NNN Options History — May 2009

In May 2009, NNN traded between $15.28 and $18.46. ATM implied volatility averaged 53.5%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 18.7% (HV 20d: 72.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2009-05-05: Highest Volume — 2,010 contracts
  • 2009-05-13: Largest IV spike — 70.7% change
  • 2009-05-13: Highest IV Rank — 31.2%
  • 2009-05-18: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.54$15.28$18.46$17.14$17.11
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV53.5%41.0%70.0%58.0%42.7%
Expected Move15.1%12.2%16.8%16.6%12.2%
HV 20d72.2%58.4%88.5%85.8%63.4%
HV 60d81.6%79.4%83.1%81.7%80.2%
IV Rank22.0%15.0%31.2%24.5%16.0%
IV Percentile51.0%35.3%88.9%55.6%35.3%
Term Structure-0.1%-3.0%3.5%-2.9%0.9%
VWIV50.4%30.9%61.6%58.3%43.4%
Skew 25d15.1%4.7%23.4%8.4%22.5%
Skew 10d28.4%-0.8%46.5%7.5%37.2%
Call IV 25d45.1%34.7%59.1%59.1%36.4%
Put IV 25d60.3%48.7%67.5%67.5%58.9%
Bid-Ask Spread %45.5121.3460.8459.2921.34
Gamma HHI0.520.310.650.500.65
Net GEX58.5K30.0K94.4K64.5K71.5K
Net DEX-751.2K-2.5M733.9K-1.5M-1.6M
Net VEX-11.7K-14.3K-9.5K-9.7K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.003.212.860.00
Total Volume240.392,01081119
Total OI6,336.954,2047,3014,2047,301

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$17.14$17.5058.0%16.6%85.8%24.5%58.3%8.4%-2.9%64.5K-1.5M-9.7K2.8659.29N/AN/A21602,8171,387
2009-05-04$18.46$17.5062.3%16.5%86.8%27.0%56.2%22.3%-3.0%71.9K-2.5M-9.9K0.1359.15N/AN/A267352,8371,386
2009-05-05$17.57$17.5058.4%15.0%88.5%24.8%52.3%13.4%-0.7%91.2K-2.1M-9.8K1.0160.59N/AN/A1,0011,0093,0941,398
2009-05-06$17.47$17.5057.2%15.1%82.1%24.1%61.6%16.0%-1.7%94.4K-2.0M-14.3K1.9560.84N/AN/A22434,0832,339
2009-05-07$16.45$17.5051.7%14.9%85.1%21.0%52.8%23.4%-1.8%80.4K-755.3K-13.1K0.4857.50N/AN/A21104,0782,378
2009-05-08$16.75$17.5050.1%14.6%78.2%20.1%50.8%14.7%0.7%90.7K-1.2M-13.5K0.1646.04N/AN/A64104,0962,388
2009-05-11$16.33$17.5053.5%14.4%77.3%22.0%50.3%17.9%1.6%77.5K-427.1K-12.2K0.0043.54N/AN/A904,1602,396
2009-05-12$16.56$17.5041.0%14.9%73.1%15.0%49.9%13.1%-1.0%90.7K-700.5K-12.4K1.7433.25N/AN/A38664,1622,388
2009-05-13$15.52$17.5070.0%16.3%74.3%31.2%50.1%14.8%-0.3%32.7K407.7K-10.4K2.7050.17N/AN/A10274,1902,416
2009-05-14$15.81$17.5057.5%16.5%74.5%24.3%57.5%15.4%0.4%31.8K207.3K-10.6K0.9652.82N/AN/A28274,2002,433
2009-05-15$15.28$17.5057.8%16.6%75.1%24.4%56.5%12.7%-1.7%32.9K733.9K-9.5K3.2135.08N/AN/A341094,2052,460
2009-05-18$16.00$17.5058.5%16.8%69.3%24.8%58.3%16.3%-0.9%30.0K166.5K-10.6K0.8955.01N/AN/A5665023,2562,405
2009-05-19$15.89$17.5057.8%16.6%62.3%24.4%49.4%14.3%0.5%31.1K-90.0K-12.3K0.0048.22N/AN/A903,8222,906
2009-05-20$16.03$17.5053.8%15.4%62.5%22.2%43.9%15.2%-0.5%33.6K-108.3K-12.1K0.0127.09N/AN/A9513,8312,906
2009-05-21$16.25$17.5053.7%15.4%62.2%22.1%44.4%13.0%1.1%38.0K-200.3K-12.0K0.0848.37N/AN/A2523,9102,906
2009-05-22$15.96$17.5051.5%14.8%58.4%20.9%47.7%4.7%0.1%37.3K-69.6K-11.6K0.3243.16N/AN/A31103,9332,906
2009-05-26$17.15$17.5046.3%13.3%61.4%18.0%47.6%21.5%2.6%49.2K-1.6M-12.6K0.1838.86N/AN/A366653,9642,916
2009-05-27$16.46$17.5045.2%13.0%62.5%17.3%46.0%7.1%3.5%59.4K-695.6K-12.1K0.0044.36N/AN/A2804,3002,931
2009-05-28$16.56$17.5043.2%12.4%62.1%16.2%30.9%16.3%0.5%62.2K-844.2K-12.3K0.7725.59N/AN/A43334,3242,931
2009-05-29$17.11$17.5042.7%12.2%63.4%16.0%43.4%22.5%0.9%71.5K-1.6M-12.5K0.0021.34N/AN/A11904,3452,956