NNN Options History — March 2010

In March 2010, NNN traded between $21.37 and $23.42. ATM implied volatility averaged 21.0%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.5% (HV 20d: 15.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.23.

Notable Days

  • 2010-03-03: Highest Volume — 528 contracts
  • 2010-03-18: Largest IV drop — 18.4% change
  • 2010-03-16: Highest IV Rank — 15.2%
  • 2010-03-10: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.72$21.37$23.42$21.37$22.83
Max Pain$22.07$20.00$22.50$20.00$22.50
ATM IV21.0%17.9%24.0%20.6%17.9%
Expected Move6.0%5.1%6.7%5.9%5.1%
HV 20d15.5%12.0%21.5%21.5%14.9%
HV 60d18.7%18.1%19.8%19.8%18.5%
IV Rank10.6%5.3%15.2%8.9%5.3%
IV Percentile5.7%1.2%10.3%3.6%1.2%
Term Structure2.8%0.6%9.0%1.0%4.8%
VWIV21.3%19.5%22.7%21.6%19.5%
Skew 25d9.7%-4.8%58.5%3.8%5.7%
Skew 10d22.4%-6.4%90.5%20.8%5.8%
Call IV 25d21.4%19.7%23.8%23.0%19.7%
Put IV 25d31.0%17.0%80.8%26.8%25.4%
Bid-Ask Spread %36.7215.4270.4432.5370.44
Gamma HHI0.750.480.940.480.68
Net GEX156.1K89.6K246.5K174.3K100.8K
Net DEX-4.9M-7.7M-2.3M-3.8M-2.3M
Net VEX-11.1K-12.6K-9.3K-10.7K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.009.000.001.50
Total Volume62.91305282225
Total OI4,305.9132,5735,5114,6802,621

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$21.37$20.0020.6%5.9%21.5%8.9%0.0%3.8%1.0%174.3K-3.8M-10.7K0.0032.53N/AN/A2203,3081,372
2010-03-02$21.48$20.0018.7%5.4%20.9%5.9%0.0%6.3%2.7%168.6K-4.1M-10.1K0.0030.78N/AN/A2003,3301,372
2010-03-03$21.68$20.0018.4%5.3%20.6%5.4%21.6%-3.7%2.1%169.6K-4.5M-9.3K0.0222.77N/AN/A518103,3501,372
2010-03-04$21.66$20.0019.0%5.5%19.6%6.5%20.8%-4.8%0.7%188.0K-4.9M-12.6K0.4223.37N/AN/A38163,8601,381
2010-03-05$22.19$22.5022.0%6.5%17.7%11.2%22.7%58.5%0.6%182.8K-5.7M-11.8K7.5036.37N/AN/A2153,8721,381
2010-03-08$22.38$22.5023.6%6.5%17.0%13.8%22.7%0.6%2.5%206.0K-5.9M-11.9K0.6043.37N/AN/A25153,8741,378
2010-03-09$22.75$22.5024.0%6.5%14.8%14.4%0.0%46.4%1.9%212.2K-6.4M-11.6K0.0343.93N/AN/A6923,8861,378
2010-03-10$22.89$22.5022.8%6.7%14.6%14.1%0.0%30.2%1.2%216.9K-6.7M-11.5K0.4215.42N/AN/A24103,9281,380
2010-03-11$22.99$22.5021.5%6.2%14.3%11.9%0.0%7.6%3.9%223.2K-6.9M-11.4K0.0025.70N/AN/A1003,9421,385
2010-03-12$23.07$22.5020.9%6.0%14.3%10.8%20.9%1.6%3.4%221.8K-7.0M-11.1K0.0040.63N/AN/A6003,9471,385
2010-03-15$23.02$22.5022.9%6.6%14.6%14.4%0.0%6.8%2.7%222.3K-7.1M-11.0K0.2528.56N/AN/A40103,9621,385
2010-03-16$23.36$22.5023.3%6.7%12.4%15.2%0.0%6.5%1.1%133.8K-7.5M-10.6K0.0032.87N/AN/A12103,9661,395
2010-03-17$23.42$22.5022.0%6.3%12.4%12.8%0.0%6.4%3.4%128.8K-7.7M-10.9K1.8249.03N/AN/A11204,0801,395
2010-03-18$23.40$22.5018.0%5.1%12.0%5.5%0.0%5.0%9.0%136.8K-7.7M-10.8K0.0070.32N/AN/A2804,0861,415
2010-03-19$22.93$22.5019.5%5.6%15.1%8.2%19.5%4.2%4.4%246.5K-7.2M-11.1K0.0534.68N/AN/A190104,0961,415
2010-03-22$22.95$22.5021.6%6.2%15.1%12.0%0.0%5.9%3.3%93.6K-2.3M-11.4K1.8028.02N/AN/A10181,944649
2010-03-23$22.99$22.5021.0%6.0%14.6%10.9%0.0%6.9%2.5%94.8K-2.3M-11.4K9.0033.57N/AN/A3271,952631
2010-03-24$22.96$22.5021.0%6.0%14.4%11.1%0.0%8.7%4.0%89.6K-2.3M-11.5K0.0032.03N/AN/A051,952655
2010-03-25$22.97$22.5020.9%6.0%14.4%10.8%0.0%4.3%3.3%92.2K-2.4M-11.2K0.0038.31N/AN/A001,952660
2010-03-26$23.09$22.5021.3%6.1%14.0%11.6%0.0%5.0%2.2%93.8K-2.4M-11.0K0.0037.71N/AN/A1501,952628
2010-03-29$23.11$22.5022.0%6.3%14.0%12.9%0.0%4.7%1.5%97.6K-2.4M-10.7K2.5036.09N/AN/A8201,945628
2010-03-30$23.09$22.5020.8%6.0%14.1%10.7%0.0%6.4%2.2%95.5K-2.4M-11.1K0.0038.03N/AN/A3001,953638
2010-03-31$22.83$22.5017.9%5.1%14.9%5.3%0.0%5.7%4.8%100.8K-2.3M-10.8K1.5070.44N/AN/A10151,983638