NNN Options History — July 2010

In July 2010, NNN traded between $21.05 and $23.74. ATM implied volatility averaged 28.6%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 0.7% (HV 20d: 29.3%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.15.

Notable Days

  • 2010-07-16: Highest Volume — 442 contracts
  • 2010-07-15: Largest IV spike — 30.1% change
  • 2010-07-29: Highest IV Rank — 57.4%
  • 2010-07-06: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.62$21.05$23.74$21.67$23.12
Max Pain$20.71$20.00$22.50$20.00$22.50
ATM IV28.6%23.0%32.2%27.3%30.5%
Expected Move8.5%7.8%10.3%7.8%8.7%
HV 20d29.3%25.0%31.7%30.2%30.7%
HV 60d35.0%33.9%36.4%33.9%34.0%
IV Rank43.8%25.2%57.4%38.7%51.7%
IV Percentile38.3%17.1%60.7%29.4%50.4%
Term Structure-1.5%-4.8%1.4%-1.2%-2.5%
VWIV29.2%26.8%32.2%29.0%32.2%
Skew 25d6.9%-9.2%13.6%-4.0%9.5%
Skew 10d7.9%-6.0%20.8%-6.0%6.2%
Call IV 25d22.3%16.8%32.5%28.2%19.2%
Put IV 25d29.2%22.2%35.0%24.2%28.7%
Bid-Ask Spread %64.3919.24103.91100.2919.24
Gamma HHI0.490.420.640.480.42
Net GEX137.6K61.2K216.2K89.2K130.1K
Net DEX-1.5M-2.5M-218.8K-631.0K-1.9M
Net VEX-10.5K-12.0K-8.1K-9.6K-12.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.0030.0030.000.00
Total Volume7504421317
Total OI3,131.1432,9183,4352,9423,349

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$21.67$20.0027.3%7.8%30.2%38.7%0.0%-4.0%-1.2%89.2K-631.0K-9.6K0.00100.29N/AN/A0132,262680
2010-07-02$21.46$20.0029.9%8.6%25.0%46.7%29.0%-9.2%-1.4%84.3K-624.3K-9.5K30.00103.91N/AN/A1302,262678
2010-07-06$21.05$20.0023.7%10.3%26.1%27.2%0.0%-2.0%-3.8%61.2K-218.8K-8.1K0.0048.87N/AN/A4502,263678
2010-07-07$22.05$20.0024.8%8.1%30.4%30.8%0.0%12.1%1.2%105.6K-895.2K-9.7K0.0045.48N/AN/A3302,240678
2010-07-08$22.32$20.0028.1%8.0%30.5%41.0%0.0%10.2%1.2%125.8K-1.1M-10.1K0.0020.67N/AN/A4202,259678
2010-07-09$22.48$20.0027.0%8.0%28.8%37.7%27.4%12.9%-1.0%139.0K-1.3M-10.2K0.0028.89N/AN/A7902,297678
2010-07-12$22.38$20.0030.6%8.7%28.7%48.8%0.0%10.2%-1.6%147.1K-1.3M-10.2K0.7123.00N/AN/A28202,368678
2010-07-13$22.80$20.0031.8%8.2%29.2%52.7%0.0%10.4%-1.3%169.5K-1.6M-10.4K0.0071.25N/AN/A5602,390698
2010-07-14$22.82$20.0023.0%8.7%27.5%25.2%30.1%10.9%-2.3%185.1K-1.7M-10.4K0.7273.56N/AN/A29212,404698
2010-07-15$22.80$20.0030.0%8.6%27.0%46.8%0.0%0.3%-1.7%191.6K-1.7M-10.4K0.0092.29N/AN/A002,431681
2010-07-16$22.27$20.0028.8%8.2%28.3%43.1%27.5%7.6%0.5%216.2K-1.1M-9.6K0.0071.92N/AN/A44202,431681
2010-07-19$22.38$20.0027.9%8.0%27.9%41.9%26.8%9.0%1.4%114.4K-1.2M-10.2K0.3658.54N/AN/A45162,446671
2010-07-20$22.90$20.0028.1%8.0%28.6%43.6%28.1%13.2%-1.6%137.8K-1.7M-10.9K1.6075.50N/AN/A10162,491685
2010-07-21$22.24$20.0030.5%8.7%29.4%51.7%30.5%-4.3%-3.3%119.3K-1.2M-10.3K1.6094.67N/AN/A10162,501699
2010-07-22$23.06$20.0029.3%8.4%31.7%47.6%29.3%3.9%-2.7%141.4K-1.8M-11.1K1.2271.28N/AN/A18222,506715
2010-07-23$23.21$22.5027.5%7.9%31.2%41.6%0.0%6.1%-1.8%151.8K-1.9M-10.8K2.0048.65N/AN/A15302,519737
2010-07-26$23.74$22.5031.4%9.0%31.2%54.8%31.3%13.6%-2.9%155.0K-2.5M-11.3K1.5295.16N/AN/A961462,516767
2010-07-27$23.74$22.5028.2%8.1%31.0%44.0%29.3%11.6%-1.7%158.6K-2.4M-11.7K0.1295.41N/AN/A185232,552883
2010-07-28$23.35$22.5029.0%8.3%30.5%46.8%0.0%10.1%-0.3%132.4K-2.0M-11.9K0.0093.45N/AN/A3002,407886
2010-07-29$23.23$22.5032.2%9.2%30.7%57.4%32.2%12.8%-4.8%134.3K-2.0M-12.0K1.0520.16N/AN/A20212,425886
2010-07-30$23.12$22.5030.5%8.7%30.7%51.7%0.0%9.5%-2.5%130.1K-1.9M-12.0K0.0019.24N/AN/A1702,445904