NNN Options History — November 2010

In November 2010, NNN traded between $25.83 and $27.73. ATM implied volatility averaged 22.7%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.5% (HV 20d: 17.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2010-11-09: Highest Volume — 81 contracts
  • 2010-11-03: Largest IV spike — 31.1% change
  • 2010-11-03: Highest IV Rank — 41.6%
  • 2010-11-03: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.65$25.83$27.73$27.14$26.01
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV22.7%18.7%28.2%19.7%25.2%
Expected Move6.3%3.9%8.1%5.6%7.2%
HV 20d17.2%14.9%19.2%15.4%18.8%
HV 60d19.1%18.3%20.0%19.7%18.5%
IV Rank26.1%15.1%41.6%17.8%33.2%
IV Percentile30.0%7.9%59.1%10.7%49.2%
Term Structure5.2%-3.2%20.8%-3.2%3.8%
VWIV22.1%12.7%26.2%12.7%24.7%
Skew 25d2.9%-8.3%9.0%-2.7%1.9%
Skew 10d7.0%-5.1%29.2%-5.1%23.9%
Call IV 25d21.4%14.1%30.4%24.8%28.6%
Put IV 25d24.3%14.3%32.5%22.0%30.5%
Bid-Ask Spread %81.5024.49141.41108.30103.01
Gamma HHI0.420.270.610.460.51
Net GEX-5.5K-12.7K1.8K-6.6K-10.6K
Net DEX-118.2K-233.6K38.2K-83.2K12.1K
Net VEX-2.0K-2.4K-1.4K-2.2K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.302.631.200.30
Total Volume16.9050811913
Total OI889.19784969784924

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$27.14$30.0019.7%5.6%15.4%17.8%0.0%-2.7%-3.2%-6.6K-83.2K-2.2K0.00108.30N/AN/A019193591
2010-11-02$27.52$30.0021.5%6.2%14.9%22.9%0.0%4.1%3.7%-1.4K-191.4K-1.6K0.0047.15N/AN/A00193601
2010-11-03$27.56$30.0028.2%8.1%14.9%41.6%0.0%4.7%3.5%-129-201.1K-1.5K0.0052.21N/AN/A00193601
2010-11-04$27.73$30.0022.7%6.5%14.9%26.3%0.0%2.3%-1.0%1.8K-233.6K-1.4K1.20108.18N/AN/A1012193601
2010-11-05$27.65$30.0020.2%5.0%15.0%19.2%0.0%3.5%0.3%425-216.4K-1.6K0.0044.12N/AN/A010203601
2010-11-08$27.48$30.0022.7%5.5%14.9%26.2%0.0%9.0%12.1%-1.3K-189.7K-1.6K0.5952.63N/AN/A1710203611
2010-11-09$26.75$30.0019.7%3.9%17.9%17.7%12.7%-2.1%9.2%637-148.7K-1.6K0.9361.76N/AN/A4239203621
2010-11-10$26.93$30.0024.6%5.9%17.7%31.6%0.0%6.9%8.3%-2.1K-224.5K-1.9K0.9147.77N/AN/A1110245660
2010-11-11$27.02$30.0018.7%5.4%17.6%15.1%0.0%7.7%11.3%-4.0K-220.3K-2.0K0.0052.85N/AN/A020256670
2010-11-12$26.67$30.0020.2%5.8%18.2%19.3%0.0%7.4%5.9%-4.4K-197.4K-2.1K0.0053.72N/AN/A00256680
2010-11-15$26.44$30.0024.3%7.0%17.6%30.5%0.0%-8.3%-1.7%-7.0K-112.6K-2.4K0.00141.41N/AN/A04256680
2010-11-16$25.83$30.0024.9%7.1%19.2%32.2%25.0%4.3%0.2%-7.0K-68.5K-2.2K0.3182.59N/AN/A3210256684
2010-11-17$26.05$30.0025.8%7.4%17.8%34.9%26.2%2.9%2.2%-6.7K-128.7K-2.3K0.0088.59N/AN/A015272690
2010-11-18$25.94$30.0024.8%7.1%17.7%31.9%0.0%4.3%0.4%-5.3K-128.3K-2.3K0.0043.87N/AN/A00272697
2010-11-19$25.99$30.0019.7%5.7%17.5%17.9%0.0%5.3%8.9%-9.0K-135.5K-2.1K2.6324.49N/AN/A821272697
2010-11-22$26.12$30.0022.4%6.4%17.3%25.2%0.0%3.3%14.7%-11.3K5.3K-2.0K0.00103.55N/AN/A00201718
2010-11-23$25.83$30.0022.4%6.4%17.5%25.4%24.7%8.1%7.4%-12.7K38.2K-2.2K0.00128.75N/AN/A040201718
2010-11-24$26.41$30.0024.1%6.9%18.4%30.0%0.0%0.1%20.8%-9.3K-7.7K-2.1K1.00134.74N/AN/A44201715
2010-11-26$26.31$30.0024.1%6.9%18.5%29.9%0.0%3.1%-0.6%-10.6K-21.8K-2.1K0.00119.82N/AN/A04205715
2010-11-29$26.33$30.0020.3%5.8%18.4%19.6%0.0%-4.6%3.0%-8.0K-29.0K-2.1K0.00111.92N/AN/A00205719
2010-11-30$26.01$30.0025.2%7.2%18.8%33.2%0.0%1.9%3.8%-10.6K12.1K-2.2K0.30103.01N/AN/A103205719