NNN Options History — December 2008

In December 2008, NNN traded between $10.53 and $17.19. ATM implied volatility averaged 69.8%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded below realized volatility by 80.9% (HV 20d: 150.7%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 3.69.

Notable Days

  • 2008-12-01: Highest Volume — 650 contracts
  • 2008-12-22: Largest IV spike — 25.6% change
  • 2008-12-01: Highest IV Rank — 44.3%
  • 2008-12-01: Largest Expected Move — 26.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.88$10.53$17.19$10.53$17.19
Max Pain$13.86$12.50$20.00$20.00$12.50
ATM IV69.8%50.3%93.3%93.3%50.3%
Expected Move20.1%14.4%26.8%26.8%14.4%
HV 20d150.7%116.8%168.0%127.2%116.8%
HV 60d119.4%104.6%125.8%104.6%124.8%
IV Rank31.2%20.2%44.3%44.3%20.2%
IV Percentile92.8%81.0%98.8%98.8%81.0%
Term Structure-0.9%-11.2%12.9%-11.2%11.1%
VWIV75.1%50.3%169.7%169.7%50.3%
Skew 25d12.6%-12.9%36.2%36.2%10.2%
Skew 10d19.0%-25.4%45.0%36.6%17.0%
Call IV 25d58.4%41.5%77.2%57.7%55.8%
Put IV 25d70.9%54.5%93.9%93.9%66.0%
Bid-Ask Spread %69.2228.86107.27104.8828.86
Gamma HHI0.240.200.300.270.20
Net GEX-4.9K-11.9K6.0K-1.4K6.0K
Net DEX811.9K73.3K1.2M1.0M73.3K
Net VEX-5.9K-7.6K-2.5K-2.5K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.690.0064.0064.000.00
Total Volume80.50650650134
Total OI3,200.8182,6083,5022,8282,991

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$10.53$20.0093.3%26.8%127.2%44.3%169.7%36.2%-11.2%-1.4K1.0M-2.5K64.00104.88N/AN/A106401,5881,240
2008-12-02$12.28$20.0080.6%23.1%142.4%37.2%0.0%11.7%-3.4%-7.0K1.1M-5.2K0.0098.54N/AN/A001,5881,700
2008-12-03$13.19$20.0076.1%21.8%145.3%34.7%0.0%2.4%12.9%-8.4K1.2M-5.2K1.33105.38N/AN/A12161,5881,700
2008-12-04$12.82$20.0082.4%23.6%140.5%38.2%0.0%18.6%-3.2%-7.4K1.1M-5.3K0.00107.27N/AN/A201,6001,714
2008-12-05$14.08$12.5065.4%19.8%145.3%28.7%74.4%17.0%-2.9%-9.1K1.1M-6.0K0.1171.14N/AN/A1821,6021,714
2008-12-08$15.19$12.5075.1%20.3%146.5%34.1%0.0%15.7%-5.6%-11.9K1.0M-5.8K0.0480.72N/AN/A4521,6201,716
2008-12-09$13.92$12.5071.5%20.7%145.6%32.1%0.0%15.3%-5.8%-7.4K1.1M-6.0K0.0070.83N/AN/A001,6581,714
2008-12-10$15.12$12.5061.4%20.0%148.3%26.4%0.0%9.9%-4.6%-11.2K1.1M-5.8K0.0369.16N/AN/A6021,6581,714
2008-12-11$13.08$12.5075.6%21.7%156.7%34.4%72.8%19.7%-2.0%-7.4K1.2M-4.5K0.0053.11N/AN/A3001,7081,712
2008-12-12$14.43$12.5067.8%19.4%160.5%30.0%68.7%-12.9%-1.3%-4.6K1.0M-5.9K5.0066.21N/AN/A2101,7281,712
2008-12-15$13.34$12.5077.4%22.2%159.8%35.4%0.0%14.7%-1.9%-8.0K1.2M-4.7K0.2071.25N/AN/A1021,7291,722
2008-12-16$15.60$12.5069.7%20.0%167.9%31.1%0.0%16.3%-0.7%-5.4K972.2K-6.0K0.8267.96N/AN/A22181,7321,723
2008-12-17$15.92$12.5070.8%20.3%168.0%31.7%0.0%14.9%-1.0%-5.9K861.0K-6.3K0.0067.48N/AN/A5201,7541,712
2008-12-18$15.36$12.5069.4%19.9%164.3%30.9%0.0%9.7%-3.2%-3.9K989.1K-5.8K0.5673.13N/AN/A48271,7561,712
2008-12-19$16.57$12.5054.6%15.7%162.3%22.6%53.1%15.7%6.2%-6.2K752.7K-6.8K0.3052.59N/AN/A76231,7801,722
2008-12-22$16.24$12.5068.6%19.7%162.0%30.5%64.5%1.6%0.4%-6.9K464.2K-6.4K0.0089.43N/AN/A28501,1681,440
2008-12-23$16.47$12.5064.8%18.6%158.2%28.3%68.6%1.6%-0.9%-1.3K296.3K-7.2K0.0048.80N/AN/A4201,4161,440
2008-12-24$16.64$12.5064.2%18.4%158.1%28.0%64.7%15.8%-0.9%19254.6K-7.2K0.0049.80N/AN/A2501,4501,440
2008-12-26$16.62$12.5064.1%18.4%156.8%28.0%0.0%12.6%0.3%-213280.9K-7.0K0.0049.56N/AN/A4001,4691,440
2008-12-29$16.02$12.5069.7%20.0%157.2%31.1%0.0%12.6%0.9%-411399.8K-6.8K1.3342.83N/AN/A15201,4891,440
2008-12-30$16.77$12.5063.7%18.3%126.5%27.7%64.0%17.4%-2.6%-719288.9K-6.8K0.0354.01N/AN/A7921,4891,430
2008-12-31$17.19$12.5050.3%14.4%116.8%20.2%50.3%10.2%11.1%6.0K73.3K-7.6K0.0028.86N/AN/A13401,5611,430