NNN Options History — March 2009

In March 2009, NNN traded between $12.96 and $15.84. ATM implied volatility averaged 65.6%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded below realized volatility by 13.1% (HV 20d: 78.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2009-03-23: Highest Volume — 691 contracts
  • 2009-03-05: Largest IV spike — 14.8% change
  • 2009-03-02: Highest IV Rank — 35.9%
  • 2009-03-02: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.49$12.96$15.84$13.55$15.84
Max Pain$15.45$15.00$17.50$17.50$15.00
ATM IV65.6%59.5%78.2%78.2%67.5%
Expected Move18.7%17.1%22.4%22.4%19.3%
HV 20d78.7%64.8%91.5%69.2%91.5%
HV 60d79.2%70.3%90.1%90.1%78.6%
IV Rank28.8%25.4%35.9%35.9%29.8%
IV Percentile79.1%65.9%96.4%96.4%85.7%
Term Structure-3.1%-11.8%4.5%-5.0%-0.8%
VWIV63.7%55.9%71.6%69.9%67.2%
Skew 25d13.3%-2.4%27.9%10.3%20.2%
Skew 10d24.6%-3.9%44.5%-3.9%41.7%
Call IV 25d59.2%49.2%73.7%70.1%51.5%
Put IV 25d72.5%59.2%87.2%80.4%71.7%
Bid-Ask Spread %70.7951.6793.3583.6671.40
Gamma HHI0.360.220.580.250.37
Net GEX17.8K-7.1K48.5K-7.1K48.5K
Net DEX270.9K-1.2M1.1M1.0M-1.2M
Net VEX-6.0K-9.1K-4.6K-5.2K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.003.290.090.21
Total Volume136.31866913534
Total OI4,3282,3154,9794,5333,899

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$13.55$17.5078.2%22.4%69.2%35.9%69.9%10.3%-5.0%-7.1K1.0M-5.2K0.0983.66N/AN/A3232,1132,420
2009-03-03$13.54$17.5067.3%19.3%66.9%29.8%71.6%1.1%4.5%-6.8K1.0M-5.1K0.0081.39N/AN/A65702,1102,422
2009-03-04$13.85$17.5061.1%17.5%67.5%26.3%0.0%8.4%0.9%5.9K851.9K-5.5K0.0093.35N/AN/A062,3002,422
2009-03-05$13.16$17.5070.2%20.1%68.9%31.4%0.0%-2.4%1.3%-1.7K1.0M-5.0K0.0089.38N/AN/A1402,3052,422
2009-03-06$12.96$15.0074.8%20.7%68.9%34.0%55.9%4.8%-7.1%-6.9K1.1M-4.7K0.0274.13N/AN/A4512,3092,422
2009-03-09$13.14$15.0077.8%21.5%64.8%35.7%62.8%7.5%-11.8%-3.5K1.1M-4.6K0.2661.10N/AN/A3592,3542,422
2009-03-10$14.58$15.0070.3%18.9%76.5%31.4%0.0%18.6%-7.2%10.9K574.3K-5.8K0.0053.69N/AN/A092,3792,427
2009-03-11$14.16$15.0063.7%18.8%73.5%27.7%65.6%16.4%-5.3%8.8K719.0K-5.5K0.0056.45N/AN/A0212,3792,418
2009-03-12$14.92$15.0063.8%18.3%76.0%27.8%0.0%27.9%-7.0%16.5K456.8K-5.7K0.2851.67N/AN/A2572,3792,439
2009-03-13$14.80$15.0060.8%17.4%76.1%26.1%60.0%-0.2%-3.1%23.0K476.6K-5.6K0.3163.63N/AN/A35112,4042,445
2009-03-16$13.90$15.0065.5%18.8%77.5%28.7%64.0%11.7%-6.7%11.4K804.9K-5.0K0.8756.29N/AN/A46402,4322,456
2009-03-17$14.84$15.0062.1%17.8%79.4%26.8%69.7%15.7%-4.0%35.9K512.9K-5.3K0.0068.89N/AN/A0142,4732,475
2009-03-18$15.43$15.0062.4%17.9%79.8%27.0%0.0%14.4%-3.3%42.5K188.1K-5.4K0.5067.31N/AN/A20102,4732,476
2009-03-19$14.72$15.0064.4%18.5%80.7%28.1%63.9%17.2%-4.8%36.2K431.8K-5.3K0.9166.02N/AN/A44402,4932,486
2009-03-20$13.85$15.0059.5%17.1%78.6%25.4%60.1%19.4%-1.4%5.6K794.8K-4.7K3.2970.46N/AN/A14462,5172,422
2009-03-23$15.78$15.0061.0%17.5%89.4%26.2%59.7%17.4%2.2%10.2K-241.9K-5.4K0.1173.46N/AN/A624671,2241,091
2009-03-24$14.80$15.0060.9%17.5%89.5%26.1%62.7%14.1%-2.9%22.5K-440.2K-6.4K0.1069.67N/AN/A206201,8081,142
2009-03-25$15.23$15.0061.2%17.6%90.1%26.3%61.2%17.9%-1.7%28.1K-595.6K-7.0K0.0784.98N/AN/A354251,9901,162
2009-03-26$15.72$15.0062.8%18.0%89.3%27.2%0.0%18.7%-0.1%36.8K-980.3K-8.5K0.0071.17N/AN/A1002,3241,174
2009-03-27$15.30$15.0061.8%17.7%89.7%26.7%61.8%16.2%-1.0%35.1K-842.4K-8.1K0.0471.50N/AN/A427172,3341,174
2009-03-30$14.71$15.0067.1%19.2%88.1%29.6%67.2%17.2%-4.7%40.2K-758.0K-8.3K0.4877.79N/AN/A21102,7321,168
2009-03-31$15.84$15.0067.5%19.3%91.5%29.8%0.0%20.2%-0.8%48.5K-1.2M-9.1K0.2171.40N/AN/A2862,7211,178