NNN Options History — January 2009

In January 2009, NNN traded between $14.02 and $16.74. ATM implied volatility averaged 66.1%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 17.8% (HV 20d: 83.9%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 4.44.

Notable Days

  • 2009-01-26: Highest Volume — 353 contracts
  • 2009-01-05: Largest IV spike — 26.7% change
  • 2009-01-15: Highest IV Rank — 34.3%
  • 2009-01-14: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.45$14.02$16.74$16.50$14.43
Max Pain$15.00$12.50$17.50$12.50$15.00
ATM IV66.1%49.2%75.3%49.2%62.4%
Expected Move19.5%14.1%22.2%14.1%17.9%
HV 20d83.9%56.4%116.6%116.6%76.4%
HV 60d119.2%114.7%124.9%124.9%115.5%
IV Rank29.1%19.6%34.3%19.6%27.0%
IV Percentile88.2%78.6%95.2%78.6%80.6%
Term Structure-1.1%-7.0%7.1%6.7%1.6%
VWIV68.8%54.7%83.7%56.5%65.1%
Skew 25d16.5%13.2%20.6%13.2%16.4%
Skew 10d38.6%21.0%51.7%21.0%23.8%
Call IV 25d57.5%50.4%64.8%52.4%58.1%
Put IV 25d74.1%65.6%81.4%65.6%74.5%
Bid-Ask Spread %50.7932.0073.8535.5854.51
Gamma HHI0.240.210.280.250.28
Net GEX-4.3K-21.9K10.3K10.2K4.8K
Net DEX507.1K-149.7K835.0K155.1K558.2K
Net VEX-6.0K-7.1K-5.0K-5.7K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.440.0032.500.631.04
Total Volume124.3535326153
Total OI3,416.453,0644,1433,0644,143

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$16.50$12.5049.2%14.1%116.6%19.6%56.5%13.2%6.7%10.2K155.1K-5.7K0.6335.58N/AN/A16101,6341,430
2009-01-05$16.07$17.5062.4%19.0%116.5%27.0%65.4%15.4%-6.1%8.1K279.0K-5.3K1.6351.29N/AN/A32521,6351,440
2009-01-06$16.74$15.0055.1%17.3%113.0%22.9%0.0%16.1%-2.2%6.0K232.0K-6.6K0.0051.98N/AN/A2601,6371,459
2009-01-07$16.25$15.0059.4%18.9%110.9%25.3%65.0%15.9%-5.8%4.4K388.4K-6.3K6.2553.40N/AN/A8501,6581,459
2009-01-08$16.08$15.0072.0%20.0%105.8%32.4%62.2%14.9%-1.6%6.5K293.1K-5.4K32.5039.31N/AN/A61951,6601,509
2009-01-09$15.47$15.0062.0%19.5%103.0%26.8%68.2%16.7%0.2%-12.1K625.6K-6.0K6.6838.63N/AN/A251671,6661,691
2009-01-12$15.05$15.0067.1%20.7%88.3%29.6%80.2%20.6%-1.4%-17.0K734.1K-6.0K8.4657.93N/AN/A131101,6811,723
2009-01-13$15.67$15.0072.1%21.7%82.6%32.5%83.7%18.2%-5.4%-16.6K584.0K-6.4K20.0033.56N/AN/A1201,6891,833
2009-01-14$14.98$15.0069.0%22.2%78.9%30.7%0.0%16.6%-0.7%-21.9K761.4K-6.1K0.0032.00N/AN/A501,6901,853
2009-01-15$15.46$15.0075.3%21.6%56.6%34.3%75.2%13.5%-6.5%-10.1K528.9K-6.0K0.8057.71N/AN/A15121,6951,846
2009-01-16$15.71$15.0075.0%21.5%56.4%34.1%0.0%13.5%-6.2%-19.7K546.7K-6.2K0.6149.50N/AN/A85521,7101,857
2009-01-20$14.02$15.0074.5%21.4%68.4%33.8%54.7%17.4%-7.0%-10.2K835.0K-5.0K0.3473.21N/AN/A65221,4881,673
2009-01-21$15.27$15.0070.0%20.1%69.9%31.3%80.3%19.7%0.6%-10.4K725.2K-5.9K3.7448.10N/AN/A271011,5451,695
2009-01-22$14.65$15.0068.6%19.7%71.0%30.5%72.0%17.8%0.5%-9.0K800.1K-5.4K0.4850.12N/AN/A21101,5711,627
2009-01-23$14.92$15.0070.1%20.1%71.2%31.3%73.6%18.4%-0.7%-8.4K696.2K-5.8K0.8154.77N/AN/A1241011,5821,634
2009-01-26$14.88$15.0065.9%18.9%70.9%29.0%64.1%19.1%7.1%-8.4K794.4K-5.5K0.1949.08N/AN/A296571,6901,704
2009-01-27$15.37$15.0065.5%18.8%72.2%28.7%65.1%15.8%-0.6%1.7K477.3K-6.3K0.0154.20N/AN/A20131,9351,686
2009-01-28$16.23$15.0065.0%18.6%73.9%28.4%65.1%16.1%1.1%10.3K-149.7K-7.1K4.4957.01N/AN/A612742,1221,683
2009-01-29$15.18$15.0061.8%17.7%75.6%26.7%0.0%15.2%4.0%6.3K276.9K-7.0K0.1773.85N/AN/A60102,1671,929
2009-01-30$14.43$15.0062.4%17.9%76.4%27.0%0.0%16.4%1.6%4.8K558.2K-6.6K1.0454.51N/AN/A75782,2141,929