NNN Options History — March 2011

In March 2011, NNN traded between $24.53 and $26.13. ATM implied volatility averaged 22.5%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 6.7% (HV 20d: 15.8%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.05.

Notable Days

  • 2011-03-21: Highest Volume — 378 contracts
  • 2011-03-07: Largest IV spike — 39.3% change
  • 2011-03-16: Highest IV Rank — 38.5%
  • 2011-03-16: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.25$24.53$26.13$25.22$26.13
Max Pain$23.80$22.50$25.00$25.00$25.00
ATM IV22.5%17.7%27.1%22.8%20.3%
Expected Move6.6%5.6%7.8%6.5%5.8%
HV 20d15.8%12.1%17.5%16.0%13.2%
HV 60d15.8%15.0%17.3%17.0%15.1%
IV Rank25.7%12.3%38.5%26.5%19.5%
IV Percentile35.7%2.8%73.0%37.7%13.9%
Term Structure0.2%-4.4%5.6%-1.4%5.5%
VWIV24.5%19.8%37.0%37.0%24.3%
Skew 25d2.4%-5.6%30.3%-3.7%6.6%
Skew 10d10.5%-7.3%59.6%-4.6%36.6%
Call IV 25d24.9%20.3%31.4%27.5%22.1%
Put IV 25d27.3%20.1%55.5%23.8%28.6%
Bid-Ask Spread %98.2054.47122.57100.61122.57
Gamma HHI0.860.730.970.760.91
Net GEX46.1K14.1K84.0K25.5K64.3K
Net DEX-837.1K-1.5M207.2K-432.3K-1.4M
Net VEX-3.8K-4.7K-3.2K-3.6K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.005.400.010.36
Total Volume59.0870378019
Total OI1,335.137531,6331,2081,203

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$25.22$25.0022.8%6.5%16.0%26.5%0.0%-3.7%-1.4%25.5K-432.3K-3.6K0.00100.61N/AN/A00619589
2011-03-02$25.33$25.0025.4%7.3%16.1%33.6%37.0%-4.9%-4.4%23.6K-433.5K-3.6K0.01101.40N/AN/A3603619589
2011-03-03$25.67$22.5020.8%6.0%16.6%20.8%21.1%-5.1%-1.3%30.1K-1.4M-3.5K0.40103.30N/AN/A104958592
2011-03-04$25.64$22.5017.7%6.2%16.6%12.3%21.7%-0.1%1.9%34.8K-1.4M-3.5K3.0054.47N/AN/A13968594
2011-03-07$25.58$22.5024.7%6.8%15.2%31.7%0.0%-0.7%-0.8%30.5K-1.4M-3.5K0.00101.94N/AN/A150969597
2011-03-08$25.65$22.5020.4%7.2%15.0%19.9%0.0%1.2%-1.0%33.1K-1.5M-3.6K0.0099.95N/AN/A320984597
2011-03-09$25.68$22.5021.2%6.5%15.0%21.9%0.0%-0.8%2.2%31.4K-1.5M-3.7K0.0099.37N/AN/A101,010597
2011-03-10$25.32$22.5022.6%6.5%15.8%26.0%0.0%-1.3%2.1%35.5K-1.3M-3.7K0.00100.35N/AN/A001,011597
2011-03-11$25.27$22.5023.9%6.9%15.8%29.6%23.9%2.6%0.0%37.3K-1.3M-3.6K1.0892.72N/AN/A12131,011597
2011-03-14$24.99$22.5025.8%7.4%16.4%34.9%0.0%-2.5%-2.0%44.8K-1.1M-3.6K0.0083.21N/AN/A1901,023610
2011-03-15$24.73$22.5025.3%7.2%16.9%33.3%0.0%-3.1%-1.6%44.0K-105.0K-3.5K5.00101.36N/AN/A420731610
2011-03-16$24.53$22.5027.1%7.8%16.9%38.5%27.1%-5.6%-1.7%31.5K126.1K-3.4K5.40100.77N/AN/A1581730630
2011-03-17$24.57$22.5024.0%6.9%16.9%29.7%24.0%-4.5%0.3%23.8K207.2K-3.3K1.84100.15N/AN/A5092725651
2011-03-18$24.87$25.0022.3%6.4%17.5%25.1%22.3%30.3%0.2%51.1K-112.1K-3.5K2.50100.02N/AN/A2460767645
2011-03-21$25.06$25.0024.2%6.9%17.4%30.4%24.2%-1.5%-0.6%14.1K-241.1K-3.2K0.00103.88N/AN/A3780481272
2011-03-22$25.02$25.0021.5%6.2%17.5%22.9%27.7%-3.2%2.2%61.4K-718.9K-4.7K0.00104.33N/AN/A30859272
2011-03-23$24.95$25.0023.4%6.7%17.5%28.0%0.0%-1.5%-1.0%60.2K-652.1K-4.6K0.0094.34N/AN/A140860272
2011-03-24$24.94$25.0020.9%6.0%17.3%21.3%20.9%-2.4%1.0%66.8K-699.2K-4.7K0.0094.88N/AN/A470874272
2011-03-25$25.25$25.0019.9%5.7%15.3%18.5%19.8%-0.3%1.2%74.0K-913.1K-4.7K0.0795.14N/AN/A151892272
2011-03-28$25.28$25.0020.2%5.8%13.7%19.1%0.0%28.8%0.4%82.6K-877.6K-4.5K0.0097.15N/AN/A40907273
2011-03-29$25.39$25.0024.3%7.0%12.1%30.5%24.3%27.0%-2.2%76.0K-922.8K-4.5K1.0598.49N/AN/A2021911273
2011-03-30$25.78$25.0019.4%5.6%13.2%16.9%0.0%-1.2%5.6%84.0K-1.2M-4.0K1.25108.31N/AN/A810901294
2011-03-31$26.13$25.0020.3%5.8%13.2%19.5%0.0%6.6%5.5%64.3K-1.4M-4.2K0.36122.57N/AN/A145909294