NNN Options History — December 2009

In December 2009, NNN traded between $20.49 and $21.30. ATM implied volatility averaged 30.3%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.8% (HV 20d: 25.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.59.

Notable Days

  • 2009-12-22: Highest Volume — 383 contracts
  • 2009-12-30: Largest IV drop — 51.0% change
  • 2009-12-08: Highest IV Rank — 18.2%
  • 2009-12-01: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.90$20.49$21.30$20.55$21.22
Max Pain$19.77$17.50$20.00$20.00$20.00
ATM IV30.3%15.0%34.5%34.5%17.9%
Expected Move8.7%4.3%9.9%9.9%5.1%
HV 20d25.6%19.1%29.4%29.3%19.1%
HV 60d31.4%29.1%33.5%33.2%29.1%
IV Rank12.3%0.0%18.2%14.7%4.6%
IV Percentile6.1%0.0%15.1%13.9%0.4%
Term Structure2.7%-1.7%12.6%-1.7%12.6%
VWIV30.3%19.2%34.5%34.5%19.2%
Skew 25d9.8%4.2%29.2%29.2%9.8%
Skew 10d23.5%3.0%71.0%58.0%17.9%
Call IV 25d25.3%20.1%28.9%23.4%23.8%
Put IV 25d35.1%27.9%52.6%52.6%33.6%
Bid-Ask Spread %35.5912.0465.7912.0416.18
Gamma HHI0.550.440.700.660.47
Net GEX111.1K71.1K185.4K120.9K94.3K
Net DEX-2.1M-2.9M-1.6M-1.8M-1.8M
Net VEX-10.3K-11.4K-9.4K-11.1K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.590.0026.000.382.41
Total Volume84.318438318258
Total OI3,978.3182,5494,7074,5432,874

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$20.55$20.0034.5%9.9%29.3%14.7%34.5%29.2%-1.7%120.9K-1.8M-11.1K0.3812.04N/AN/A132503,0531,490
2009-12-02$20.85$20.0032.2%9.2%29.4%13.6%32.3%12.3%0.6%123.3K-2.3M-11.4K26.0013.16N/AN/A51303,1631,524
2009-12-03$20.49$20.0033.4%9.6%28.8%15.5%33.3%7.8%-1.2%128.6K-1.9M-11.3K0.0013.15N/AN/A4503,1681,511
2009-12-04$21.08$17.5034.5%9.3%29.1%17.4%0.0%13.0%2.4%119.1K-2.6M-11.3K0.0038.81N/AN/A403,1651,511
2009-12-07$20.76$17.5033.3%9.8%28.0%16.6%34.1%8.1%0.2%132.9K-2.3M-10.8K6.0039.97N/AN/A163,1691,511
2009-12-08$20.73$20.0034.1%9.3%27.4%18.2%28.8%6.1%2.8%135.1K-2.2M-10.6K0.0044.29N/AN/A10003,1581,517
2009-12-09$20.66$20.0030.8%9.3%26.8%12.0%0.0%8.2%1.2%148.8K-2.1M-10.6K3.1041.30N/AN/A20623,1671,517
2009-12-10$20.51$20.0032.2%9.2%26.4%14.6%30.1%18.0%1.4%184.8K-2.0M-10.3K1.1353.40N/AN/A71803,1871,464
2009-12-11$20.68$20.0032.3%9.3%25.5%14.8%0.0%4.2%1.5%185.4K-2.2M-10.3K1.0037.67N/AN/A10103,1791,475
2009-12-14$21.19$20.0032.5%9.3%26.6%15.2%32.3%8.7%1.7%90.8K-2.9M-9.4K7.7734.29N/AN/A131013,1791,481
2009-12-15$20.89$20.0031.0%8.9%27.0%12.3%30.8%6.0%1.5%115.8K-2.7M-9.6K0.0133.85N/AN/A9013,1701,537
2009-12-16$20.98$20.0032.8%9.4%26.7%15.8%0.0%6.4%0.9%95.0K-2.7M-9.8K0.4534.66N/AN/A33153,1431,538
2009-12-17$20.86$20.0031.8%9.1%26.4%13.8%31.4%7.9%2.2%93.0K-2.5M-9.5K0.1743.73N/AN/A103183,1351,551
2009-12-18$20.87$20.0030.1%8.6%24.4%10.8%0.0%6.8%2.3%82.6K-2.5M-9.5K0.0064.69N/AN/A20703,1161,559
2009-12-21$21.05$20.0030.0%8.6%24.4%10.5%0.0%9.8%3.8%71.1K-1.6M-9.8K0.0753.24N/AN/A1511,927622
2009-12-22$20.94$20.0028.2%8.1%24.5%7.2%0.0%8.4%5.1%73.9K-1.6M-9.7K0.9240.66N/AN/A1991841,940622
2009-12-23$20.90$20.0030.1%8.6%24.5%10.7%0.0%8.9%1.9%85.4K-1.6M-10.5K0.0065.79N/AN/A0312,139704
2009-12-24$21.12$20.0030.3%8.7%24.7%11.1%0.0%8.3%3.0%88.1K-1.7M-10.5K0.0019.96N/AN/A602,139677
2009-12-28$21.20$20.0030.1%8.6%23.3%10.7%26.4%9.0%4.1%91.6K-1.8M-10.3K4.0039.20N/AN/A5202,145677
2009-12-29$21.05$20.0030.5%8.7%21.0%11.4%0.0%7.9%1.6%90.7K-1.6M-10.2K0.0022.78N/AN/A902,158697
2009-12-30$21.30$20.0015.0%4.3%19.6%0.0%0.0%10.0%11.4%94.1K-1.9M-10.2K1.0020.08N/AN/A10102,167697
2009-12-31$21.22$20.0017.9%5.1%19.1%4.6%19.2%9.8%12.6%94.3K-1.8M-10.2K2.4116.18N/AN/A17412,172702