NNN Options History — April 2011

In April 2011, NNN traded between $25.20 and $26.43. ATM implied volatility averaged 22.1%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 9.2% (HV 20d: 12.9%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.92.

Notable Days

  • 2011-04-26: Highest Volume — 484 contracts
  • 2011-04-08: Largest IV spike — 106.2% change
  • 2011-04-08: Highest IV Rank — 60.6%
  • 2011-04-01: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.88$25.20$26.43$25.95$26.34
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV22.1%16.6%35.1%27.4%24.2%
Expected Move6.3%4.8%7.9%7.9%6.9%
HV 20d12.9%12.3%13.6%13.4%12.6%
HV 60d14.3%13.7%15.2%15.2%14.0%
IV Rank24.5%9.3%60.6%39.3%30.3%
IV Percentile31.2%2.0%95.6%75.0%53.2%
Term Structure-1.1%-16.2%6.9%-16.2%0.7%
VWIV20.5%12.9%24.5%22.8%15.5%
Skew 25d3.6%-2.6%24.8%-1.1%7.2%
Skew 10d10.6%-4.0%50.6%8.9%50.6%
Call IV 25d20.5%16.5%27.4%27.4%20.2%
Put IV 25d24.1%18.0%46.3%26.2%27.4%
Bid-Ask Spread %103.3093.86132.16132.1699.41
Gamma HHI0.870.350.980.970.47
Net GEX56.9K2.0K107.1K74.3K5.6K
Net DEX-975.3K-1.4M-471.9K-1.3M-578.1K
Net VEX-3.9K-4.6K-2.7K-4.3K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.0014.501.480.00
Total Volume37.85048400
Total OI1,157.98001,3401,217819

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$25.95$25.0027.4%7.9%13.4%39.3%0.0%-1.1%-16.2%74.3K-1.3M-4.3K0.00132.16N/AN/A00923294
2011-04-04$26.00$25.0022.3%6.5%13.4%24.9%22.8%1.7%-1.3%69.1K-1.3M-4.2K0.00102.94N/AN/A020923294
2011-04-05$26.05$25.0017.3%6.9%13.4%11.1%0.0%2.7%-2.6%62.5K-1.4M-4.1K1.48101.52N/AN/A2740923314
2011-04-06$26.05$25.0018.9%6.3%13.4%15.6%21.9%2.8%0.4%62.3K-1.4M-4.4K1.0099.71N/AN/A1111943354
2011-04-07$25.86$25.0017.0%6.2%12.6%10.3%0.0%0.6%-0.5%70.2K-1.2M-4.4K0.00125.97N/AN/A00944365
2011-04-08$25.56$25.0035.1%5.2%13.3%60.6%0.0%-1.6%-0.3%74.6K-983.1K-4.6K0.00129.84N/AN/A00944365
2011-04-11$25.61$25.0019.4%6.3%12.6%17.1%0.0%-0.4%-1.6%81.5K-1.2M-4.3K0.0095.57N/AN/A01944365
2011-04-12$25.40$25.0021.1%6.5%12.4%21.6%22.7%-0.4%-1.5%96.5K-1.1M-4.4K0.0095.34N/AN/A020944366
2011-04-13$25.20$25.0023.4%6.4%12.3%28.2%0.0%-2.6%-0.4%107.1K-760.5K-4.4K0.0097.66N/AN/A200944386
2011-04-14$25.43$25.0022.9%6.6%12.6%26.8%0.0%0.8%-1.4%97.7K-949.0K-4.2K0.0096.95N/AN/A00954386
2011-04-15$25.66$25.0021.8%6.2%12.3%23.5%21.7%-0.4%0.0%74.1K-1.2M-4.1K0.0093.86N/AN/A250954386
2011-04-18$25.55$25.0021.8%6.2%12.3%23.6%21.8%0.0%0.7%44.4K-628.1K-4.0K14.5095.31N/AN/A229728322
2011-04-19$25.79$25.0023.8%6.8%12.6%29.1%0.0%24.8%-1.9%40.9K-684.8K-4.1K0.0095.49N/AN/A00728351
2011-04-20$26.15$25.0024.5%7.0%13.2%31.3%24.5%18.5%-2.0%39.0K-837.3K-3.9K0.2999.12N/AN/A3510728351
2011-04-21$26.13$25.0019.1%5.5%13.2%16.1%0.0%-2.1%-2.1%45.3K-930.7K-3.9K0.00105.86N/AN/A00763341
2011-04-25$26.10$25.0026.4%7.6%12.7%36.5%0.0%3.9%-3.5%44.1K-924.9K-3.8K0.0099.31N/AN/A00763341
2011-04-26$26.33$25.0019.2%5.5%13.0%16.4%12.9%9.8%-1.5%40.1K-1.1M-3.5K0.0198.89N/AN/A4777763341
2011-04-27$26.08$25.0016.6%4.8%13.6%9.3%0.0%1.2%6.9%2.0K-471.9K-2.9K0.00105.02N/AN/A50454346
2011-04-28$26.43$25.0019.8%5.7%13.3%18.1%15.5%6.8%6.3%5.8K-569.7K-2.7K0.0096.14N/AN/A170459345
2011-04-29$26.34$25.0024.2%6.9%12.6%30.3%0.0%7.2%0.7%5.6K-578.1K-2.8K0.0099.41N/AN/A00474345