NNN Options History — September 2011

In September 2011, NNN traded between $25.97 and $27.02. ATM implied volatility averaged 27.3%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.3% (HV 20d: 25.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2011-09-07: Highest Volume — 352 contracts
  • 2011-09-29: Largest IV spike — 55.0% change
  • 2011-09-14: Highest IV Rank — 58.7%
  • 2011-09-29: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.56$25.97$27.02$26.95$26.87
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV27.3%20.2%40.6%23.2%23.0%
Expected Move7.7%5.8%11.1%6.7%6.6%
HV 20d25.0%18.8%41.1%40.7%19.6%
HV 60d27.2%26.9%27.9%27.2%27.8%
IV Rank30.1%14.7%58.7%21.3%20.9%
IV Percentile74.4%21.8%96.8%56.0%53.2%
Term Structure2.0%-4.5%14.2%-0.6%8.4%
VWIV26.2%19.3%30.6%19.3%23.4%
Skew 25d2.8%-10.1%8.9%4.8%0.7%
Skew 10d10.4%-3.3%44.3%2.6%0.4%
Call IV 25d24.4%18.9%29.0%23.9%22.5%
Put IV 25d27.2%17.4%37.9%28.7%23.2%
Bid-Ask Spread %105.4199.63111.44110.99111.44
Gamma HHI0.740.660.830.660.66
Net GEX51.3K23.6K74.4K23.6K48.3K
Net DEX-1.4M-2.1M-1.0M-1.2M-1.4M
Net VEX-3.7K-4.4K-2.4K-2.4K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.006.670.000.00
Total Volume42.3810352614
Total OI1,167.819121,5169121,132

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$26.95$25.0023.2%6.7%40.7%21.3%19.3%4.8%-0.6%23.6K-1.2M-2.4K0.00110.99N/AN/A60626286
2011-09-02$26.56$25.0025.8%7.4%41.1%26.8%0.0%1.3%-4.0%31.6K-1.1M-2.7K0.00111.44N/AN/A00631286
2011-09-06$26.60$25.0028.0%8.1%36.9%31.6%0.0%5.9%-0.2%30.0K-1.1M-2.5K2.00105.46N/AN/A612631286
2011-09-07$26.59$25.0027.6%8.2%33.8%30.8%28.6%8.6%-1.8%29.2K-1.1M-2.5K0.00101.42N/AN/A3520637298
2011-09-08$26.83$25.0025.2%7.4%27.0%25.6%25.1%4.6%1.0%44.8K-1.8M-3.4K0.00104.19N/AN/A550957298
2011-09-09$26.25$25.0026.3%8.8%25.3%28.0%30.6%5.5%-4.5%63.8K-1.5M-3.8K4.00101.43N/AN/A312945298
2011-09-12$26.53$25.0033.3%8.6%25.3%43.0%29.6%6.7%-0.7%57.7K-1.6M-3.6K0.01100.18N/AN/A1832948310
2011-09-13$26.44$25.0032.5%8.7%22.7%41.4%29.8%6.9%0.1%63.3K-1.9M-4.2K0.00101.13N/AN/A10301,090312
2011-09-14$26.29$25.0040.6%9.0%22.6%58.7%23.5%5.4%-1.3%74.4K-1.9M-4.4K6.6799.63N/AN/A6401,162312
2011-09-15$26.40$25.0031.6%9.1%22.6%39.3%0.0%6.0%-1.2%67.7K-1.9M-4.4K0.00100.72N/AN/A001,164352
2011-09-16$26.78$25.0028.5%8.2%21.2%32.8%0.0%5.8%1.9%58.1K-2.1M-4.1K5.00103.69N/AN/A4201,164352
2011-09-19$26.66$25.0023.7%6.8%21.2%22.4%0.0%-7.2%0.0%50.1K-1.2M-4.1K0.00108.34N/AN/A030832228
2011-09-20$26.70$25.0022.4%6.4%21.0%19.6%0.0%6.4%11.3%49.1K-1.3M-4.1K0.00106.71N/AN/A300832258
2011-09-21$26.17$25.0022.5%6.5%21.7%19.9%0.0%-10.1%-1.4%55.3K-1.1M-4.3K0.00109.43N/AN/A60862258
2011-09-22$25.97$25.0024.8%7.1%21.0%24.8%0.0%-0.3%6.8%63.3K-1.0M-4.4K0.00104.79N/AN/A02868258
2011-09-23$26.17$25.0028.2%8.1%21.1%32.1%0.0%7.1%4.1%60.7K-1.0M-4.3K0.00102.56N/AN/A00868260
2011-09-26$26.73$25.0021.4%6.1%21.8%17.4%0.0%-0.3%14.2%52.3K-1.3M-3.8K0.00109.26N/AN/A30868260
2011-09-27$26.82$25.0020.2%5.8%18.8%14.7%0.0%-1.8%13.0%48.7K-1.4M-3.8K0.00107.34N/AN/A10871260
2011-09-28$26.43$25.0025.1%7.2%19.4%25.3%0.0%-6.1%0.2%55.2K-1.2M-4.1K0.00110.53N/AN/A00872260
2011-09-29$27.02$25.0038.8%11.1%19.9%55.0%0.0%8.9%-3.8%49.6K-1.3M-4.0K0.00102.88N/AN/A00872260
2011-09-30$26.87$25.0023.0%6.6%19.6%20.9%23.4%0.7%8.4%48.3K-1.4M-3.7K0.00111.44N/AN/A140872260