%113.0%60.4%113.0%
HV 60d59.3%46.2%75.4%46.9%75.4%
IV Rank28.2%14.0%100.0%14.2%18.6%
IV Percentile93.6%42.6%100.0%42.6%91.7%
Term Structure0.1%-60.3%20.9%7.4%3.4%
VWIV42.4%34.0%50.9%34.0%49.4%
Skew 25d7.4%1.1%14.5%7.0%6.7%
Skew 10d8.1%-3.7%22.4%8.3%13.3%
Call IV 25d41.6%35.2%48.4%35.6%45.3%
Put IV 25d48.9%40.3%54.7%42.6%51.9%
Bid-Ask Spread %124.76111.32167.74118.71123.10
Gamma HHI0.310.270.380.370.30
Net GEX3.8K-7.9K45.5K45.5K-5.3K
Net DEX474.1K-1.0M1.2M-1.0M605.3K
Net VEX-7.7K-10.1K-4.4K-10.1K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.650.0011.006.675.00
Total Volume42.30401836960
Total OI2,590.1742,4232,8202,4272,820

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$23.66$25.0029.8%8.5%60.4%14.2%34.0%0.0%7.4%45.5K-1.0M-10.1K6.67118.71N/AN/A9601,449978
2008-10-02$22.58$25.0039.4%11.3%62.1%23.0%41.8%0.0%-8.3%41.1K-742.8K-9.4K0.00139.51N/AN/A0101,445978
2008-10-03$21.43$25.0039.0%11.2%64.9%22.7%50.9%0.0%-13.4%26.2K-161.7K-8.9K2.73134.21N/AN/A22601,445978
2008-10-06$20.99$22.5047.9%10.4%63.8%30.8%36.3%0.0%-1.3%19.9K30.9K-8.4K1.10124.28N/AN/A40441,447988
2008-10-07$20.25$22.5047.4%10.7%64.4%30.4%0.0%0.0%-2.2%9.6K311.5K-8.2K0.00116.89N/AN/A0251,4521,025
2008-10-08$19.79$22.5047.4%12.9%64.6%30.4%45.1%0.0%2.2%9.2K350.4K-8.8K6.96111.32N/AN/A231601,4521,040
2008-10-09$17.75$22.50100.8%28.9%73.9%79.3%0.0%0.0%-22.1%2.2K422.9K-8.9K1.00166.22N/AN/A10101,4651,179
2008-10-10$18.99$22.50192.5%27.6%78.6%100.0%0.0%0.0%-60.3%3.1K340.4K-9.3K0.86167.74N/AN/A28241,4551,169
2008-10-13$20.22$22.5058.4%13.3%81.0%24.7%0.0%7.0%-0.6%7.2K240.8K-9.1K0.00114.94N/AN/A001,4571,174
2008-10-14$19.88$22.5061.4%13.0%78.5%26.4%0.0%1.3%-0.6%2.5K412.7K-8.6K0.00116.32N/AN/A0341,4571,174
2008-10-15$17.10$22.5080.8%14.1%92.8%37.3%0.0%1.1%4.1%-7.9K950.2K-6.2K0.00118.79N/AN/A021,4571,176
2008-10-16$18.42$22.5049.7%14.3%91.0%19.9%0.0%11.7%5.3%-4.5K763.8K-7.3K11.00118.22N/AN/A1111,4571,176
2008-10-17$18.13$22.5049.2%14.1%89.8%19.6%0.0%9.1%4.2%-6.9K859.2K-7.1K0.00116.27N/AN/A001,4571,185
2008-10-20$18.75$22.5048.5%13.9%90.5%19.2%0.0%14.5%5.3%-3.0K517.9K-7.7K0.00120.65N/AN/A1001,4151,115
2008-10-21$18.34$22.5050.1%14.4%90.1%20.1%39.2%12.2%7.2%-6.0K670.6K-7.2K0.00119.11N/AN/A801,4251,115
2008-10-22$17.86$22.5050.1%14.4%90.2%20.1%0.0%7.5%8.2%-6.5K720.2K-6.8K0.00117.90N/AN/A001,4331,115
2008-10-23$16.83$22.5047.8%13.7%91.2%18.8%0.0%1.6%14.6%-5.1K806.0K-6.3K1.60119.03N/AN/A50801,4331,115
2008-10-24$15.77$22.5055.5%15.9%92.3%23.1%0.0%11.3%4.1%-7.2K1.0M-5.5K0.00117.89N/AN/A1001,4611,193
2008-10-27$14.53$22.5043.7%12.5%94.1%16.5%0.0%6.4%15.0%-7.0K1.2M-4.4K0.00118.55N/AN/A4001,4611,193
2008-10-28$16.90$22.5039.3%11.3%109.2%14.0%49.4%10.4%20.9%-6.5K922.2K-6.5K1.50123.28N/AN/A10151,5011,193
2008-10-29$16.16$22.5049.8%14.3%109.6%19.9%0.0%6.6%1.2%-6.4K949.4K-6.2K3.50124.42N/AN/A10351,5101,207
2008-10-30$17.10$22.5048.5%13.9%112.3%19.2%0.0%3.3%8.3%-6.3K782.6K-7.2K0.44122.12N/AN/A50221,5121,242
2008-10-31$17.83$22.5047.4%13.6%113.0%18.6%0.0%6.7%3.4%-5.3K605.3K-8.1K5.00123.10N/AN/A10501,5611,259