NNN Options History — February 2009

In February 2009, NNN traded between $13.98 and $16.38. ATM implied volatility averaged 61.4%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 17.9%. IV traded below realized volatility by 13.0% (HV 20d: 74.5%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 2.81.

Notable Days

  • 2009-02-03: Highest Volume — 473 contracts
  • 2009-02-06: Largest IV drop — 35.1% change
  • 2009-02-02: Highest IV Rank — 31.9%
  • 2009-02-02: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.06$13.98$16.38$15.09$14.37
Max Pain$16.97$15.00$17.50$15.00$17.50
ATM IV61.4%40.8%71.1%71.1%61.9%
Expected Move17.9%15.9%20.4%20.4%17.7%
HV 20d74.5%62.8%80.4%77.7%68.4%
HV 60d109.6%94.5%115.9%115.9%94.5%
IV Rank26.5%14.9%31.9%31.9%26.7%
IV Percentile78.4%64.7%92.5%92.5%75.0%
Term Structure-1.3%-4.8%3.4%-3.0%0.4%
VWIV61.5%43.6%80.1%71.0%49.6%
Skew 25d18.4%5.3%31.9%22.9%25.6%
Skew 10d38.5%1.0%62.2%45.0%33.4%
Call IV 25d55.6%44.7%64.8%54.2%51.4%
Put IV 25d74.0%67.3%79.4%77.1%77.0%
Bid-Ask Spread %71.0740.0491.0862.0690.42
Gamma HHI0.300.190.540.260.26
Net GEX5.3K-13.8K43.9K3.6K-8.5K
Net DEX526.0K-228.1K1.3M443.6K849.5K
Net VEX-6.9K-8.1K-5.9K-7.0K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.810.0032.790.090.17
Total Volume103.7371347311984
Total OI4,752.2114,1695,2574,1694,461

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$15.09$15.0071.1%20.4%77.7%31.9%71.0%22.9%-3.0%3.6K443.6K-7.0K0.0962.06N/AN/A109102,1652,004
2009-02-03$15.18$15.0063.2%18.1%77.3%27.4%63.9%11.7%0.6%8.2K294.7K-7.2K32.7974.01N/AN/A144592,1782,014
2009-02-04$15.46$15.0060.9%17.5%76.0%26.2%43.6%17.4%3.2%5.1K312.4K-7.3K0.0079.14N/AN/A8202,1922,473
2009-02-05$15.41$15.0062.9%18.0%75.4%27.3%62.7%18.9%-1.4%6.6K281.7K-7.6K0.3373.45N/AN/A73242,2552,473
2009-02-06$16.34$17.5040.8%16.4%78.4%14.9%80.1%20.6%-1.1%13.5K-182.0K-8.1K1.1857.70N/AN/A51602,3282,495
2009-02-09$16.38$17.5051.0%15.9%77.0%20.6%66.1%13.2%-0.7%15.0K-228.1K-7.8K1.8972.83N/AN/A38722,3592,555
2009-02-10$15.30$17.5065.0%18.3%80.4%28.5%0.0%15.5%-2.9%10.1K347.9K-7.5K3.3375.58N/AN/A3102,3932,610
2009-02-11$15.48$17.5064.5%18.7%79.2%28.2%0.0%20.6%-2.6%14.6K279.4K-7.5K1.4081.03N/AN/A15212,3962,620
2009-02-12$15.41$17.5064.3%18.4%77.4%28.1%64.3%20.3%-2.8%13.8K371.1K-7.5K1.7557.83N/AN/A12212,4092,641
2009-02-13$14.71$17.5060.2%17.3%78.4%25.8%50.3%14.6%-2.8%12.8K679.2K-7.0K2.0773.95N/AN/A30622,4202,652
2009-02-17$14.05$17.5064.6%18.5%79.5%28.3%64.1%14.6%-4.8%2.5K1.0M-6.2K1.1140.04N/AN/A37412,4402,711
2009-02-18$14.48$17.5062.0%17.8%69.3%26.8%62.0%31.9%-3.2%12.4K906.6K-6.4K2.7550.47N/AN/A12332,4402,731
2009-02-19$13.98$17.5063.0%18.1%62.8%27.3%62.1%26.8%-4.8%-13.8K1.3M-5.9K0.7853.99N/AN/A37292,4502,751
2009-02-20$15.11$17.5062.0%17.8%67.6%26.8%59.9%18.5%-2.3%43.9K493.4K-6.7K2.8479.34N/AN/A762162,4872,770
2009-02-23$14.29$17.5063.7%18.3%70.2%27.7%63.8%5.3%-0.8%-11.6K760.8K-6.2K0.8587.74N/AN/A13111,8562,410
2009-02-24$15.28$17.5063.8%18.3%74.4%27.8%59.7%21.4%-0.6%-11.9K706.8K-6.3K0.0076.07N/AN/A17201,8652,420
2009-02-25$15.26$17.5060.3%17.3%73.5%25.8%49.6%15.7%1.9%-7.2K582.0K-6.3K0.0091.08N/AN/A2902,0022,420
2009-02-26$14.61$17.5061.8%17.7%72.0%26.6%0.0%14.8%3.4%-7.5K767.6K-6.0K0.0073.54N/AN/A1502,0262,420
2009-02-27$14.37$17.5061.9%17.7%68.4%26.7%0.0%25.6%0.4%-8.5K849.5K-5.9K0.1790.42N/AN/A72122,0412,420