NNN Options History — February 2010

In February 2010, NNN traded between $19.45 and $21.34. ATM implied volatility averaged 26.9%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 4.7% (HV 20d: 22.2%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.14.

Notable Days

  • 2010-02-05: Highest Volume — 1,059 contracts
  • 2010-02-09: Largest IV spike — 25.7% change
  • 2010-02-09: Highest IV Rank — 26.4%
  • 2010-02-01: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.44$19.45$21.34$20.54$21.22
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV26.9%19.7%31.7%30.6%22.4%
Expected Move7.7%5.6%8.8%8.8%6.4%
HV 20d22.2%19.2%24.7%19.2%21.6%
HV 60d21.8%20.3%22.9%22.9%20.3%
IV Rank18.9%7.4%26.4%24.7%11.8%
IV Percentile7.1%2.4%19.4%12.7%4.8%
Term Structure1.3%-1.2%7.2%-0.2%7.2%
VWIV26.8%17.9%30.4%29.8%25.9%
Skew 25d5.6%0.2%12.4%4.0%2.1%
Skew 10d13.3%2.0%31.9%10.7%2.2%
Call IV 25d24.0%18.5%29.5%28.1%22.3%
Put IV 25d29.6%23.7%34.1%32.1%24.5%
Bid-Ask Spread %28.3017.6140.1426.1933.51
Gamma HHI0.460.380.570.460.48
Net GEX77.3K-31.5K189.0K13.3K169.9K
Net DEX-1.6M-3.7M258.7K-692.0K-3.6M
Net VEX-11.8K-13.9K-9.8K-11.0K-11.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.005.670.005.67
Total Volume138.52651,059825
Total OI4,846.8424,0835,5354,0924,675

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$20.54$20.0030.6%8.8%19.2%24.7%29.8%4.0%-0.2%13.3K-692.0K-11.0K0.0026.19N/AN/A8202,4141,678
2010-02-02$20.82$20.0030.3%8.7%19.7%24.3%30.4%5.4%-1.2%32.3K-1.2M-11.1K1.4828.82N/AN/A23342,4621,678
2010-02-03$20.50$20.0029.8%8.5%20.4%23.4%0.0%5.4%-0.4%16.6K-827.6K-11.2K0.0026.94N/AN/A062,4851,698
2010-02-04$19.96$20.0029.7%8.5%21.7%23.4%29.7%4.6%2.3%-10.6K-117.5K-10.7K0.0032.98N/AN/A21602,4851,704
2010-02-05$19.80$20.0027.6%8.2%21.5%19.9%28.7%12.4%-0.6%-31.5K258.7K-9.8K0.0321.30N/AN/A1,028312,3791,704
2010-02-08$19.45$20.0025.2%8.0%21.8%16.2%27.0%8.0%1.2%44.6K-194.9K-11.5K4.4026.84N/AN/A5223,3831,718
2010-02-09$19.48$20.0031.7%7.9%21.6%26.4%27.7%8.7%1.4%49.2K-97.9K-11.7K0.0040.14N/AN/A19103,3781,737
2010-02-10$19.46$20.0026.4%8.0%21.4%18.1%0.0%9.0%0.7%32.6K23.3K-11.2K0.0019.95N/AN/A0103,3801,737
2010-02-11$19.52$20.0025.6%7.3%21.1%16.9%25.6%9.1%3.8%38.1K112.0K-11.1K1.1238.49N/AN/A2342623,3801,747
2010-02-12$19.80$20.0027.8%8.0%21.9%20.2%27.7%9.5%0.8%15.8K-383.7K-13.9K0.0025.16N/AN/A703,5801,945
2010-02-16$20.39$20.0029.8%8.5%24.7%23.5%29.8%8.0%0.5%32.4K-1.7M-13.9K3.1817.61N/AN/A11353,5801,945
2010-02-17$20.62$20.0027.7%7.9%23.7%20.2%27.7%5.5%0.9%82.9K-2.4M-13.5K0.1929.36N/AN/A163313,5841,945
2010-02-18$20.96$20.0027.0%7.7%24.5%19.1%26.8%5.4%1.1%147.5K-3.0M-12.8K0.0524.05N/AN/A2213,5731,944
2010-02-19$21.02$20.0026.4%7.6%23.6%18.1%26.4%0.9%3.4%137.8K-3.4M-12.7K2.0024.90N/AN/A16323,5911,944
2010-02-22$21.16$20.0027.0%7.7%23.3%19.0%23.1%3.3%0.0%170.3K-3.3M-12.2K0.0329.15N/AN/A6723,2941,366
2010-02-23$21.01$20.0025.7%7.4%23.4%17.0%24.5%2.9%2.0%166.6K-3.3M-11.8K0.0029.58N/AN/A2103,2741,366
2010-02-24$21.29$20.0019.7%5.6%23.8%7.4%17.9%1.8%2.5%189.0K-3.7M-10.7K0.1733.25N/AN/A3053,2951,364
2010-02-25$21.34$20.0021.2%6.1%23.5%9.9%25.9%0.2%-0.5%171.2K-3.7M-11.5K5.6729.41N/AN/A6343,3121,366
2010-02-26$21.22$20.0022.4%6.4%21.6%11.8%0.0%2.1%7.2%169.9K-3.6M-11.3K0.0033.51N/AN/A053,3081,367