NNN Options History — August 2011

In August 2011, NNN traded between $22.92 and $27.26. ATM implied volatility averaged 32.9%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.1% (HV 20d: 33.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.34.

Notable Days

  • 2011-08-22: Highest Volume — 98 contracts
  • 2011-08-05: Largest IV spike — 164.9% change
  • 2011-08-05: Highest IV Rank — 100.0%
  • 2011-08-26: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.78$22.92$27.26$25.10$27.26
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV32.9%22.0%59.8%24.6%25.9%
Expected Move8.7%6.3%13.9%7.0%7.4%
HV 20d33.0%16.1%41.5%16.3%41.1%
HV 60d22.8%15.3%27.0%15.4%27.0%
IV Rank43.2%18.6%100.0%31.4%27.2%
IV Percentile87.7%44.8%100.0%79.0%86.9%
Term Structure2.0%-6.4%27.8%-4.1%-1.2%
VWIV29.4%18.1%41.1%22.5%37.9%
Skew 25d8.3%-6.1%54.4%1.7%6.0%
Skew 10d9.3%-6.9%74.8%3.0%5.6%
Call IV 25d28.0%23.0%37.2%25.6%23.0%
Put IV 25d36.3%22.6%83.3%27.2%29.1%
Bid-Ask Spread %116.0979.03154.0784.58111.28
Gamma HHI0.770.640.890.890.65
Net GEX30.1K14.8K60.3K38.3K20.3K
Net DEX-251.9K-1.1M100.7K-329.2K-1.1M
Net VEX-2.5K-2.8K-2.2K-2.6K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.001.430.330.18
Total Volume20.4350983072
Total OI767.348639841720841

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$25.10$25.0024.6%7.0%16.3%31.4%0.0%1.7%-4.1%38.3K-329.2K-2.6K0.0084.58N/AN/A030494226
2011-08-02$24.70$25.0024.2%6.9%17.3%30.4%0.0%-2.9%-2.0%34.8K-213.8K-2.8K0.0081.68N/AN/A00494256
2011-08-03$24.59$25.0022.2%6.4%16.1%24.8%0.0%54.4%-3.5%35.0K-138.1K-2.7K0.3379.03N/AN/A155494256
2011-08-04$24.18$25.0022.6%6.5%16.2%25.8%22.5%4.6%0.4%31.1K-25.1K-2.6K0.60116.90N/AN/A53509261
2011-08-05$24.00$25.0059.8%10.5%16.3%100.0%18.1%-2.4%-2.6%21.0K67.6K-2.2K0.00142.62N/AN/A06513262
2011-08-08$22.97$25.0043.2%9.4%21.6%64.3%0.0%9.7%-5.6%15.9K87.7K-2.3K0.00112.64N/AN/A07513263
2011-08-09$24.08$25.0033.5%7.2%28.1%43.5%27.2%7.6%-5.4%25.2K-22.9K-2.5K0.00114.66N/AN/A240513258
2011-08-10$22.92$25.0043.6%8.9%32.5%65.3%0.0%0.6%-4.9%15.4K100.7K-2.2K1.43112.53N/AN/A710506258
2011-08-11$23.97$25.0022.0%6.3%37.1%18.6%21.6%7.0%1.5%27.0K18.4K-2.3K0.00110.12N/AN/A010508258
2011-08-12$23.94$25.0026.9%7.7%36.8%29.2%0.0%-1.4%-5.4%26.6K-72.0K-2.4K0.00109.57N/AN/A010508248
2011-08-15$24.80$25.0030.6%8.8%39.3%37.1%30.6%1.7%-4.9%44.5K-215.9K-2.5K0.00111.56N/AN/A100508252
2011-08-16$24.61$25.0025.9%7.4%39.0%27.1%0.0%-4.0%0.1%45.3K-148.8K-2.4K0.00106.30N/AN/A50508252
2011-08-17$24.79$25.0026.4%7.6%39.1%28.1%0.0%-4.5%0.1%60.3K-212.2K-2.5K0.00103.36N/AN/A220513252
2011-08-18$24.30$25.0029.8%8.5%39.5%35.4%0.0%1.0%-2.6%36.6K-125.3K-2.5K0.00106.61N/AN/A00535252
2011-08-19$24.19$25.0031.7%9.1%39.4%39.5%31.8%-6.1%-4.2%33.5K-95.4K-2.5K0.00104.46N/AN/A120535252
2011-08-22$24.47$25.0026.1%7.5%39.7%27.5%27.5%16.8%21.8%20.2K-55.0K-2.3K0.00131.09N/AN/A980405234
2011-08-23$25.01$25.0045.1%12.9%40.6%68.3%39.8%3.9%18.7%31.0K-264.1K-2.6K1.24139.65N/AN/A2531495234
2011-08-24$25.48$25.0046.6%13.4%39.8%71.6%41.1%22.7%17.8%23.0K-410.9K-2.8K0.00147.27N/AN/A40520265
2011-08-25$25.41$25.0036.0%10.3%39.8%48.9%0.0%3.3%15.1%32.7K-484.8K-2.8K0.00145.37N/AN/A00524265
2011-08-26$25.77$25.0048.5%13.9%40.1%75.8%0.0%53.0%27.8%14.8K-470.7K-2.8K1.00154.07N/AN/A11524265
2011-08-29$26.60$25.0029.3%8.4%41.5%34.5%25.2%9.4%-4.0%29.6K-825.5K-2.4K0.00121.74N/AN/A470524265
2011-08-30$26.76$25.0031.8%9.1%40.9%39.8%0.0%9.7%-6.4%30.5K-896.4K-2.6K0.00122.91N/AN/A010566265
2011-08-31$27.26$25.0025.9%7.4%41.1%27.2%37.9%6.0%-1.2%20.3K-1.1M-2.3K0.18111.28N/AN/A6111566275