NNN Options History — June 2009

In June 2009, NNN traded between $16.33 and $18.16. ATM implied volatility averaged 43.7%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 2.9% (HV 20d: 46.5%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2009-06-19: Highest Volume — 1,546 contracts
  • 2009-06-11: Largest IV drop — 11.9% change
  • 2009-06-01: Highest IV Rank — 20.6%
  • 2009-06-01: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.25$16.33$18.16$17.77$17.35
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV43.7%37.3%51.0%51.0%37.7%
Expected Move12.4%10.7%14.6%14.6%10.8%
HV 20d46.5%35.2%63.7%63.7%35.7%
HV 60d71.4%62.6%79.7%79.7%62.6%
IV Rank16.2%11.1%20.6%20.6%11.1%
IV Percentile32.6%24.2%45.6%45.6%24.2%
Term Structure1.1%-4.1%3.7%-4.1%1.6%
VWIV41.5%35.0%47.5%38.8%37.7%
Skew 25d11.0%-0.7%27.1%27.1%1.6%
Skew 10d17.3%-2.6%39.7%39.7%3.3%
Call IV 25d36.0%30.1%46.8%32.1%31.5%
Put IV 25d47.0%32.3%59.2%59.2%33.1%
Bid-Ask Spread %50.6316.3084.6544.9116.30
Gamma HHI0.600.470.920.600.53
Net GEX99.0K33.4K376.6K82.6K62.7K
Net DEX-1.8M-4.1M-488.8K-3.0M-1.2M
Net VEX-9.4K-12.6K-6.9K-12.6K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.002.870.100.00
Total Volume212.68221,54650159
Total OI6,048.5452,4547,6867,4003,080

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$17.77$17.5051.0%14.6%63.7%20.6%38.8%27.1%-4.1%82.6K-3.0M-12.6K0.1044.91N/AN/A454474,4442,956
2009-06-02$17.86$17.5047.1%13.5%57.7%18.4%47.5%-0.7%-0.5%97.0K-3.5M-12.3K0.2949.94N/AN/A1444,6502,936
2009-06-03$18.01$17.5049.3%14.1%54.9%19.7%0.0%10.2%-3.1%96.7K-3.4M-11.8K0.0083.13N/AN/A204,6542,939
2009-06-04$18.16$17.5048.2%13.8%54.9%19.0%40.2%13.3%-4.1%100.8K-3.9M-11.7K0.5629.61N/AN/A146824,6562,939
2009-06-05$18.04$17.5044.8%12.9%49.9%17.1%0.0%9.8%1.7%102.1K-3.8M-11.4K2.8760.50N/AN/A1093134,6502,989
2009-06-08$18.12$17.5047.8%13.2%49.7%18.8%43.0%13.6%1.9%108.1K-4.1M-10.7K1.0662.40N/AN/A16174,7212,731
2009-06-09$17.70$17.5046.0%12.9%49.5%17.8%44.5%9.8%2.3%110.4K-3.3M-10.6K0.0061.92N/AN/A1304,7252,748
2009-06-10$17.08$17.5049.1%12.8%51.3%19.5%44.9%14.1%1.6%103.7K-1.7M-10.1K0.0684.65N/AN/A269154,7282,748
2009-06-11$16.60$17.5043.2%12.4%46.5%16.2%43.3%14.1%2.1%97.1K-708.2K-9.3K0.1222.49N/AN/A304354,7762,763
2009-06-12$17.21$17.5043.1%12.4%47.6%16.2%43.6%20.6%2.7%109.8K-1.9M-10.2K0.0274.02N/AN/A4314,8042,789
2009-06-15$16.78$17.5044.7%12.8%46.8%17.1%0.0%12.7%1.0%104.9K-1.1M-8.8K0.9558.84N/AN/A22214,8052,789
2009-06-16$16.83$17.5042.4%12.2%44.2%15.8%0.0%10.4%2.1%118.4K-1.1M-8.6K0.1183.55N/AN/A3744,8152,808
2009-06-17$16.95$17.5043.3%12.4%44.1%16.3%43.9%15.9%2.0%133.7K-1.2M-8.4K1.8326.22N/AN/A1142094,8362,810
2009-06-18$16.92$17.5042.6%12.2%44.0%15.9%0.0%13.9%2.5%127.3K-936.1K-7.9K1.6745.71N/AN/A9154,8662,812
2009-06-19$17.37$17.5041.1%11.8%44.7%15.0%41.1%15.8%2.5%376.6K-1.3M-7.8K0.0245.93N/AN/A1,510364,8592,827
2009-06-22$16.54$17.5043.7%12.5%47.9%16.5%43.7%0.6%0.7%33.4K-622.7K-6.9K0.3359.33N/AN/A161531,820634
2009-06-23$16.33$17.5041.0%11.7%40.3%15.0%41.1%5.5%1.7%34.1K-602.5K-7.4K0.7184.46N/AN/A48341,966677
2009-06-24$16.51$17.5040.8%11.7%37.8%14.3%0.0%10.0%2.1%34.8K-488.8K-7.2K0.5020.16N/AN/A24121,987711
2009-06-25$17.00$17.5037.7%10.8%39.2%12.5%35.0%13.9%3.7%40.2K-676.5K-7.6K0.1329.53N/AN/A172222,001723
2009-06-26$17.25$17.5038.6%11.1%37.7%12.7%38.6%10.9%1.5%48.0K-943.7K-8.2K0.0027.49N/AN/A15202,148735
2009-06-29$17.07$17.5037.3%10.7%35.2%11.9%37.6%-0.6%1.5%56.7K-1.0M-8.3K0.0042.88N/AN/A8102,278735
2009-06-30$17.35$17.5037.7%10.8%35.7%11.1%37.7%1.6%1.6%62.7K-1.2M-8.7K0.0016.30N/AN/A5902,345735