NNN Options History — January 2011

In January 2011, NNN traded between $24.55 and $26.72. ATM implied volatility averaged 24.2%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 7.6% (HV 20d: 16.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2011-01-25: Highest Volume — 165 contracts
  • 2011-01-24: Largest IV drop — 14.7% change
  • 2011-01-20: Highest IV Rank — 41.5%
  • 2011-01-20: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.15$24.55$26.72$26.72$24.85
Max Pain$23.68$22.50$25.00$25.00$25.00
ATM IV24.2%21.2%28.2%25.1%23.4%
Expected Move7.1%6.1%8.1%7.2%6.7%
HV 20d16.6%14.6%19.8%18.6%16.9%
HV 60d19.2%18.6%19.7%19.0%19.3%
IV Rank30.4%22.0%41.5%32.9%28.3%
IV Percentile46.9%21.8%74.2%54.8%40.9%
Term Structure0.8%-1.8%8.4%6.5%-0.7%
VWIV26.8%21.4%41.8%27.6%24.2%
Skew 25d0.5%-8.8%7.7%7.7%-7.3%
Skew 10d0.8%-14.3%8.9%7.8%-12.1%
Call IV 25d25.7%21.1%29.7%21.1%28.7%
Put IV 25d26.2%19.2%31.0%28.9%21.4%
Bid-Ask Spread %71.9235.07105.6439.9383.56
Gamma HHI0.470.290.640.420.61
Net GEX5.4K-4.9K16.8K1.2K14.6K
Net DEX-32.6K-187.4K120.3K-157.2K-101.6K
Net VEX-2.8K-3.6K-2.3K-2.3K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.004.751.000.00
Total Volume41.45016503
Total OI898.26921,1216921,115

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$26.72$25.0025.1%7.2%18.6%32.9%0.0%7.7%6.5%1.2K-157.2K-2.3K0.0039.93N/AN/A00255437
2011-01-04$26.19$25.0021.7%6.2%19.8%23.4%0.0%-1.3%8.4%520-101.1K-2.3K0.00105.64N/AN/A00255437
2011-01-05$26.10$25.0021.9%6.3%18.7%23.9%0.0%0.9%7.3%117-84.5K-2.3K0.0038.88N/AN/A00255437
2011-01-06$25.62$25.0023.9%6.9%16.9%29.7%0.0%-2.5%4.7%-324-35.3K-2.3K1.0039.07N/AN/A1010255437
2011-01-07$25.38$0.0024.4%7.9%16.8%31.0%27.6%4.5%-1.7%-1.5K25.3K-2.4K4.7578.71N/AN/A838265447
2011-01-10$25.10$25.0025.1%8.0%17.1%32.8%41.8%3.6%-1.2%-4.9K105.5K-2.5K0.1788.88N/AN/A468273485
2011-01-11$24.85$22.5022.9%7.9%17.2%26.6%0.0%6.3%-1.8%-3.1K36.9K-2.6K3.0057.83N/AN/A13319493
2011-01-12$24.76$22.5024.4%7.1%17.1%30.9%24.7%-4.9%-0.5%-4.5K120.3K-2.5K0.1783.87N/AN/A122318496
2011-01-13$24.85$22.5025.4%7.3%16.8%33.6%37.8%5.8%0.8%-3.3K88.4K-2.6K0.0974.09N/AN/A787330498
2011-01-14$24.81$22.5026.1%7.5%16.8%35.6%26.1%-4.9%-1.8%4.8K12.6K-2.6K1.2569.59N/AN/A45393505
2011-01-18$25.02$22.5025.9%7.4%14.8%35.1%25.6%1.2%-0.3%5.4K-14.7K-2.5K1.2995.11N/AN/A4558397510
2011-01-19$24.75$22.5027.4%7.8%15.1%39.1%0.0%2.6%-1.3%10.2K-17.8K-2.9K0.6244.86N/AN/A138441528
2011-01-20$24.55$22.5028.2%8.1%15.0%41.5%0.0%0.4%-1.7%12.3K26.6K-2.8K0.0092.56N/AN/A40454536
2011-01-21$24.61$22.5025.9%7.4%14.9%35.2%25.2%4.9%-0.7%13.7K42.7K-2.8K0.1256.13N/AN/A496458536
2011-01-24$24.66$22.5022.1%6.3%14.6%24.5%22.1%0.9%-0.2%7.9K-23.6K-2.8K0.3186.31N/AN/A8125454527
2011-01-25$25.21$22.5021.2%6.1%16.1%22.0%21.6%3.9%2.2%9.4K-175.4K-3.1K0.1996.19N/AN/A13926528549
2011-01-26$25.33$25.0023.8%6.8%16.1%29.4%23.8%-6.0%-0.6%14.3K-187.4K-3.5K0.1489.12N/AN/A7210531575
2011-01-27$24.93$25.0021.4%6.1%16.6%22.7%21.4%-8.8%0.6%16.8K-133.1K-3.6K0.0382.99N/AN/A331537577
2011-01-28$24.67$25.0024.2%6.9%16.5%30.3%24.2%2.5%-1.7%15.0K-78.5K-3.6K0.7135.07N/AN/A1410543578
2011-01-31$24.85$25.0023.4%6.7%16.9%28.3%0.0%-7.3%-0.7%14.6K-101.6K-3.6K0.0083.56N/AN/A30537578