NNN Options History — June 2011

In June 2011, NNN traded between $23.68 and $25.20. ATM implied volatility averaged 20.4%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 5.7% (HV 20d: 14.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.34.

Notable Days

  • 2011-06-02: Highest Volume — 130 contracts
  • 2011-06-24: Largest IV spike — 24.5% change
  • 2011-06-24: Highest IV Rank — 31.0%
  • 2011-06-24: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.42$23.68$25.20$25.20$24.51
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV20.4%16.9%24.4%21.0%20.3%
Expected Move5.9%4.8%7.0%6.0%5.8%
HV 20d14.7%12.3%16.8%14.4%14.9%
HV 60d13.9%13.3%14.6%13.5%14.0%
IV Rank19.9%10.1%31.0%21.3%19.5%
IV Percentile26.0%5.2%70.2%26.6%25.4%
Term Structure0.4%-2.5%7.1%-1.7%-0.1%
VWIV22.8%18.1%33.6%21.5%21.5%
Skew 25d-0.9%-10.2%34.8%-2.3%-10.2%
Skew 10d-2.2%-21.4%52.7%2.1%-21.4%
Call IV 25d24.6%22.3%28.2%26.3%28.2%
Put IV 25d23.6%17.3%60.6%24.0%18.0%
Bid-Ask Spread %103.2294.11135.55100.2699.01
Gamma HHI0.730.320.900.860.90
Net GEX13.9K-2.4K30.4K20.2K30.4K
Net DEX133.3K-291.6K617.7K-291.6K-193.4K
Net VEX-2.5K-3.0K-1.9K-2.9K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.002.220.000.22
Total Volume24.86401302211
Total OI917.55211,1851,029661

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$25.20$25.0021.0%6.0%14.4%21.3%0.0%-2.3%-1.7%20.2K-291.6K-2.9K0.00100.26N/AN/A022595434
2011-06-02$25.06$25.0020.2%5.8%14.4%19.3%21.5%34.8%-1.5%18.9K-5.4K-2.9K0.00119.83N/AN/A0130595456
2011-06-03$25.04$25.0021.3%6.2%14.4%22.2%0.0%4.7%-0.8%-944143.9K-3.0K0.00135.55N/AN/A50595555
2011-06-06$24.72$25.0022.6%6.2%14.3%25.8%0.0%-3.7%0.6%-1.4K261.0K-2.9K0.67104.76N/AN/A1510600555
2011-06-07$24.73$25.0018.8%6.2%14.4%15.3%0.0%-3.2%0.8%-2.4K131.4K-2.9K0.96102.21N/AN/A2625606565
2011-06-08$24.66$25.0020.6%5.9%13.1%20.3%20.8%-0.8%0.8%1.1K376.1K-2.8K2.2298.56N/AN/A920616560
2011-06-09$24.28$25.0021.0%6.0%12.9%21.5%33.6%1.1%1.1%5.3K617.7K-2.5K0.0095.99N/AN/A06625560
2011-06-10$23.98$25.0022.1%6.3%12.5%24.4%22.7%0.4%-0.4%6.5K475.9K-2.3K0.0097.46N/AN/A40625456
2011-06-13$23.82$25.0018.6%5.3%12.3%14.9%0.0%1.5%0.8%7.9K497.0K-2.1K0.0094.87N/AN/A00629456
2011-06-14$24.05$25.0019.2%5.5%13.3%16.5%22.1%1.1%-0.6%9.0K497.8K-2.1K0.0099.46N/AN/A50629456
2011-06-15$23.68$25.0021.8%6.3%13.7%23.8%25.3%1.6%7.1%9.3K578.5K-1.9K0.0099.15N/AN/A041634456
2011-06-16$24.06$25.0018.5%5.3%14.9%14.6%0.0%3.2%-0.9%7.4K528.4K-2.1K0.0099.68N/AN/A070634476
2011-06-17$24.09$25.0020.1%5.8%14.9%18.9%20.7%-5.2%-0.5%3.9K503.8K-2.3K0.00105.93N/AN/A01634510
2011-06-20$24.40$25.0020.0%5.7%15.6%18.5%21.4%-5.1%-1.4%11.5K-48.1K-2.2K0.00108.42N/AN/A840334187
2011-06-21$24.58$25.0021.3%6.1%16.0%22.4%0.0%-7.5%1.0%20.6K-146.4K-2.5K0.0094.72N/AN/A160411187
2011-06-22$24.64$25.0016.9%4.8%16.1%10.1%18.1%-1.1%5.1%22.9K-196.6K-2.6K0.00107.16N/AN/A390427187
2011-06-23$24.26$25.0019.6%5.6%16.8%17.6%0.0%-4.1%-2.5%26.5K-159.4K-2.6K0.00105.80N/AN/A30466187
2011-06-24$24.28$25.0024.4%7.0%16.8%31.0%0.0%-8.2%-1.0%25.5K-151.3K-2.6K0.00107.55N/AN/A00469187
2011-06-27$24.32$25.0020.6%5.9%16.8%20.3%0.0%-8.5%0.7%26.7K-157.9K-2.6K0.0096.35N/AN/A00469187
2011-06-28$24.41$25.0020.9%6.0%16.6%21.2%0.0%-5.8%1.9%27.3K-151.7K-2.5K0.0094.11N/AN/A02469187
2011-06-29$24.53$25.0019.7%5.7%15.0%17.9%0.0%-3.4%-0.4%29.1K-178.1K-2.5K0.00103.93N/AN/A30469189
2011-06-30$24.51$25.0020.3%5.8%14.9%19.5%21.5%-10.2%-0.1%30.4K-193.4K-2.5K0.2299.01N/AN/A92472189