NNN Options History — October 2010

In October 2010, NNN traded between $25.19 and $27.73. ATM implied volatility averaged 22.6%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.9% (HV 20d: 18.6%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 5.58.

Notable Days

  • 2010-10-26: Highest Volume — 4,530 contracts
  • 2010-10-13: Largest IV spike — 82.9% change
  • 2010-10-13: Highest IV Rank — 100.0%
  • 2010-10-19: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.72$25.19$27.73$25.19$27.10
Max Pain$25.71$25.00$30.00$25.00$30.00
ATM IV22.6%13.3%49.2%23.1%18.7%
Expected Move6.9%5.2%8.1%6.6%5.4%
HV 20d18.6%13.2%21.3%20.3%15.8%
HV 60d20.9%19.3%22.9%22.6%19.7%
IV Rank26.1%0.0%100.0%27.1%15.0%
IV Percentile24.7%0.0%100.0%25.8%7.5%
Term Structure-3.3%-16.5%3.4%2.7%-2.8%
VWIV22.7%16.4%25.6%25.1%25.0%
Skew 25d2.0%-5.2%9.3%8.4%-2.3%
Skew 10d2.4%-5.7%16.8%16.8%-5.1%
Call IV 25d20.8%17.6%28.3%28.3%23.4%
Put IV 25d22.8%15.4%36.7%36.7%21.1%
Bid-Ask Spread %80.0521.36113.6126.76112.03
Gamma HHI0.890.460.990.940.48
Net GEX47.2K-5.9K102.1K84.2K-5.9K
Net DEX-1.7M-2.4M-79.7K-1.3M-79.7K
Net VEX-4.1K-6.1K-1.8K-6.1K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.580.0056.000.452.00
Total Volume238.1904,530583
Total OI1,501.2867711,7131,664782

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$25.19$25.0023.1%6.6%20.3%27.1%0.0%8.4%2.7%84.2K-1.3M-6.1K0.4526.76N/AN/A40181,161503
2010-10-04$25.54$25.0018.8%7.2%20.8%12.6%25.1%4.7%0.7%102.1K-1.5M-6.1K0.0081.30N/AN/A701,161517
2010-10-05$26.00$25.0015.0%7.4%21.3%0.3%0.0%1.3%-0.2%69.9K-1.9M-5.3K0.7593.38N/AN/A431,168517
2010-10-06$26.03$25.0013.3%7.3%21.2%0.0%25.6%3.6%-0.9%64.0K-1.9M-5.4K0.1445.94N/AN/A2231,172517
2010-10-07$26.21$25.0016.0%8.0%21.1%8.7%0.0%7.4%-3.6%61.2K-2.1M-4.8K0.0021.36N/AN/A001,172520
2010-10-08$26.39$25.0017.6%7.2%20.9%14.2%0.0%7.2%-2.7%61.8K-2.3M-4.1K0.0025.34N/AN/A031,172520
2010-10-11$26.22$25.0022.7%7.2%20.6%30.8%25.1%3.7%-0.3%59.4K-2.1M-4.9K0.1694.24N/AN/A3861,172523
2010-10-12$26.46$25.0026.9%8.0%20.6%44.4%0.0%6.1%-2.2%51.5K-2.1M-5.0K13.0066.88N/AN/A1131,172519
2010-10-13$26.73$25.0049.2%8.0%20.6%100.0%16.4%9.3%-2.2%55.5K-2.2M-4.6K0.0071.99N/AN/A3701,173522
2010-10-14$26.58$25.0024.9%7.1%20.4%32.4%0.0%4.8%-1.9%53.1K-2.2M-4.7K0.0074.02N/AN/A2001,174522
2010-10-15$26.72$25.0025.0%7.2%20.2%32.5%0.0%-0.8%-6.8%52.8K-2.4M-4.1K56.00110.30N/AN/A1561,191522
2010-10-18$27.11$25.0025.0%7.2%19.5%32.7%25.0%5.9%-2.6%46.7K-1.9M-4.0K0.9595.79N/AN/A2120971528
2010-10-19$27.01$25.0028.4%8.1%18.8%42.1%0.0%-1.3%-11.3%46.1K-1.9M-3.9K0.9475.82N/AN/A1716991529
2010-10-20$27.56$25.0019.8%5.7%19.5%18.0%17.2%-2.5%-4.4%39.4K-2.1M-3.4K10.00109.08N/AN/A110987539
2010-10-21$27.33$25.0027.3%7.8%16.8%38.9%0.0%-5.2%-16.5%42.9K-2.0M-3.5K0.0069.24N/AN/A190988533
2010-10-22$27.51$25.0020.5%5.9%14.4%20.2%22.4%-0.1%-3.6%42.2K-2.0M-3.6K0.2769.32N/AN/A113969533
2010-10-25$27.73$25.0020.4%5.9%13.2%19.9%0.0%-0.4%-4.6%37.9K-2.0M-3.3K15.75107.78N/AN/A463962530
2010-10-26$27.61$25.0024.1%6.9%13.6%30.0%0.0%-3.3%-7.7%37.6K-2.0M-3.4K0.00113.61N/AN/A4,5264964580
2010-10-27$27.04$30.0019.0%5.5%15.8%15.9%0.0%-1.1%3.4%-5.2K-139.4K-1.8K0.00109.13N/AN/A010191580
2010-10-28$27.05$30.0018.0%5.2%15.8%13.2%0.0%-3.8%-1.8%-5.4K-139.9K-1.8K0.00107.82N/AN/A20191589
2010-10-29$27.10$30.0018.7%5.4%15.8%15.0%25.0%-2.3%-2.8%-5.9K-79.7K-2.1K2.00112.03N/AN/A12193589