NNN Options History — July 2009

In July 2009, NNN traded between $16.11 and $19.80. ATM implied volatility averaged 36.4%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 2.8% (HV 20d: 39.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.43.

Notable Days

  • 2009-07-28: Highest Volume — 7,463 contracts
  • 2009-07-08: Largest IV spike — 32.3% change
  • 2009-07-16: Highest IV Rank — 15.4%
  • 2009-07-09: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.91$16.11$19.80$17.81$19.71
Max Pain$17.27$15.00$17.50$17.50$17.50
ATM IV36.4%30.7%47.0%34.5%30.7%
Expected Move11.7%8.8%15.3%9.9%8.8%
HV 20d39.2%33.7%41.7%36.9%33.7%
HV 60d51.8%43.7%62.7%62.7%43.7%
IV Rank8.8%4.4%15.4%9.2%4.4%
IV Percentile22.5%10.7%35.3%23.0%10.7%
Term Structure1.5%-3.4%4.8%4.2%3.8%
VWIV43.9%30.1%59.0%34.5%30.1%
Skew 25d9.0%-6.3%40.1%4.1%8.5%
Skew 10d18.7%-6.8%55.0%4.9%6.5%
Call IV 25d35.5%27.5%44.1%28.9%31.0%
Put IV 25d44.5%28.7%73.2%33.0%39.4%
Bid-Ask Spread %45.6417.2770.6517.2764.10
Gamma HHI0.590.440.840.550.75
Net GEX95.5K47.3K348.8K74.6K63.8K
Net DEX-2.1M-4.7M-643.4K-1.5M-3.1M
Net VEX-13.6K-17.4K-7.9K-8.9K-15.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.0014.790.292.87
Total Volume609.273337,463133116
Total OI4,922.3183,1396,2103,1395,097

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$17.81$17.5034.5%9.9%36.9%9.2%34.5%4.1%4.2%74.6K-1.5M-8.9K0.2917.27N/AN/A103302,404735
2009-07-02$16.97$17.5032.6%9.3%40.4%7.0%0.0%-2.4%4.4%71.0K-1.1M-8.6K0.0923.95N/AN/A3332,464750
2009-07-06$17.25$15.0031.3%10.7%41.0%6.3%0.0%40.1%4.6%78.1K-1.1M-8.3K0.6559.28N/AN/A20132,444753
2009-07-07$16.84$15.0031.6%11.7%41.6%6.4%39.8%-5.2%1.6%69.0K-944.0K-7.9K0.0754.52N/AN/A437302,453757
2009-07-08$16.80$17.5041.8%14.2%40.9%12.3%50.0%-6.3%-3.4%71.3K-1.0M-8.7K0.6847.68N/AN/A1,2018222,773787
2009-07-09$16.21$17.5033.5%15.3%40.9%7.5%53.5%-0.5%-1.4%63.9K-710.6K-12.4K0.9255.14N/AN/A2692473,6571,324
2009-07-10$16.11$17.5034.0%14.7%39.8%7.8%49.7%0.5%-1.6%62.3K-643.4K-12.9K4.4018.06N/AN/A15663,8981,460
2009-07-13$16.68$17.5032.8%13.2%39.7%7.1%47.3%11.4%0.4%86.8K-1.0M-13.8K2.8029.22N/AN/A30843,9011,507
2009-07-14$16.76$17.5032.0%13.4%38.7%6.6%46.0%11.3%0.8%89.6K-1.1M-14.0K0.0056.08N/AN/A3903,9021,585
2009-07-15$17.39$17.5038.9%13.7%40.9%10.7%46.6%11.3%-0.2%125.2K-1.9M-15.0K0.3548.33N/AN/A77273,9001,585
2009-07-16$17.52$17.5047.0%13.5%40.9%15.4%49.4%8.8%-1.2%150.9K-2.1M-15.0K0.3648.79N/AN/A39143,9171,594
2009-07-17$17.51$17.5045.8%13.1%40.9%14.7%46.4%10.1%1.5%348.8K-2.1M-14.8K0.2446.74N/AN/A123293,9091,579
2009-07-20$18.13$17.5045.0%12.9%41.7%14.2%45.4%8.7%0.2%89.2K-2.4M-14.7K0.1144.51N/AN/A228263,4771,463
2009-07-21$17.98$17.5040.6%11.6%37.3%11.6%39.9%13.1%4.8%96.4K-2.2M-14.8K0.5351.55N/AN/A77413,5891,479
2009-07-22$18.25$17.5039.9%11.4%36.9%11.2%40.4%11.3%1.0%102.3K-2.6M-15.2K14.7957.84N/AN/A426213,6501,515
2009-07-23$18.86$17.5035.8%10.3%38.2%7.7%42.6%15.4%2.5%74.4K-3.0M-16.5K0.4858.45N/AN/A2901403,6602,032
2009-07-24$19.07$17.5033.8%9.7%37.3%6.3%47.2%13.4%2.4%87.5K-3.4M-17.4K0.6470.65N/AN/A58373,9422,051
2009-07-27$19.62$17.5035.8%10.3%38.0%7.4%39.4%16.8%2.0%92.6K-4.2M-16.5K0.0639.39N/AN/A344193,9742,049
2009-07-28$19.80$17.5034.8%10.0%37.5%6.9%59.0%9.2%2.6%101.2K-4.7M-17.1K0.0037.66N/AN/A7,45584,1912,019
2009-07-29$19.22$17.5034.0%9.7%39.6%6.4%36.0%9.3%1.9%47.3K-2.5M-15.8K0.3531.07N/AN/A81282,9782,022
2009-07-30$19.57$17.5034.6%9.9%39.1%6.7%34.6%8.8%2.7%55.2K-2.9M-15.8K0.7543.73N/AN/A24183,0592,006
2009-07-31$19.71$17.5030.7%8.8%33.7%4.4%30.1%8.5%3.8%63.8K-3.1M-15.3K2.8764.10N/AN/A30863,0832,014