NNN Options History — October 2011

In October 2011, NNN traded between $25.60 and $27.30. ATM implied volatility averaged 27.6%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 3.6% (HV 20d: 31.2%). 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 3 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2011-10-20: Highest Volume — 299 contracts
  • 2011-10-13: Largest IV spike — 65.4% change
  • 2011-10-04: Highest IV Rank — 58.0%
  • 2011-10-04: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.43$25.60$27.30$25.95$27.25
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV27.6%18.6%40.2%39.2%21.4%
Expected Move8.5%5.3%11.5%11.2%6.1%
HV 20d31.2%22.6%33.7%22.6%30.2%
HV 60d31.4%28.7%32.3%28.7%31.9%
IV Rank30.5%10.8%58.0%55.8%17.0%
IV Percentile69.0%9.9%96.4%96.4%34.1%
Term Structure-2.2%-10.8%14.2%-3.0%-1.9%
VWIV31.1%21.3%40.2%39.2%25.3%
Skew 25d4.5%-7.4%14.7%4.0%-1.1%
Skew 10d10.3%-12.8%48.9%4.6%-2.2%
Call IV 25d24.4%18.8%34.9%34.9%21.4%
Put IV 25d28.9%19.3%39.7%38.9%20.3%
Bid-Ask Spread %100.5385.15117.03100.55103.13
Gamma HHI0.620.410.780.720.42
Net GEX51.7K26.2K86.7K52.8K34.3K
Net DEX-1.2M-1.9M-862.9K-968.6K-1.2M
Net VEX-3.7K-4.2K-3.2K-4.0K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.003.750.180.00
Total Volume42.429029911412
Total OI1,171.3819281,4681,1221,103

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$25.95$25.0039.2%11.2%22.6%55.8%39.2%4.0%-3.0%52.8K-968.6K-4.0K0.18100.55N/AN/A9717862260
2011-10-04$26.83$25.0040.2%11.5%25.7%58.0%40.2%7.4%-2.7%52.7K-1.3M-4.1K0.11102.83N/AN/A384912277
2011-10-05$26.26$25.0025.8%7.4%26.9%26.8%30.0%-0.4%12.1%63.5K-1.1M-4.0K0.00105.48N/AN/A022900281
2011-10-06$26.62$25.0018.6%5.3%27.2%10.8%0.0%-7.4%14.2%45.1K-1.3M-3.6K0.00109.66N/AN/A100900278
2011-10-07$25.65$25.0022.8%9.3%29.2%19.9%0.0%4.5%-3.3%72.6K-931.6K-4.1K0.17107.36N/AN/A61910278
2011-10-10$26.64$25.0021.3%10.0%32.1%16.6%0.0%14.1%-3.4%43.3K-1.4M-3.5K0.0090.46N/AN/A01911279
2011-10-11$26.17$25.0025.2%9.2%32.7%25.1%0.0%14.7%-2.5%67.1K-1.2M-3.8K0.0087.82N/AN/A30911280
2011-10-12$26.06$25.0018.9%9.1%32.7%11.6%0.0%8.3%-3.9%67.8K-1.2M-3.4K0.0090.07N/AN/A110913280
2011-10-13$25.60$25.0031.4%9.0%33.2%38.4%31.4%9.0%-2.2%86.7K-910.3K-3.7K3.7585.15N/AN/A830920280
2011-10-14$25.91$25.0031.1%8.9%33.1%37.9%0.0%6.1%-3.7%70.7K-1.2M-3.4K0.0090.61N/AN/A00922310
2011-10-17$25.81$25.0031.0%8.9%33.1%37.7%31.0%5.8%-2.5%80.8K-1.1M-3.4K0.9088.97N/AN/A109922310
2011-10-18$26.24$25.0030.5%8.7%33.7%36.6%30.5%2.1%0.4%61.3K-1.2M-3.6K0.0099.83N/AN/A290932319
2011-10-19$26.47$25.0032.4%9.3%33.1%40.6%0.0%7.8%-2.8%28.3K-1.4M-3.4K0.0097.41N/AN/A40932319
2011-10-20$26.29$25.0031.2%8.9%33.1%38.0%31.0%6.7%-5.5%32.0K-1.4M-3.2K0.0399.30N/AN/A28910932319
2011-10-21$26.60$25.0030.7%8.8%33.2%37.0%30.7%7.0%-3.5%45.0K-1.9M-3.9K0.0098.92N/AN/A801,156312
2011-10-24$26.94$25.0033.1%9.5%32.6%42.3%0.0%10.1%-4.8%41.0K-1.0M-3.7K1.20101.37N/AN/A2024773266
2011-10-25$26.56$25.0026.7%7.7%33.0%28.5%0.0%-5.3%-8.2%40.6K-862.9K-4.2K0.00117.03N/AN/A00789286
2011-10-26$26.55$25.0026.3%7.5%32.6%27.4%0.0%-7.2%-10.8%43.1K-927.7K-3.9K0.00112.16N/AN/A00789286
2011-10-27$27.27$25.0021.6%6.2%33.0%17.4%21.3%4.2%-3.7%26.2K-908.3K-3.3K0.03111.36N/AN/A1475642286
2011-10-28$27.30$25.0021.1%6.1%33.0%16.4%0.0%4.2%-5.3%31.7K-1.1M-3.5K0.03111.72N/AN/A742771291
2011-10-31$27.25$25.0021.4%6.1%30.2%17.0%25.3%-1.1%-1.9%34.3K-1.2M-3.7K0.00103.13N/AN/A120813290