NNN Options History — November 2008

In November 2008, NNN traded between $10.76 and $17.85. ATM implied volatility averaged 59.1%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 48.9% (HV 20d: 108.0%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 1.98.

Notable Days

  • 2008-11-24: Highest Volume — 95 contracts
  • 2008-11-13: Largest IV drop — 28.7% change
  • 2008-11-20: Highest IV Rank — 30.5%
  • 2008-11-20: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.02$10.76$17.85$17.51$13.41
Max Pain$20.53$20.00$22.50$22.50$20.00
ATM IV59.1%45.4%68.7%50.3%67.0%
Expected Move16.7%13.0%19.7%14.4%19.2%
HV 20d108.0%99.3%119.3%112.9%100.5%
HV 60d84.3%75.3%93.1%75.3%93.1%
IV Rank25.1%17.4%30.5%20.2%29.6%
IV Percentile95.4%88.1%97.6%95.6%97.2%
Term Structure-1.2%-15.3%14.4%3.6%8.0%
VWIV75.7%53.5%122.8%65.7%85.9%
Skew 25d6.0%-4.8%20.7%5.8%7.6%
Skew 10d1.8%-21.9%17.6%9.8%13.4%
Call IV 25d56.9%40.4%84.2%49.1%61.9%
Put IV 25d62.9%51.7%79.3%55.0%69.5%
Bid-Ask Spread %119.92106.22126.26125.01106.22
Gamma HHI0.410.310.520.310.33
Net GEX-6.4K-9.2K-2.9K-6.1K-4.1K
Net DEX1.1M658.8K1.3M658.8K1.0M
Net VEX-4.2K-8.4K-1.2K-8.4K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.006.506.501.00
Total Volume26.6840951060
Total OI2,819.6842,7292,8802,8702,778

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$17.51$22.5050.3%14.4%112.9%20.2%0.0%5.8%3.6%-6.1K658.8K-8.4K0.00125.01N/AN/A0101,5611,309
2008-11-04$17.85$22.5045.4%13.0%112.9%17.4%0.0%11.6%7.4%-7.5K679.9K-8.1K0.00126.26N/AN/A001,5611,319
2008-11-05$15.90$22.5053.8%15.4%119.3%22.2%0.0%4.9%-7.5%-8.0K995.1K-6.5K0.00122.42N/AN/A0101,5611,319
2008-11-06$15.64$22.5052.9%15.2%113.6%21.6%0.0%5.0%0.7%-8.9K1.1M-6.2K6.50121.36N/AN/A2131,5611,319
2008-11-07$16.57$20.0049.0%16.4%112.9%19.5%0.0%2.1%-1.8%-8.6K942.3K-6.8K0.00117.09N/AN/A031,5611,308
2008-11-10$15.02$20.0057.6%16.7%114.2%24.3%65.7%10.8%-0.5%-8.6K1.2M-5.4K0.00114.37N/AN/A011,5611,308
2008-11-11$14.52$20.0059.2%16.4%114.3%25.2%70.3%8.2%-2.9%-9.2K1.2M-4.5K0.00115.42N/AN/A1001,5611,278
2008-11-12$13.97$20.0065.9%13.1%103.2%28.9%53.5%10.8%14.4%-8.1K1.3M-3.7K0.25122.72N/AN/A2051,5511,278
2008-11-13$14.34$20.0047.0%13.5%99.3%18.3%0.0%1.9%7.3%-8.5K1.3M-4.0K0.00122.09N/AN/A7501,5411,281
2008-11-14$13.12$20.0056.6%16.2%102.9%23.7%0.0%5.2%-0.9%-6.6K1.3M-2.8K2.00122.63N/AN/A10201,5041,281
2008-11-17$12.54$20.0065.0%18.6%101.7%28.5%0.0%4.3%-9.0%-5.9K1.3M-2.3K0.00121.73N/AN/A001,5141,291
2008-11-18$12.73$20.0064.7%18.6%102.4%28.3%0.0%2.5%-11.2%-6.1K1.3M-2.6K0.00122.90N/AN/A001,5141,271
2008-11-19$11.58$20.0060.1%17.2%106.0%25.7%68.8%8.0%-15.3%-3.7K1.3M-1.4K5.50118.73N/AN/A2111,5141,271
2008-11-20$10.76$20.0068.7%19.7%106.7%30.5%122.8%0.1%-12.3%-2.9K1.3M-1.2K2.36122.51N/AN/A11261,5161,282
2008-11-21$11.51$20.0062.5%17.9%110.0%27.0%63.2%2.4%-6.1%-3.7K1.3M-2.1K0.09120.43N/AN/A6561,5111,298
2008-11-24$12.86$20.0066.6%19.1%115.8%29.3%85.9%-4.8%5.0%-6.7K1.2M-2.8K4.59120.16N/AN/A17781,5211,265
2008-11-25$12.83$20.0066.2%19.0%99.9%29.1%0.0%20.7%-5.2%-4.3K1.1M-3.1K1.50123.85N/AN/A20301,5361,193
2008-11-26$13.74$20.0064.4%18.5%103.2%28.1%0.0%6.9%3.5%-4.4K1.0M-4.3K0.00112.61N/AN/A201,5561,220
2008-11-28$13.41$20.0067.0%19.2%100.5%29.6%0.0%7.6%8.0%-4.1K1.0M-4.0K1.00106.22N/AN/A30301,5581,220