NNN Options History — December 2010

In December 2010, NNN traded between $25.57 and $27.53. ATM implied volatility averaged 24.1%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.2% (HV 20d: 22.9%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2010-12-07: Highest Volume — 92 contracts
  • 2010-12-27: Largest IV spike — 143.2% change
  • 2010-12-27: Highest IV Rank — 94.4%
  • 2010-12-27: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.42$25.57$27.53$26.29$26.50
Max Pain$25.68$25.00$30.00$30.00$25.00
ATM IV24.1%19.2%47.2%25.3%23.3%
Expected Move7.0%5.5%13.5%7.3%6.7%
HV 20d22.9%18.3%24.1%18.5%18.3%
HV 60d19.7%18.5%20.8%18.5%19.0%
IV Rank30.2%16.5%94.4%33.5%27.7%
IV Percentile38.8%9.5%99.6%50.8%40.5%
Term Structure2.9%-6.2%16.6%1.3%5.6%
VWIV21.1%19.0%22.5%22.5%19.0%
Skew 25d2.9%-13.7%8.9%-0.4%4.1%
Skew 10d5.3%-2.5%17.9%16.8%3.3%
Call IV 25d22.4%16.9%57.4%28.1%21.8%
Put IV 25d25.3%16.4%43.7%27.7%26.0%
Bid-Ask Spread %85.0618.39152.65106.8460.68
Gamma HHI0.400.320.540.520.38
Net GEX927-9.1K4.3K-9.1K457
Net DEX-173.6K-329.6K-34.4K-34.4K-139.6K
Net VEX-2.0K-2.4K-1.9K-2.1K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.003.500.001.00
Total Volume13.22709200
Total OI850.6825891,034934692

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$26.29$30.0025.3%7.3%18.5%33.5%0.0%-0.4%1.3%-9.1K-34.4K-2.1K0.00106.84N/AN/A00215719
2010-12-02$27.27$30.0021.4%6.1%23.0%22.5%0.0%2.1%-3.5%108-142.7K-2.0K0.0018.39N/AN/A00215719
2010-12-03$27.19$30.0021.3%6.1%22.9%22.2%22.5%-0.2%-6.2%1.1K-167.5K-1.9K0.00100.73N/AN/A500215719
2010-12-06$27.11$25.0023.0%6.5%22.9%27.1%0.0%2.6%8.7%3.0K-277.7K-1.9K0.0080.77N/AN/A20265719
2010-12-07$27.53$25.0026.2%5.6%23.5%36.0%21.9%5.4%0.3%1.9K-329.6K-1.9K0.2842.48N/AN/A7220267719
2010-12-08$26.72$25.0020.9%6.4%24.0%21.2%0.0%5.3%3.5%2.6K-245.0K-2.1K0.0075.87N/AN/A100289735
2010-12-09$26.44$25.0021.7%8.0%24.1%23.3%0.0%8.8%-2.4%1.7K-225.4K-2.1K0.0060.73N/AN/A00299734
2010-12-10$26.31$25.0023.7%6.7%24.1%29.0%0.0%5.7%2.0%754-206.7K-2.1K0.0067.79N/AN/A00299734
2010-12-13$26.08$25.0021.3%7.2%23.9%22.1%0.0%8.3%1.3%1.0K-190.8K-2.0K0.0063.17N/AN/A00299734
2010-12-14$25.89$25.0023.2%7.3%23.9%27.6%0.0%5.7%0.6%-1.2K-159.3K-2.1K0.0060.04N/AN/A00299734
2010-12-15$25.58$25.0024.8%7.1%22.8%32.1%0.0%3.7%1.1%-6.2K-126.6K-2.0K0.0089.18N/AN/A01299734
2010-12-16$25.57$25.0026.9%7.7%22.5%37.7%0.0%3.7%-0.5%-6.3K-99.1K-2.0K0.0095.34N/AN/A00299735
2010-12-17$26.15$25.0021.2%6.1%23.9%21.9%0.0%8.2%8.4%3.5K-167.7K-1.9K0.0068.93N/AN/A20299735
2010-12-20$26.11$25.0020.7%5.9%23.9%20.5%0.0%-3.0%1.7%4.3K-149.5K-1.9K0.00101.51N/AN/A021241348
2010-12-21$26.19$25.0025.7%7.4%23.9%34.6%0.0%6.1%0.3%3.7K-145.8K-2.0K0.0099.27N/AN/A40241360
2010-12-22$26.31$25.0031.7%9.1%23.6%51.4%0.0%-0.7%2.9%4.3K-226.0K-1.9K0.00152.65N/AN/A011243360
2010-12-23$25.97$25.0019.4%5.6%22.6%17.0%0.0%0.4%16.6%3.8K-181.0K-2.0K0.00147.64N/AN/A00243369
2010-12-27$26.31$25.0047.2%13.5%23.1%94.4%0.0%-13.7%-3.5%3.6K-124.9K-2.0K3.50151.68N/AN/A1035243369
2010-12-28$26.45$25.0021.9%6.3%23.2%23.9%19.0%3.0%7.7%2.6K-150.2K-2.1K1.00107.11N/AN/A1010253394
2010-12-29$26.55$25.0021.2%6.1%22.8%22.0%0.0%8.9%11.6%2.6K-158.2K-2.2K0.0045.98N/AN/A012255404
2010-12-30$26.70$25.0019.2%5.5%22.5%16.5%0.0%0.8%6.6%2.3K-172.4K-2.2K0.0074.64N/AN/A021255416
2010-12-31$26.50$25.0023.3%6.7%18.3%27.7%0.0%4.1%5.6%457-139.6K-2.4K0.0060.68N/AN/A00255437