NNN Options History — October 2009

In October 2009, NNN traded between $19.38 and $21.22. ATM implied volatility averaged 38.8%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 7.6% (HV 20d: 31.2%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2009-10-16: Highest Volume — 333 contracts
  • 2009-10-15: Largest IV spike — 34.9% change
  • 2009-10-19: Highest IV Rank — 25.3%
  • 2009-10-05: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.58$19.38$21.22$20.86$19.38
Max Pain$21.14$20.00$22.50$20.00$20.00
ATM IV38.8%29.3%45.0%42.5%38.9%
Expected Move11.6%10.4%12.4%12.2%11.2%
HV 20d31.2%25.8%37.4%34.6%37.4%
HV 60d36.2%35.3%37.7%37.7%36.4%
IV Rank16.4%2.9%25.3%10.8%21.1%
IV Percentile23.1%0.4%34.1%30.2%26.2%
Term Structure-1.6%-4.4%5.8%0.3%-1.1%
VWIV38.5%19.6%43.6%42.1%38.9%
Skew 25d5.6%1.4%9.4%6.5%4.2%
Skew 10d7.7%-3.0%23.7%11.1%16.7%
Call IV 25d35.9%31.9%38.0%36.9%36.0%
Put IV 25d41.5%39.4%43.4%43.4%40.2%
Bid-Ask Spread %28.3515.1654.0141.0525.75
Gamma HHI0.330.290.390.330.39
Net GEX83.3K53.6K103.9K97.1K53.6K
Net DEX-2.4M-3.2M-453.7K-3.0M-453.7K
Net VEX-14.5K-16.3K-11.3K-16.3K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.004.330.760.86
Total Volume78.90993333782
Total OI4,970.0454,3745,2754,9994,425

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$20.86$20.0042.5%12.2%34.6%10.8%42.1%6.5%0.3%97.1K-3.0M-16.3K0.7641.05N/AN/A21163,6911,308
2009-10-02$20.71$20.0036.4%10.4%33.5%7.2%0.0%5.0%5.8%92.5K-2.8M-16.0K1.2247.78N/AN/A32393,6901,321
2009-10-05$21.22$22.5045.0%12.4%34.1%12.3%19.6%6.2%-3.7%103.9K-3.2M-16.0K1.1415.16N/AN/A783,7101,337
2009-10-06$21.14$22.5043.0%12.3%33.1%11.1%43.6%4.8%-4.4%102.6K-3.2M-15.8K0.1331.41N/AN/A2433,7141,335
2009-10-07$20.85$22.5044.0%11.6%33.1%11.7%39.0%3.7%-2.9%97.7K-2.9M-15.4K1.2523.83N/AN/A453,7381,335
2009-10-08$20.80$22.5039.9%12.2%33.0%9.2%42.1%6.2%-2.7%93.8K-2.8M-15.1K4.3317.56N/AN/A301303,7381,337
2009-10-09$20.97$22.5029.3%12.2%32.8%2.9%35.9%7.2%-3.3%91.2K-2.8M-15.5K1.0417.23N/AN/A53553,6811,450
2009-10-12$20.83$22.5033.4%12.3%30.5%5.4%42.3%4.1%-3.7%86.7K-2.8M-15.3K0.0522.51N/AN/A2213,7141,471
2009-10-13$20.50$22.5036.7%12.0%30.2%17.9%0.0%4.1%-2.8%75.7K-2.4M-14.8K0.0054.01N/AN/A0513,7181,472
2009-10-14$20.79$22.5029.7%11.8%27.4%7.8%41.1%7.5%-2.4%77.4K-2.6M-15.0K0.0015.84N/AN/A0103,7181,513
2009-10-15$20.42$22.5040.1%11.5%27.8%22.9%40.2%4.7%-1.3%68.5K-2.4M-14.6K0.0825.44N/AN/A6153,7181,519
2009-10-16$20.32$22.5040.7%11.7%27.7%23.7%40.9%5.2%-2.2%64.6K-2.3M-14.6K0.0521.93N/AN/A317163,7511,524
2009-10-19$20.79$20.0041.8%12.0%29.0%25.3%40.5%8.6%-4.2%81.7K-2.5M-14.1K0.2020.84N/AN/A132273,3791,377
2009-10-20$20.33$20.0038.8%11.1%28.7%21.0%38.7%3.7%0.5%81.7K-2.2M-14.1K0.1932.42N/AN/A84163,4421,404
2009-10-21$20.04$20.0038.0%10.9%25.8%19.8%38.0%2.1%0.4%79.8K-1.9M-13.9K0.5135.67N/AN/A47243,4991,420
2009-10-22$20.81$20.0038.1%10.9%29.5%20.0%38.1%7.7%0.5%86.9K-2.5M-14.2K0.1625.29N/AN/A74123,5291,444
2009-10-23$20.74$20.0038.3%11.0%29.3%20.2%38.6%7.4%-0.7%89.1K-2.6M-14.4K0.0831.39N/AN/A2523,5791,454
2009-10-26$21.07$20.0041.5%11.9%27.7%24.9%33.5%9.4%-2.2%95.4K-2.8M-13.9K0.1933.52N/AN/A1633,5881,456
2009-10-27$20.89$20.0039.9%11.4%27.3%22.6%39.4%8.0%-1.0%94.2K-2.8M-14.0K0.6133.85N/AN/A103633,6021,459
2009-10-28$19.45$20.0040.8%11.7%36.8%23.9%40.8%1.4%-4.1%55.6K-595.1K-11.6K0.3018.33N/AN/A43132,9271,447
2009-10-29$19.85$20.0037.3%10.7%36.7%18.8%37.3%6.1%-0.6%62.8K-791.3K-11.9K0.0032.91N/AN/A6002,9651,442
2009-10-30$19.38$20.0038.9%11.2%37.4%21.1%38.9%4.2%-1.1%53.6K-453.7K-11.3K0.8625.75N/AN/A44382,9831,442