NNN Options History — September 2009

In September 2009, NNN traded between $19.06 and $22.29. ATM implied volatility averaged 36.4%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 0.2% (HV 20d: 36.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2009-09-17: Highest Volume — 641 contracts
  • 2009-09-08: Largest IV spike — 19.9% change
  • 2009-09-09: Highest IV Rank — 10.4%
  • 2009-09-24: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.11$19.06$22.29$19.56$21.47
Max Pain$19.64$17.50$20.00$17.50$20.00
ATM IV36.4%31.2%41.7%36.6%36.5%
Expected Move10.5%9.3%11.9%10.5%10.5%
HV 20d36.6%32.7%41.4%41.4%34.2%
HV 60d38.4%37.1%39.9%39.8%37.1%
IV Rank7.6%4.7%10.4%7.9%7.3%
IV Percentile15.9%6.3%28.6%17.9%15.1%
Term Structure0.6%-1.6%2.3%0.9%2.3%
VWIV37.8%30.7%46.5%36.6%35.7%
Skew 25d13.4%5.3%45.7%11.9%6.9%
Skew 10d27.4%1.3%81.0%17.2%13.6%
Call IV 25d32.5%26.1%38.0%33.2%34.2%
Put IV 25d45.9%40.0%71.8%45.1%41.1%
Bid-Ask Spread %35.2325.6656.2139.7026.27
Gamma HHI0.430.300.580.560.31
Net GEX108.8K86.3K146.9K105.9K95.9K
Net DEX-4.3M-6.3M-2.7M-3.3M-3.4M
Net VEX-15.1K-16.0K-13.7K-15.2K-15.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.0011.000.000.21
Total Volume147.667064112230
Total OI5,056.3334,4365,9535,1124,769

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$19.56$17.5036.6%10.5%41.4%7.9%36.6%11.9%0.9%105.9K-3.3M-15.2K0.0039.70N/AN/A1203,6111,501
2009-09-02$19.06$17.5040.3%11.6%39.7%10.1%46.5%7.7%-0.3%95.0K-2.7M-14.8K11.0028.52N/AN/A101103,6031,483
2009-09-03$19.62$17.5036.6%10.5%39.2%7.9%36.6%9.3%-0.5%111.8K-3.2M-14.8K0.1925.66N/AN/A293553,5931,418
2009-09-04$19.94$20.0031.2%10.4%37.7%4.7%30.7%45.7%1.2%132.3K-3.7M-14.7K0.0045.53N/AN/A2003,7851,470
2009-09-08$20.46$20.0037.4%11.1%37.2%8.4%44.7%28.4%1.3%136.8K-4.3M-14.7K1.1926.45N/AN/A48573,7891,470
2009-09-09$20.79$20.0040.8%10.6%35.9%10.4%37.2%23.0%0.9%130.1K-4.7M-14.8K2.3749.48N/AN/A19453,8271,507
2009-09-10$20.68$20.0039.5%11.3%35.3%9.6%39.5%23.4%0.3%133.0K-4.6M-14.9K0.1337.99N/AN/A4663,8461,532
2009-09-11$20.43$20.0036.9%10.6%35.6%8.1%0.0%34.0%1.3%146.9K-4.4M-14.4K0.0044.81N/AN/A3003,8391,537
2009-09-14$21.13$20.0038.7%11.1%37.4%9.2%39.5%8.9%-1.6%108.6K-5.3M-14.0K0.2555.08N/AN/A3693,8451,537
2009-09-15$21.50$20.0032.4%9.3%34.6%5.4%34.0%9.0%0.8%99.1K-5.7M-13.7K0.0226.44N/AN/A17833,8701,541
2009-09-16$22.29$20.0034.5%9.9%36.3%6.7%35.1%8.7%-0.9%103.8K-6.2M-13.7K0.0026.52N/AN/A12303,8591,538
2009-09-17$22.15$20.0035.2%10.1%36.0%7.1%39.4%6.3%0.8%107.1K-6.2M-14.1K0.4026.81N/AN/A4591823,9341,538
2009-09-18$22.22$20.0034.6%9.9%32.7%6.7%36.6%6.9%1.3%117.8K-6.3M-15.5K0.6656.21N/AN/A3712454,2541,699
2009-09-21$21.88$20.0034.6%9.9%33.3%6.7%0.0%8.2%1.8%98.0K-3.9M-15.8K0.0035.00N/AN/A0123,3651,071
2009-09-22$22.28$20.0035.5%10.2%33.7%6.9%36.7%7.0%-0.1%99.9K-4.2M-16.0K1.7531.12N/AN/A761333,3651,083
2009-09-23$21.40$20.0035.1%10.1%37.1%6.7%35.7%5.3%0.4%90.5K-3.5M-16.0K0.0630.96N/AN/A8053,3991,213
2009-09-24$21.23$20.0041.7%11.9%37.3%10.3%0.0%8.3%0.4%86.3K-3.2M-16.0K0.0031.38N/AN/A0153,3821,213
2009-09-25$21.41$20.0034.9%10.0%37.2%6.3%0.0%7.8%0.9%88.8K-3.3M-15.9K0.0027.64N/AN/A003,3821,207
2009-09-28$22.06$20.0034.8%10.0%38.3%6.2%0.0%8.0%1.9%96.1K-3.8M-15.7K0.1734.24N/AN/A119203,3821,207
2009-09-29$21.72$20.0036.7%10.5%38.6%7.3%0.0%6.4%0.3%101.9K-3.8M-15.8K5.0033.99N/AN/A9453,4961,223
2009-09-30$21.47$20.0036.5%10.5%34.2%7.3%0.0%6.9%2.3%95.9K-3.4M-15.9K0.2126.27N/AN/A190403,5011,268