NNN Options History — April 2009

In April 2009, NNN traded between $16.14 and $19.01. ATM implied volatility averaged 57.4%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 34.2% (HV 20d: 91.5%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.38.

Notable Days

  • 2009-04-06: Highest Volume — 750 contracts
  • 2009-04-09: Largest IV spike — 48.6% change
  • 2009-04-01: Highest IV Rank — 28.4%
  • 2009-04-01: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.61$16.14$19.01$16.14$17.74
Max Pain$15.36$15.00$17.50$15.00$17.50
ATM IV57.4%40.5%64.8%64.8%59.2%
Expected Move17.0%13.6%18.6%18.6%17.0%
HV 20d91.5%86.4%97.7%91.5%86.4%
HV 60d81.5%78.5%84.3%78.5%81.5%
IV Rank24.2%14.7%28.4%28.4%25.2%
IV Percentile61.0%47.2%79.8%79.8%56.7%
Term Structure-3.0%-7.3%4.2%1.5%-3.0%
VWIV60.0%50.4%74.3%64.7%59.3%
Skew 25d14.7%4.6%26.3%17.0%11.3%
Skew 10d25.3%4.7%46.6%40.8%15.9%
Call IV 25d52.2%41.4%58.7%52.6%54.4%
Put IV 25d66.9%60.5%72.9%69.6%65.7%
Bid-Ask Spread %62.1339.1183.5562.7146.07
Gamma HHI0.480.370.710.380.48
Net GEX76.2K51.5K130.9K52.3K64.3K
Net DEX-2.5M-4.0M-1.3M-1.4M-2.0M
Net VEX-9.9K-10.6K-8.9K-9.4K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.002.390.000.13
Total Volume118.47667503527
Total OI4,392.9053,9234,9743,9234,186

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$16.14$15.0064.8%18.6%91.5%28.4%64.7%17.0%1.5%52.3K-1.4M-9.4K0.0062.71N/AN/A3502,7391,184
2009-04-02$16.94$15.0052.9%15.2%89.8%21.6%54.9%17.7%4.2%54.8K-1.9M-9.8K0.1463.86N/AN/A6492,7651,184
2009-04-03$18.08$15.0050.7%16.7%91.0%20.4%59.5%14.7%-1.6%59.6K-2.7M-9.9K0.3639.11N/AN/A56202,8161,193
2009-04-06$17.85$15.0051.5%18.3%91.6%20.9%64.8%15.5%-6.3%57.0K-2.7M-9.7K0.1454.81N/AN/A656942,8441,213
2009-04-07$16.31$15.0058.9%17.1%92.6%25.0%63.0%12.0%-2.7%78.3K-2.0M-10.2K2.3958.09N/AN/A33793,4201,307
2009-04-08$16.44$15.0040.5%17.1%91.7%14.7%64.4%15.4%-1.3%86.1K-1.8M-10.1K0.2952.97N/AN/A1443,4271,350
2009-04-09$18.03$15.0060.1%17.2%95.3%25.7%55.5%21.3%-2.0%113.3K-3.2M-10.6K0.0466.46N/AN/A2513,4411,354
2009-04-13$18.62$15.0061.2%17.5%95.4%26.3%0.0%18.3%-4.2%109.4K-4.0M-9.8K0.0555.01N/AN/A2113,4511,354
2009-04-14$17.26$15.0060.8%17.4%96.8%26.1%50.4%9.8%-2.8%113.6K-2.7M-9.7K0.5265.40N/AN/A174903,4711,354
2009-04-15$18.03$15.0062.0%17.8%95.5%26.7%61.3%14.2%-4.3%130.9K-3.4M-10.0K0.2064.12N/AN/A513,5111,395
2009-04-16$18.26$15.0060.6%17.4%94.9%26.0%54.7%12.5%-4.9%97.6K-3.8M-9.4K0.0771.19N/AN/A239163,4451,313
2009-04-17$18.10$15.0060.7%17.4%92.9%26.1%57.1%11.7%-2.8%83.9K-3.8M-10.1K0.0571.58N/AN/A15483,6451,329
2009-04-20$16.39$15.0047.4%13.6%97.7%18.6%54.8%11.0%-5.0%51.5K-1.3M-8.9K0.5776.61N/AN/A37212,7691,262
2009-04-21$17.76$15.0059.4%17.0%90.7%25.3%74.3%20.2%-2.0%57.1K-2.0M-9.8K0.1159.48N/AN/A189202,7871,280
2009-04-22$17.68$15.0060.2%17.3%87.0%25.8%59.0%9.3%-2.1%62.7K-2.1M-9.9K0.0358.79N/AN/A3112,9401,300
2009-04-23$18.04$15.0061.3%17.6%86.8%26.4%64.5%14.8%-7.3%63.0K-2.4M-10.1K0.1456.65N/AN/A70102,9641,301
2009-04-24$19.01$15.0050.3%14.4%87.8%20.2%55.1%13.7%-2.8%67.4K-3.2M-10.2K0.2758.55N/AN/A110303,0211,311
2009-04-27$17.85$15.0061.3%17.6%90.7%26.4%63.1%26.3%-5.6%72.3K-2.5M-9.8K0.0083.55N/AN/A1003,0931,303
2009-04-28$17.45$17.5061.2%17.5%89.7%26.3%59.5%4.6%-3.7%61.7K-1.8M-9.6K2.0079.91N/AN/A36722,7641,303
2009-04-29$17.79$17.5059.6%17.1%86.5%25.4%59.6%17.8%-3.6%63.4K-2.0M-10.2K0.5659.77N/AN/A1692,7871,375
2009-04-30$17.74$17.5059.2%17.0%86.4%25.2%59.3%11.3%-3.0%64.3K-2.0M-10.0K0.1346.07N/AN/A2432,8021,384