NNN Options History — June 2010

In June 2010, NNN traded between $20.86 and $22.84. ATM implied volatility averaged 31.1%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 5.3% (HV 20d: 36.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2010-06-18: Highest Volume — 115 contracts
  • 2010-06-09: Largest IV drop — 38.2% change
  • 2010-06-07: Highest IV Rank — 84.9%
  • 2010-06-07: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.78$20.86$22.84$21.64$21.44
Max Pain$20.45$20.00$22.50$22.50$20.00
ATM IV31.1%24.9%43.9%35.4%26.7%
Expected Move8.9%7.4%10.7%10.1%7.7%
HV 20d36.4%30.1%42.4%42.4%30.1%
HV 60d32.7%30.3%34.1%30.3%33.8%
IV Rank48.7%29.3%84.9%56.7%36.7%
IV Percentile44.5%21.0%96.0%66.3%27.0%
Term Structure-0.2%-3.3%3.4%-3.3%-2.6%
VWIV31.1%26.2%36.2%33.7%28.5%
Skew 25d0.9%-7.4%10.1%7.2%-7.4%
Skew 10d2.9%-5.3%15.0%8.7%-0.2%
Call IV 25d27.1%20.9%34.5%34.5%31.4%
Put IV 25d28.0%20.1%41.7%41.7%24.0%
Bid-Ask Spread %51.0118.8393.5285.0293.52
Gamma HHI0.500.420.690.440.46
Net GEX116.4K66.6K246.0K100.0K84.9K
Net DEX-942.4K-2.0M-365.0K-1.0M-699.1K
Net VEX-10.5K-11.7K-9.6K-11.6K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.004.500.000.00
Total Volume35.2271115141
Total OI3,315.4092,6793,6553,5352,907

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$21.64$22.5035.4%10.1%42.4%56.7%0.0%7.2%-3.3%100.0K-1.0M-11.6K0.0085.02N/AN/A102,688847
2010-06-02$22.11$22.5033.7%9.7%41.5%54.6%33.7%7.6%-2.5%115.1K-1.2M-11.7K4.5087.81N/AN/A292,688847
2010-06-03$21.90$22.5032.4%9.3%41.1%50.7%32.1%-0.7%-0.8%111.8K-1.1M-11.5K0.0083.07N/AN/A032,690850
2010-06-04$20.89$22.5041.3%10.4%41.2%77.3%36.2%1.5%-1.5%73.4K-387.3K-9.8K0.9141.49N/AN/A44402,690850
2010-06-07$20.86$20.0043.9%10.7%41.2%84.9%0.0%1.1%-1.3%67.8K-381.3K-9.9K0.0036.67N/AN/A102,701885
2010-06-08$21.19$20.0040.4%10.3%36.0%74.5%0.0%4.0%-0.1%76.7K-437.2K-9.8K0.3340.03N/AN/A1242,701884
2010-06-09$21.14$20.0024.9%10.5%35.7%29.3%0.0%3.6%-1.7%66.6K-365.0K-9.7K0.0041.22N/AN/A4502,711886
2010-06-10$21.80$20.0030.7%8.8%37.7%46.2%0.0%8.3%1.1%114.9K-899.9K-11.1K0.0018.83N/AN/A012,729886
2010-06-11$21.99$20.0028.8%8.3%37.6%43.3%28.8%8.5%3.1%129.5K-1.0M-10.8K0.0023.83N/AN/A502,729886
2010-06-14$22.21$20.0032.3%9.3%37.6%54.1%32.3%10.1%-0.4%146.9K-1.3M-11.2K0.0025.09N/AN/A4802,734886
2010-06-15$22.84$20.0031.4%9.0%39.0%51.4%0.0%5.2%0.1%171.0K-2.0M-11.6K0.0056.98N/AN/A1402,765886
2010-06-16$22.52$20.0031.5%9.0%38.2%51.6%0.0%3.8%-0.6%198.0K-1.7M-11.3K0.5036.69N/AN/A1052,769886
2010-06-17$22.59$20.0029.0%8.3%38.2%43.8%0.0%3.0%1.6%246.0K-1.7M-11.1K0.0039.40N/AN/A8002,759881
2010-06-18$22.27$20.0027.9%8.0%35.2%40.5%0.0%-0.7%1.6%240.9K-1.2M-10.7K0.0439.15N/AN/A11142,759881
2010-06-21$21.99$20.0026.2%7.5%33.5%35.1%26.2%-2.7%3.4%92.0K-895.3K-10.1K0.1220.01N/AN/A97122,068611
2010-06-22$21.49$20.0028.3%8.1%33.9%41.8%0.0%-6.7%0.6%82.8K-727.1K-9.7K0.0042.45N/AN/A2002,150623
2010-06-23$21.72$20.0028.6%8.2%33.9%42.5%0.0%-5.9%-0.5%90.0K-831.0K-10.1K0.0063.68N/AN/A302,170623
2010-06-24$21.46$20.0028.4%8.1%33.7%42.0%28.5%-7.1%-0.2%83.0K-675.2K-9.6K1.9046.59N/AN/A31592,173623
2010-06-25$21.95$20.0027.2%7.8%30.8%38.1%0.0%-4.1%-0.4%95.1K-875.0K-10.3K0.0019.70N/AN/A4302,183670
2010-06-28$21.82$20.0028.6%8.2%30.7%42.5%0.0%-3.8%0.1%95.2K-864.7K-10.2K3.0091.61N/AN/A5152,217670
2010-06-29$21.35$20.0025.9%7.4%31.1%34.1%0.0%-5.8%-0.2%79.0K-538.1K-9.6K0.0089.40N/AN/A1002,217680
2010-06-30$21.44$20.0026.7%7.7%30.1%36.7%0.0%-7.4%-2.6%84.9K-699.1K-9.6K0.0093.52N/AN/A4102,227680