NNN Options History — May 2010

In May 2010, NNN traded between $21.07 and $24.14. ATM implied volatility averaged 31.6%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 7.1% (HV 20d: 38.7%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 8.54.

Notable Days

  • 2010-05-12: Highest Volume — 612 contracts
  • 2010-05-06: Largest IV spike — 38.3% change
  • 2010-05-20: Highest IV Rank — 66.9%
  • 2010-05-20: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.33$21.07$24.14$24.14$21.98
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV31.6%23.5%41.0%23.5%32.3%
Expected Move9.2%6.7%11.7%6.7%9.3%
HV 20d38.7%27.7%44.9%27.7%43.6%
HV 60d26.4%20.3%30.5%20.3%30.5%
IV Rank38.3%15.5%66.9%15.5%48.2%
IV Percentile45.9%17.5%86.1%17.5%49.2%
Term Structure-0.8%-4.1%3.9%-0.6%-1.5%
VWIV31.9%23.7%37.6%23.7%32.4%
Skew 25d5.9%-3.5%12.7%3.9%-3.5%
Skew 10d7.9%-6.2%44.6%-0.6%-0.5%
Call IV 25d28.7%22.7%35.5%23.1%29.7%
Put IV 25d34.6%22.5%44.7%27.0%26.2%
Bid-Ask Spread %62.4928.35147.7472.8194.29
Gamma HHI0.480.340.650.530.45
Net GEX29.0K-141.3K164.0K164.0K109.0K
Net DEX-805.1K-2.7M1.2M-2.7M-1.3M
Net VEX-12.4K-13.9K-11.0K-12.1K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.540.00121.400.001.00
Total Volume104.356123014
Total OI3,815.23,2004,4623,2003,533

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$24.14$22.5023.5%6.7%27.7%15.5%23.7%3.9%-0.6%164.0K-2.7M-12.1K0.0072.81N/AN/A3002,425775
2010-05-04$23.23$22.5025.6%7.3%30.2%19.4%25.7%-0.2%0.3%121.3K-1.9M-11.6K1.8136.10N/AN/A1602892,426775
2010-05-05$22.76$22.5027.4%7.9%31.0%22.7%0.0%-2.1%-1.4%81.9K-1.4M-13.1K0.0029.87N/AN/A0112,5861,054
2010-05-06$21.73$22.5037.9%10.9%34.5%41.8%32.2%3.8%3.9%54.7K-637.5K-12.3K1.79147.74N/AN/A24432,5861,065
2010-05-07$21.71$22.5029.9%8.3%34.5%27.1%0.0%10.8%-0.3%42.8K-390.5K-11.9K0.0036.07N/AN/A052,5931,108
2010-05-10$22.94$22.5027.5%8.3%40.1%22.8%29.4%4.6%0.1%56.5K-1.4M-13.0K0.4890.91N/AN/A21102,5931,108
2010-05-11$23.15$22.5027.3%8.7%39.1%22.4%0.0%5.8%-0.3%73.8K-1.7M-13.2K0.6531.15N/AN/A31202,6071,118
2010-05-12$23.27$22.5024.8%8.6%39.1%17.9%30.1%1.9%-0.2%84.3K-1.9M-13.7K121.4038.40N/AN/A56072,6381,138
2010-05-13$22.90$22.5028.7%8.2%38.9%25.0%28.9%4.1%1.5%-52.7K-1.1M-13.9K1.1030.90N/AN/A10112,6231,715
2010-05-14$22.63$22.5030.0%8.6%39.0%34.6%0.0%3.2%-0.2%-89.0K-544.0K-13.5K0.0031.45N/AN/A2002,6331,723
2010-05-17$22.62$22.5033.1%9.5%38.8%41.8%37.6%6.1%-1.8%-129.8K-490.7K-13.1K5.5028.35N/AN/A10552,6531,723
2010-05-18$22.05$22.5033.1%9.5%39.4%41.8%33.1%12.5%-1.6%-141.3K422.6K-12.5K0.2332.13N/AN/A52122,6591,734
2010-05-19$21.97$22.5031.7%9.1%38.6%39.2%31.4%9.0%-0.2%-107.5K548.6K-12.3K1.3735.31N/AN/A46632,6721,745
2010-05-20$21.07$22.5041.0%11.7%40.7%66.9%0.0%5.8%-2.1%47.7K1.2M-11.3K16.0083.63N/AN/A1162,7041,757
2010-05-21$21.81$22.5034.9%10.0%43.2%51.5%34.6%12.7%-2.4%-70.0K757.0K-11.5K1.8486.38N/AN/A551012,7051,757
2010-05-24$21.42$22.5037.3%10.7%43.3%61.1%37.5%10.8%-2.6%74.8K-851.5K-11.5K0.3190.26N/AN/A48152,435850
2010-05-25$21.62$22.5035.9%10.3%43.4%58.1%0.0%11.3%-1.4%73.5K-742.1K-11.3K0.0092.05N/AN/A1002,426851
2010-05-26$21.28$22.5037.1%10.6%43.4%61.6%37.5%5.4%-4.1%68.7K-690.1K-11.0K0.0082.54N/AN/A24902,431851
2010-05-27$22.23$22.5031.9%9.1%44.9%47.0%31.9%11.1%-1.8%117.3K-1.3M-12.4K0.3179.50N/AN/A32102,678851
2010-05-28$21.98$22.5032.3%9.3%43.6%48.2%32.4%-3.5%-1.5%109.0K-1.3M-12.3K1.0094.29N/AN/A772,691842