NNN Options History — September 2010

In September 2010, NNN traded between $24.58 and $25.76. ATM implied volatility averaged 23.4%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.9% (HV 20d: 21.5%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.58.

Notable Days

  • 2010-09-24: Highest Volume — 162 contracts
  • 2010-09-07: Largest IV spike — 25.7% change
  • 2010-09-23: Highest IV Rank — 35.4%
  • 2010-09-08: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.07$24.58$25.76$24.96$25.11
Max Pain$24.76$22.50$25.00$22.50$25.00
ATM IV23.4%18.3%25.6%22.9%24.3%
Expected Move6.9%6.2%7.6%6.6%7.0%
HV 20d21.5%18.1%23.3%23.3%20.5%
HV 60d24.6%22.7%25.9%25.9%22.7%
IV Rank28.0%11.1%35.4%26.3%31.1%
IV Percentile25.2%4.0%35.7%20.6%32.1%
Term Structure1.2%-0.7%5.7%1.5%0.1%
VWIV22.8%18.7%25.6%22.8%23.4%
Skew 25d2.1%-6.3%38.6%38.6%9.3%
Skew 10d3.4%-8.2%58.2%58.2%16.0%
Call IV 25d24.3%20.4%30.0%29.4%28.4%
Put IV 25d26.4%18.7%67.9%67.9%37.7%
Bid-Ask Spread %46.3817.88103.2591.4420.37
Gamma HHI0.920.840.980.950.92
Net GEX207.0K48.8K522.0K180.0K82.7K
Net DEX-2.9M-4.7M-908.5K-4.1M-1.3M
Net VEX-6.5K-7.8K-5.4K-7.6K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.580.0030.000.130.18
Total Volume37.04801628713
Total OI2,689.191,4513,5703,4951,673

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$24.96$22.5022.9%6.6%23.3%26.3%22.8%38.6%1.5%180.0K-4.1M-7.6K0.1391.44N/AN/A77102,549946
2010-09-02$25.18$22.5022.3%6.4%22.9%24.3%21.2%-4.5%1.0%199.7K-4.5M-7.8K0.00103.25N/AN/A602,619936
2010-09-03$25.12$25.0018.3%7.0%23.0%11.1%24.6%0.1%1.0%237.5K-4.4M-7.8K0.0047.02N/AN/A8302,619936
2010-09-07$24.91$25.0023.0%7.3%22.7%26.8%0.0%6.2%0.6%227.1K-4.1M-7.5K0.0025.25N/AN/A002,601936
2010-09-08$24.81$25.0021.6%7.6%22.8%21.9%0.0%-3.0%-0.1%241.6K-4.0M-7.2K0.0037.56N/AN/A002,601936
2010-09-09$24.68$25.0024.6%7.1%21.3%32.0%0.0%-6.3%-0.4%241.4K-3.8M-7.0K10.0084.12N/AN/A1102,601936
2010-09-10$24.58$25.0024.9%7.1%21.4%33.0%0.0%-3.5%0.0%287.1K-3.5M-6.6K0.0044.41N/AN/A002,600936
2010-09-13$24.99$25.0024.1%6.9%22.0%30.6%0.0%-2.3%1.1%359.5K-4.1M-6.6K0.0037.94N/AN/A1302,600936
2010-09-14$24.89$25.0024.1%6.9%21.9%30.4%0.0%-1.7%1.6%312.2K-4.1M-6.5K0.7746.30N/AN/A13102,603936
2010-09-15$25.15$25.0021.8%6.2%20.8%22.6%21.8%-1.0%3.7%522.0K-4.6M-6.3K30.0042.04N/AN/A1302,603936
2010-09-16$24.93$25.0023.9%6.9%20.8%29.9%0.0%-1.0%0.6%469.4K-4.0M-6.4K0.1263.19N/AN/A85102,604966
2010-09-17$25.22$25.0022.6%6.5%18.1%25.4%22.6%9.7%3.2%484.7K-4.7M-6.0K0.0047.65N/AN/A9602,599956
2010-09-20$25.76$25.0025.3%7.3%19.1%34.5%0.0%2.7%0.7%49.9K-1.4M-5.6K4.8951.54N/AN/A944975476
2010-09-21$25.44$25.0024.0%6.9%19.4%30.1%24.1%0.8%2.2%50.4K-1.3M-5.7K11.0026.09N/AN/A222984480
2010-09-22$25.29$25.0023.6%6.8%19.7%28.7%0.0%0.1%1.4%49.9K-1.2M-5.7K0.0046.55N/AN/A00986497
2010-09-23$24.66$25.0025.6%7.3%21.5%35.4%25.6%-5.3%-0.5%48.8K-908.5K-5.9K0.0045.04N/AN/A04986497
2010-09-24$25.38$25.0023.4%6.7%23.2%28.1%18.7%3.4%5.7%56.5K-1.2M-5.4K0.0049.77N/AN/A1620986501
2010-09-27$25.10$25.0023.4%6.7%23.2%28.2%23.4%-4.0%0.8%81.9K-1.3M-6.0K0.0022.87N/AN/A1801,138501
2010-09-28$25.23$25.0025.5%7.3%22.7%35.0%0.0%10.4%-0.7%79.4K-1.3M-6.0K0.1023.66N/AN/A2021,146501
2010-09-29$25.02$25.0022.0%6.3%22.2%23.5%0.0%-4.8%2.8%84.7K-1.2M-6.2K0.0317.88N/AN/A3611,153502
2010-09-30$25.11$25.0024.3%7.0%20.5%31.1%0.0%9.3%0.1%82.7K-1.3M-6.1K0.1820.37N/AN/A1121,170503