NNN Options History — November 2009

In November 2009, NNN traded between $19.25 and $20.04. ATM implied volatility averaged 34.0%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 2.9% (HV 20d: 36.9%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2009-11-02: Highest Volume — 393 contracts
  • 2009-11-27: Largest IV spike — 8.4% change
  • 2009-11-03: Highest IV Rank — 21.2%
  • 2009-11-03: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.60$19.25$20.04$19.43$20.04
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV34.0%30.3%39.0%38.4%31.4%
Expected Move9.8%8.7%11.2%11.0%9.0%
HV 20d36.9%27.0%40.3%36.1%28.1%
HV 60d34.5%32.8%35.8%35.8%33.0%
IV Rank14.1%8.7%21.2%20.3%10.2%
IV Percentile10.4%1.6%27.0%24.6%4.4%
Term Structure2.0%-1.2%3.9%-0.5%2.6%
VWIV32.8%18.7%49.6%49.6%31.3%
Skew 25d7.2%-7.8%13.0%7.1%1.6%
Skew 10d10.2%-12.4%27.3%-1.4%2.3%
Call IV 25d29.6%24.8%36.8%36.4%27.0%
Put IV 25d36.8%25.6%43.9%43.5%28.7%
Bid-Ask Spread %29.2813.8759.5226.6413.96
Gamma HHI0.470.360.580.410.58
Net GEX65.4K40.4K103.5K51.6K103.5K
Net DEX-534.7K-1.1M-150.9K-388.6K-1.1M
Net VEX-11.5K-12.8K-10.5K-11.2K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.003.323.320.30
Total Volume1024393393250
Total OI4,914.354,2555,2824,4874,416

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$19.43$20.0038.4%11.0%36.1%20.3%49.6%7.1%-0.5%51.6K-388.6K-11.2K3.3226.64N/AN/A913023,0111,476
2009-11-03$19.69$20.0039.0%11.2%36.6%21.2%0.0%7.1%-0.1%46.4K-609.7K-12.5K0.0034.32N/AN/A403,0861,753
2009-11-04$19.25$20.0038.8%11.1%37.1%21.0%38.8%5.9%-1.2%40.4K-203.5K-11.7K1.4050.35N/AN/A1291813,0901,753
2009-11-05$19.75$20.0037.1%10.6%38.5%18.5%33.4%7.7%-1.0%46.4K-606.6K-12.8K0.0018.89N/AN/A21003,1491,868
2009-11-06$19.25$20.0034.0%9.9%39.2%14.0%18.7%12.7%3.0%49.4K-312.5K-12.3K0.0013.87N/AN/A903,3321,868
2009-11-09$19.64$20.0035.4%10.2%40.1%16.0%0.0%6.3%2.9%56.4K-611.4K-12.5K0.9841.30N/AN/A48473,3301,868
2009-11-10$19.38$20.0035.1%9.8%40.0%15.6%0.0%12.1%2.9%55.3K-457.2K-12.3K0.2133.42N/AN/A126263,3831,869
2009-11-11$19.76$20.0034.8%9.7%40.3%15.2%0.0%6.7%3.2%63.8K-703.5K-11.9K0.0342.90N/AN/A12033,2931,866
2009-11-12$19.43$20.0032.2%9.2%40.3%11.4%30.1%10.8%3.9%55.9K-344.5K-11.7K0.1233.12N/AN/A2533,2841,891
2009-11-13$19.47$20.0033.2%9.5%40.3%12.8%0.0%13.0%2.8%60.3K-245.4K-11.3K0.0016.60N/AN/A10003,2741,892
2009-11-16$19.78$20.0033.7%9.7%39.8%13.6%33.7%11.8%2.8%67.6K-607.8K-11.4K0.0020.60N/AN/A6503,2741,892
2009-11-17$19.64$20.0033.0%9.5%39.1%12.6%33.0%10.7%3.1%68.2K-507.1K-11.4K0.0020.94N/AN/A2103,3341,892
2009-11-18$19.96$20.0033.8%9.7%39.3%13.6%0.0%10.8%2.3%76.5K-821.1K-11.5K2.5025.92N/AN/A4103,3551,892
2009-11-19$19.46$20.0032.4%9.3%37.6%11.7%32.4%11.6%3.1%68.4K-150.9K-10.8K1.4316.65N/AN/A14203,3551,902
2009-11-20$19.51$20.0033.2%9.5%37.7%12.8%33.2%9.7%3.0%69.7K-185.6K-10.9K0.0019.16N/AN/A4703,3601,922
2009-11-23$19.73$20.0031.9%9.1%37.4%10.9%31.8%-0.1%1.6%73.7K-726.4K-10.8K0.0233.32N/AN/A9822,7861,469
2009-11-24$19.72$20.0030.5%8.8%37.3%9.0%30.5%-7.8%2.5%84.6K-736.7K-10.7K0.4530.90N/AN/A22102,8701,469
2009-11-25$19.75$20.0030.3%8.7%27.2%8.7%30.3%-0.1%2.9%89.8K-816.4K-10.7K0.0033.22N/AN/A3302,8861,479
2009-11-27$19.39$20.0032.9%9.4%27.0%12.3%32.9%7.2%0.6%79.1K-578.8K-10.5K3.0059.52N/AN/A5152,9191,479
2009-11-30$20.04$20.0031.4%9.0%28.1%10.2%31.3%1.6%2.6%103.5K-1.1M-10.5K0.3013.96N/AN/A192582,9221,494