NNN Options History — August 2009

In August 2009, NNN traded between $19.35 and $21.61. ATM implied volatility averaged 35.1%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 4.5% (HV 20d: 39.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.66.

Notable Days

  • 2009-08-21: Highest Volume — 603 contracts
  • 2009-08-06: Largest IV spike — 28.1% change
  • 2009-08-25: Highest IV Rank — 9.6%
  • 2009-08-25: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.48$19.35$21.61$20.06$20.52
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV35.1%24.3%39.5%33.5%35.0%
Expected Move10.2%7.0%11.3%9.6%10.0%
HV 20d39.7%33.5%43.6%33.7%40.7%
HV 60d40.6%38.4%43.5%41.9%38.5%
IV Rank7.0%0.7%9.6%6.1%7.0%
IV Percentile17.8%1.2%25.0%17.5%15.9%
Term Structure1.6%-2.3%5.0%1.1%1.7%
VWIV34.8%16.3%44.1%33.5%35.5%
Skew 25d9.7%0.2%19.6%8.6%14.7%
Skew 10d16.5%-0.2%25.7%10.0%25.1%
Call IV 25d29.8%22.3%33.7%29.7%26.0%
Put IV 25d39.5%30.2%44.7%38.4%40.7%
Bid-Ask Spread %31.6613.5050.5517.3643.96
Gamma HHI0.550.470.700.700.56
Net GEX94.9K71.1K116.9K71.1K115.6K
Net DEX-4.1M-4.9M-3.0M-3.5M-4.3M
Net VEX-14.2K-15.5K-13.2K-14.8K-15.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.660.0018.000.040.35
Total Volume93.61926035527
Total OI5,2224,9635,4765,1215,095

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$20.06$17.5033.5%9.6%33.7%6.1%33.5%8.6%1.1%71.1K-3.5M-14.8K0.0417.36N/AN/A5323,1012,020
2009-08-04$20.89$17.5033.8%9.7%33.5%6.3%0.0%5.9%0.8%78.2K-4.3M-14.1K0.9850.55N/AN/A45443,1432,020
2009-08-05$21.61$17.5024.3%7.0%34.1%0.7%24.5%12.3%5.0%80.2K-4.9M-13.2K0.0044.20N/AN/A2003,1832,020
2009-08-06$20.72$17.5031.2%8.9%35.3%4.7%16.3%0.2%4.6%85.3K-4.3M-13.9K0.4925.47N/AN/A43213,1952,020
2009-08-07$21.40$17.5029.9%8.6%35.3%4.0%0.0%6.9%5.0%85.8K-4.8M-13.3K3.0039.39N/AN/A10303,2332,015
2009-08-10$20.67$17.5035.5%9.8%38.4%7.2%0.0%7.2%4.4%90.0K-4.2M-13.9K0.0031.25N/AN/A203,2432,030
2009-08-11$20.05$17.5033.3%10.3%41.1%6.0%35.9%7.3%3.1%86.1K-3.6M-14.3K0.1830.12N/AN/A92173,2442,030
2009-08-12$20.44$17.5030.8%10.5%39.9%4.5%35.1%5.6%1.8%91.7K-4.1M-14.2K0.0022.60N/AN/A0283,3162,031
2009-08-13$20.50$17.5035.7%10.2%40.0%7.4%35.5%7.6%3.1%93.7K-4.1M-14.0K0.0027.10N/AN/A7003,3162,041
2009-08-14$20.36$17.5037.2%10.7%40.2%8.3%38.6%8.0%1.1%98.1K-3.9M-14.3K1.5729.43N/AN/A7113,3162,042
2009-08-17$19.59$17.5037.3%10.7%42.0%8.3%33.5%11.3%-0.1%86.7K-3.2M-14.3K18.0043.18N/AN/A1183,3232,043
2009-08-18$19.58$17.5035.5%10.2%41.8%7.3%35.4%12.5%3.1%102.3K-3.2M-13.9K0.0018.01N/AN/A2903,3232,052
2009-08-19$19.35$17.5038.0%10.9%42.0%8.7%43.1%13.7%0.5%95.0K-3.0M-13.8K1.7113.50N/AN/A28483,3272,003
2009-08-20$20.28$17.5037.2%10.7%43.6%8.3%44.1%19.6%2.1%116.9K-4.0M-13.4K10.6221.95N/AN/A131383,3452,037
2009-08-21$20.53$17.5037.5%10.8%43.6%8.5%37.5%8.0%-0.2%97.5K-4.2M-13.2K0.0534.53N/AN/A577263,3382,138
2009-08-24$20.54$17.5039.2%11.2%42.6%9.5%39.2%12.3%-2.3%97.2K-4.2M-15.2K0.0031.03N/AN/A3303,5221,441
2009-08-25$20.72$17.5039.5%11.3%42.6%9.6%0.0%12.8%-1.1%100.2K-4.4M-15.1K1.2536.12N/AN/A8103,5551,441
2009-08-26$20.73$17.5037.4%10.7%40.9%8.4%35.5%11.0%-0.0%107.5K-4.5M-14.6K0.0433.54N/AN/A446173,5631,451
2009-08-27$20.93$17.5037.4%10.7%40.6%8.4%0.0%9.0%0.1%103.5K-4.5M-15.5K0.0035.63N/AN/A2003,5791,464
2009-08-28$20.71$17.5038.1%10.9%40.9%8.8%0.0%8.6%0.1%109.2K-4.4M-15.3K15.0035.93N/AN/A2303,5991,464
2009-08-31$20.52$17.5035.0%10.0%40.7%7.0%0.0%14.7%1.7%115.6K-4.3M-15.0K0.3543.96N/AN/A2073,6011,494