NNN Options History — August 2010

In August 2010, NNN traded between $23.27 and $24.50. ATM implied volatility averaged 24.0%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.4% (HV 20d: 23.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.96.

Notable Days

  • 2010-08-17: Highest Volume — 141 contracts
  • 2010-08-05: Largest IV spike — 51.0% change
  • 2010-08-24: Highest IV Rank — 59.1%
  • 2010-08-24: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.75$23.27$24.50$23.39$24.36
Max Pain$22.73$22.50$25.00$22.50$22.50
ATM IV24.0%15.8%32.7%30.1%20.7%
Expected Move7.3%5.6%9.4%8.6%5.9%
HV 20d23.6%20.1%30.5%30.5%21.9%
HV 60d29.2%25.5%32.6%32.6%25.7%
IV Rank30.2%2.6%59.1%50.3%19.0%
IV Percentile24.7%1.6%69.0%47.6%11.1%
Term Structure2.1%-4.0%12.6%-2.1%11.7%
VWIV26.7%15.8%32.9%22.6%24.6%
Skew 25d4.1%-7.5%17.8%10.5%5.3%
Skew 10d3.2%-7.1%26.6%3.7%-5.0%
Call IV 25d22.5%14.9%27.6%19.3%20.4%
Put IV 25d26.6%16.5%32.7%29.8%25.6%
Bid-Ask Spread %57.3825.62107.6547.13107.65
Gamma HHI0.470.430.540.440.54
Net GEX169.9K141.7K197.7K144.3K192.4K
Net DEX-2.6M-3.4M-2.1M-2.2M-3.2M
Net VEX-10.3K-11.9K-8.6K-11.8K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.004.200.001.36
Total Volume24.40901411626
Total OI3,435.2273,3663,4923,3663,487

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$23.39$22.5030.1%8.6%30.5%50.3%0.0%10.5%-2.1%144.3K-2.2M-11.8K0.0047.13N/AN/A1602,462904
2010-08-03$23.53$22.5028.0%8.0%29.2%43.4%22.6%8.1%1.7%142.8K-2.3M-11.9K1.3369.93N/AN/A15202,472904
2010-08-04$23.58$25.0021.0%6.0%24.9%20.2%15.8%1.3%1.6%154.0K-2.4M-11.6K4.2043.60N/AN/A10422,484924
2010-08-05$23.34$25.0031.8%9.1%25.1%55.9%0.0%12.2%-4.0%141.7K-2.1M-11.5K1.0025.62N/AN/A10102,488930
2010-08-06$23.39$22.5023.0%7.8%25.0%26.7%0.0%-0.3%0.5%146.8K-2.1M-11.3K0.0082.67N/AN/A002,478940
2010-08-09$23.81$22.5015.8%7.3%25.5%2.6%0.0%-0.6%0.5%169.6K-2.6M-10.6K0.0066.04N/AN/A0102,478940
2010-08-10$23.75$22.5020.0%8.0%24.9%16.6%0.0%3.1%-0.3%160.4K-2.6M-10.9K0.0029.57N/AN/A1602,478950
2010-08-11$23.27$22.5022.8%8.2%26.1%26.0%28.3%2.8%1.1%147.6K-2.1M-11.1K0.0044.94N/AN/A102,489950
2010-08-12$23.42$22.5028.8%8.2%26.2%45.9%0.0%0.9%0.7%154.1K-2.2M-10.9K0.0028.17N/AN/A602,488950
2010-08-13$23.40$22.5030.3%8.7%24.5%51.0%30.3%4.2%0.8%149.5K-2.3M-10.9K1.6794.41N/AN/A6102,494950
2010-08-16$23.65$22.5030.7%8.8%24.7%52.5%29.4%3.4%-0.3%158.0K-2.4M-10.5K0.0091.78N/AN/A1802,500960
2010-08-17$24.20$22.5024.7%7.1%24.7%32.5%25.2%0.8%-0.2%184.0K-3.0M-9.9K3.5537.43N/AN/A311102,501960
2010-08-18$24.50$22.5023.8%6.8%21.8%29.5%23.9%-0.2%2.7%190.0K-3.4M-9.5K0.6386.21N/AN/A852,504980
2010-08-19$23.83$22.5020.7%5.9%21.4%19.0%0.0%2.2%2.7%176.3K-2.8M-10.0K0.0032.74N/AN/A002,499975
2010-08-20$23.78$22.5020.4%5.8%21.3%18.1%0.0%3.0%4.3%193.6K-2.6M-9.6K0.0064.58N/AN/A1502,499975
2010-08-23$23.54$22.5022.6%6.5%20.1%25.5%0.0%4.0%8.6%187.2K-2.5M-9.3K0.0038.93N/AN/A1002,481916
2010-08-24$23.66$22.5032.7%9.4%20.2%59.1%32.9%17.8%-1.5%167.0K-2.4M-9.9K0.5063.42N/AN/A20102,490916
2010-08-25$24.05$22.5021.4%6.1%20.1%21.4%32.8%6.0%0.5%195.3K-2.9M-9.3K0.0676.91N/AN/A1812,510913
2010-08-26$23.83$22.5020.2%5.8%20.3%17.3%0.0%-7.5%2.4%195.0K-2.9M-9.2K0.0049.57N/AN/A002,520912
2010-08-27$24.20$22.5019.7%5.6%20.8%15.7%27.7%12.4%12.6%191.0K-3.0M-9.3K2.1045.20N/AN/A21442,520912
2010-08-30$23.91$22.5020.0%5.7%21.0%16.9%0.0%1.9%2.1%197.7K-2.8M-8.8K0.0035.78N/AN/A0282,541951
2010-08-31$24.36$22.5020.7%5.9%21.9%19.0%24.6%5.3%11.7%192.4K-3.2M-8.6K1.36107.65N/AN/A11152,541946