NNN Options History — April 2010

In April 2010, NNN traded between $22.85 and $24.39. ATM implied volatility averaged 23.0%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.0% (HV 20d: 18.0%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2010-04-27: Highest Volume — 10,763 contracts
  • 2010-04-12: Largest IV spike — 28.4% change
  • 2010-04-14: Highest IV Rank — 27.5%
  • 2010-04-28: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.82$22.85$24.39$22.85$23.53
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV23.0%15.7%30.1%18.6%23.5%
Expected Move6.7%5.3%7.7%5.3%6.8%
HV 20d18.0%13.6%26.9%14.8%26.9%
HV 60d19.0%18.1%20.7%18.4%20.7%
IV Rank14.7%1.3%27.5%6.5%15.6%
IV Percentile14.2%0.8%27.8%3.2%17.5%
Term Structure-0.6%-3.0%4.5%4.5%2.5%
VWIV24.4%19.1%27.6%19.1%26.4%
Skew 25d4.4%0.9%10.8%10.8%0.9%
Skew 10d5.1%-3.2%14.4%9.6%-2.3%
Call IV 25d20.1%13.5%22.9%13.5%22.9%
Put IV 25d24.5%22.7%26.7%24.3%23.7%
Bid-Ask Spread %50.3132.7577.7232.7571.60
Gamma HHI0.520.430.690.690.49
Net GEX121.4K99.8K158.7K105.3K158.7K
Net DEX-2.9M-3.6M-1.8M-2.2M-2.4M
Net VEX-10.4K-11.8K-9.2K-10.9K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.0010.000.121.00
Total Volume588.952010,7632820
Total OI2,887.7622,6363,2112,6363,180

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$22.85$22.5018.6%5.3%14.8%6.5%0.0%10.8%4.5%105.3K-2.2M-10.9K0.1232.75N/AN/A2531,993643
2010-04-05$23.25$22.5019.8%6.8%13.6%8.8%0.0%7.5%0.4%106.3K-2.5M-10.6K0.5052.79N/AN/A842,018643
2010-04-06$23.73$22.5015.7%7.2%15.0%1.3%0.0%6.9%-1.5%100.7K-2.9M-10.4K0.0046.96N/AN/A0102,026643
2010-04-07$23.70$22.5018.1%7.2%14.1%5.7%0.0%4.3%-1.5%102.5K-3.0M-10.2K0.0035.77N/AN/A4402,026652
2010-04-08$23.89$22.5020.4%5.8%14.2%9.8%19.1%5.4%0.7%99.8K-3.1M-9.9K0.2139.51N/AN/A140302,026652
2010-04-09$23.88$22.5020.3%5.8%14.2%9.6%0.0%6.3%-0.9%114.2K-3.1M-10.3K0.0041.12N/AN/A002,174632
2010-04-12$23.49$22.5026.0%6.9%15.6%20.1%0.0%6.9%-0.2%115.1K-2.9M-10.3K0.0040.90N/AN/A002,174632
2010-04-13$24.11$22.5026.1%6.4%17.9%20.2%23.0%5.3%-1.8%113.5K-3.3M-10.3K1.1833.92N/AN/A1141352,174632
2010-04-14$24.11$22.5030.1%6.3%17.3%27.5%27.6%2.2%0.7%118.9K-3.3M-10.5K10.0044.69N/AN/A1102,288687
2010-04-15$23.64$22.5025.3%7.2%18.9%18.8%0.0%4.9%-1.4%117.7K-3.0M-10.5K0.0042.48N/AN/A4002,289687
2010-04-16$23.43$22.5025.7%7.4%19.2%19.5%0.0%2.5%-2.9%116.6K-2.8M-10.6K5.0046.04N/AN/A2102,289687
2010-04-19$23.63$22.5026.6%7.6%17.8%21.1%27.2%5.0%-2.6%116.2K-2.8M-10.4K0.2150.45N/AN/A3472,249687
2010-04-20$23.88$22.5022.1%6.3%18.1%12.9%0.0%4.9%-0.1%120.5K-2.9M-10.6K0.0050.55N/AN/A0962,259694
2010-04-21$24.29$22.5022.9%6.6%18.9%14.4%0.0%3.5%-0.9%124.7K-3.4M-9.8K0.0677.72N/AN/A186112,259691
2010-04-22$24.29$22.5024.6%7.1%18.8%17.6%27.2%2.8%-1.7%140.1K-3.5M-10.6K0.1064.00N/AN/A3132,436692
2010-04-23$24.27$22.5023.8%6.8%18.9%16.1%0.0%3.9%-0.2%144.1K-3.5M-10.5K0.0044.72N/AN/A0302,455692
2010-04-26$24.39$22.5022.9%6.6%18.9%14.5%21.0%2.9%-0.1%147.5K-3.6M-10.4K0.1040.32N/AN/A4952,455722
2010-04-27$23.92$22.5021.0%6.0%20.4%10.9%23.9%1.2%-2.4%142.3K-3.1M-10.5K0.0056.91N/AN/A10,730332,484727
2010-04-28$23.59$22.5026.7%7.7%21.2%21.3%26.4%2.7%-0.8%110.7K-1.8M-9.3K2.4076.99N/AN/A5121,882760
2010-04-29$24.36$22.5023.7%6.8%23.3%15.9%0.0%2.7%-3.0%134.4K-2.4M-9.2K0.0066.25N/AN/A54001,887765
2010-04-30$23.53$22.5023.5%6.8%26.9%15.6%0.0%0.9%2.5%158.7K-2.4M-11.8K1.0071.60N/AN/A10102,415765