NNN Options History — May 2011

In May 2011, NNN traded between $25.54 and $26.51. ATM implied volatility averaged 18.3%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.9% (HV 20d: 13.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2011-05-17: Highest Volume — 74 contracts
  • 2011-05-05: Largest IV drop — 33.4% change
  • 2011-05-04: Highest IV Rank — 30.9%
  • 2011-05-04: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.97$25.54$26.51$26.34$25.78
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV18.3%13.6%24.4%20.8%18.1%
Expected Move5.4%4.5%7.0%6.0%5.2%
HV 20d13.4%12.3%14.7%12.3%12.6%
HV 60d13.9%12.6%14.8%14.0%12.6%
IV Rank14.0%0.8%30.9%20.9%13.5%
IV Percentile13.1%0.4%55.6%19.0%9.5%
Term Structure4.4%-1.5%11.2%5.5%4.6%
VWIV23.4%17.3%34.0%28.7%25.4%
Skew 25d2.3%-3.5%8.7%5.2%-3.5%
Skew 10d9.1%-4.1%42.4%37.6%10.9%
Call IV 25d19.4%15.5%24.0%19.9%24.0%
Put IV 25d21.7%17.8%29.1%25.2%20.5%
Bid-Ask Spread %95.2488.57116.2595.1193.38
Gamma HHI0.630.310.890.500.86
Net GEX12.1K-61326.8K6.3K22.8K
Net DEX-606.3K-754.1K-490.2K-577.7K-594.2K
Net VEX-2.7K-3.1K-2.4K-2.7K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.003.333.330.18
Total Volume16.476074044
Total OI874.524819985819985

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$26.34$25.0020.8%6.0%12.3%20.9%0.0%5.2%5.5%6.3K-577.7K-2.7K0.0095.11N/AN/A00474345
2011-05-03$26.51$25.0023.8%6.8%12.5%29.1%28.7%8.7%3.7%7.5K-612.8K-2.6K3.3399.54N/AN/A310474345
2011-05-04$26.40$25.0024.4%7.0%12.6%30.9%0.0%7.9%1.9%6.7K-611.9K-2.7K0.0099.67N/AN/A00477355
2011-05-05$26.45$25.0016.2%4.7%12.6%8.2%0.0%-0.2%-1.5%9.5K-668.5K-2.4K0.00102.62N/AN/A80477355
2011-05-06$26.11$25.0015.1%4.7%13.2%5.0%0.0%3.7%6.4%6.7K-596.9K-2.6K0.00116.25N/AN/A00485355
2011-05-09$25.98$25.0013.6%5.7%12.6%0.8%0.0%2.0%2.3%5.5K-558.1K-2.6K0.0093.60N/AN/A00485355
2011-05-10$26.33$25.0018.0%5.1%13.4%13.2%0.0%4.6%7.3%10.2K-644.1K-2.4K0.0097.81N/AN/A05485355
2011-05-11$25.88$25.0015.8%5.1%14.6%7.0%0.0%0.2%3.6%3.4K-567.7K-2.4K0.0098.10N/AN/A010485350
2011-05-12$26.10$25.0017.0%4.9%14.4%10.2%19.8%3.3%8.5%7.3K-570.7K-2.5K0.0088.57N/AN/A07485360
2011-05-13$25.85$25.0020.1%5.8%14.7%19.0%0.0%1.6%2.3%2.0K-490.2K-2.6K0.0091.37N/AN/A00485367
2011-05-16$25.80$25.0017.8%5.1%14.4%12.4%0.0%2.6%7.2%-613-503.8K-2.5K0.0091.86N/AN/A00485367
2011-05-17$25.85$25.0020.2%5.8%14.3%19.3%20.2%0.8%1.8%3.7K-518.8K-2.5K0.0089.57N/AN/A740485367
2011-05-18$26.06$25.0017.1%4.9%14.2%10.4%0.0%2.2%7.6%15.3K-698.5K-2.6K0.0093.21N/AN/A250549367
2011-05-19$26.11$25.0015.6%4.5%13.3%6.5%0.0%4.0%11.2%19.2K-754.1K-2.8K1.5090.65N/AN/A23574367
2011-05-20$25.78$25.0016.1%4.6%14.0%7.6%0.0%-0.6%6.4%12.1K-738.9K-2.7K0.0097.88N/AN/A00575370
2011-05-23$25.69$25.0017.8%5.1%14.1%12.5%17.3%-0.5%1.8%26.8K-648.6K-2.8K0.8789.79N/AN/A3026570278
2011-05-24$25.67$25.0016.3%4.7%13.6%8.5%0.0%-0.6%6.7%25.3K-662.4K-2.9K0.1893.18N/AN/A112585304
2011-05-25$25.54$25.0018.1%5.2%13.3%13.3%18.5%1.4%4.3%26.4K-596.4K-3.0K0.0092.11N/AN/A042595306
2011-05-26$25.58$25.0021.2%6.1%12.3%22.0%0.0%2.8%0.2%19.2K-554.1K-3.1K0.0093.29N/AN/A00595346
2011-05-27$25.62$25.0021.4%6.1%12.3%22.6%34.0%3.8%0.0%19.6K-563.7K-3.1K0.0092.48N/AN/A044595346
2011-05-31$25.78$25.0018.1%5.2%12.6%13.5%25.4%-3.5%4.6%22.8K-594.2K-2.7K0.0093.38N/AN/A044595390