NNN Options History — July 2011

In July 2011, NNN traded between $24.85 and $26.23. ATM implied volatility averaged 23.3%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 9.0% (HV 20d: 14.3%). 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 1 of 20 days. Put/call ratio averaged 1.74.

Notable Days

  • 2011-07-06: Highest Volume — 56 contracts
  • 2011-07-13: Largest IV spike — 15.4% change
  • 2011-07-28: Highest IV Rank — 34.9%
  • 2011-07-28: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.57$24.85$26.23$24.85$25.09
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV23.3%20.0%25.8%22.5%23.4%
Expected Move6.8%6.4%7.4%6.5%6.7%
HV 20d14.3%10.7%17.0%15.9%16.9%
HV 60d14.6%14.2%15.5%14.3%15.4%
IV Rank28.0%18.6%34.9%25.6%28.2%
IV Percentile61.5%21.8%88.9%48.8%63.1%
Term Structure-2.0%-5.1%1.5%-1.0%-3.9%
VWIV23.9%22.9%25.8%22.9%24.3%
Skew 25d3.4%-4.8%40.9%-4.8%40.9%
Skew 10d5.9%-9.9%65.1%-9.9%65.1%
Call IV 25d22.3%20.1%32.7%32.7%24.4%
Put IV 25d25.7%19.3%65.4%27.9%65.4%
Bid-Ask Spread %90.1980.79110.12110.1283.96
Gamma HHI0.950.890.980.910.93
Net GEX38.1K32.0K45.7K33.8K41.4K
Net DEX-502.2K-677.5K-262.6K-262.6K-307.5K
Net VEX-2.7K-2.8K-2.5K-2.6K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.0010.0010.001.67
Total Volume13.15056110
Total OI726.15658768672720

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$24.85$25.0022.5%6.5%15.9%25.6%0.0%-4.8%-1.0%33.8K-262.6K-2.6K10.00110.12N/AN/A110481191
2011-07-05$24.92$25.0020.0%6.4%15.2%18.6%0.0%-3.6%-0.2%36.5K-265.4K-2.6K0.00102.45N/AN/A60482201
2011-07-06$25.33$25.0021.8%6.6%16.2%23.6%22.9%-0.6%-1.3%39.0K-392.3K-2.6K0.0095.18N/AN/A560488201
2011-07-07$25.63$25.0022.2%7.0%16.5%24.8%24.3%2.7%-1.7%39.9K-562.4K-2.8K0.0089.99N/AN/A100544201
2011-07-08$25.61$25.0021.9%7.0%15.3%23.9%0.0%3.3%-1.6%41.5K-571.5K-2.8K0.0091.03N/AN/A02554201
2011-07-11$25.32$25.0022.6%6.8%15.1%25.8%0.0%0.6%-1.5%43.5K-493.2K-2.7K0.0090.68N/AN/A010554203
2011-07-12$25.56$25.0021.0%6.6%14.9%21.6%23.0%1.8%-0.7%45.0K-589.4K-2.6K1.2089.37N/AN/A56554199
2011-07-13$25.56$25.0024.3%6.9%14.7%30.6%0.0%1.3%-1.8%45.7K-609.0K-2.6K0.0090.19N/AN/A00559199
2011-07-14$25.54$25.0022.9%6.6%13.1%26.8%0.0%2.0%1.5%45.6K-586.5K-2.6K0.0090.60N/AN/A100559199
2011-07-15$25.81$25.0023.1%6.6%12.6%27.2%0.0%2.1%-1.2%43.6K-677.5K-2.6K0.0092.26N/AN/A00569199
2011-07-18$25.73$25.0023.3%6.7%12.8%27.8%23.3%0.8%-0.1%36.4K-523.5K-2.5K3.3686.25N/AN/A1137497161
2011-07-19$26.06$25.0024.3%7.0%12.8%30.8%0.0%3.2%-2.4%33.7K-584.3K-2.7K0.0089.22N/AN/A010508198
2011-07-20$26.06$25.0024.0%6.9%12.7%29.8%0.0%3.9%-3.5%34.3K-591.0K-2.7K0.0093.72N/AN/A120508208
2011-07-21$26.17$25.0025.7%7.4%12.7%34.5%25.8%5.1%-5.1%33.6K-610.6K-2.7K2.9193.26N/AN/A1132508208
2011-07-22$26.23$25.0024.3%7.0%10.7%30.8%0.0%4.3%-2.4%32.0K-631.2K-2.8K0.0082.16N/AN/A00519226
2011-07-25$25.89$25.0025.4%7.3%12.3%33.8%0.0%2.4%-2.7%33.6K-538.4K-2.8K0.0082.37N/AN/A00519226
2011-07-26$25.86$25.0024.1%6.9%12.3%30.0%0.0%1.5%-3.3%35.7K-537.5K-2.8K0.0087.55N/AN/A180519226
2011-07-27$25.10$25.0024.3%7.0%17.0%30.7%24.3%0.1%-2.6%33.5K-362.9K-2.7K1.6782.70N/AN/A610488226
2011-07-28$25.10$25.0025.8%7.4%16.9%34.9%0.0%1.6%-4.1%34.1K-348.1K-2.7K0.0080.79N/AN/A00494226
2011-07-29$25.09$25.0023.4%6.7%16.9%28.2%0.0%40.9%-3.9%41.4K-307.5K-2.6K0.0083.96N/AN/A00494226