NNN Options History — November 2011

In November 2011, NNN traded between $25.73 and $27.09. ATM implied volatility averaged 25.1%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 0.1% (HV 20d: 25.2%). 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 12 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2011-11-30: Highest Volume — 404 contracts
  • 2011-11-23: Largest IV spike — 142.2% change
  • 2011-11-25: Highest IV Rank — 73.9%
  • 2011-11-25: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.44$25.73$27.09$26.41$26.46
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV25.1%16.4%47.7%27.0%16.4%
Expected Move7.0%4.7%13.7%7.7%4.7%
HV 20d25.2%21.4%30.2%30.2%23.9%
HV 60d26.8%25.7%31.3%31.3%26.3%
IV Rank24.9%6.0%73.9%29.0%6.0%
IV Percentile52.6%2.8%99.2%84.1%2.8%
Term Structure1.0%-22.2%19.4%-5.9%7.8%
VWIV22.5%16.1%28.7%26.8%18.4%
Skew 25d-2.7%-17.8%7.3%-3.1%-7.1%
Skew 10d-0.3%-13.0%7.9%5.8%-13.0%
Call IV 25d24.6%16.8%43.1%26.8%26.4%
Put IV 25d21.9%16.8%29.6%23.6%19.3%
Bid-Ask Spread %110.9899.84141.62111.3599.84
Gamma HHI0.420.350.530.480.36
Net GEX31.4K15.5K46.9K42.8K17.0K
Net DEX-806.7K-1.2M-246.4K-928.4K-504.4K
Net VEX-3.6K-4.1K-3.2K-3.7K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.004.004.000.03
Total Volume33.143040425404
Total OI1,110.9059751,2571,1151,001

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$26.41$25.0027.0%7.7%30.2%29.0%0.0%-3.1%-5.9%42.8K-928.4K-3.7K4.00111.35N/AN/A520825290
2011-11-02$26.86$25.0024.8%7.1%29.7%24.2%0.0%6.7%6.9%38.8K-1.1M-3.7K0.00109.28N/AN/A30829310
2011-11-03$27.09$25.0024.3%7.0%29.5%23.1%0.0%7.3%-3.9%36.6K-1.1M-3.5K0.50108.29N/AN/A63829310
2011-11-04$26.89$25.0024.7%6.2%26.1%24.0%26.8%-2.0%0.6%38.4K-1.1M-3.7K0.00109.87N/AN/A100831311
2011-11-07$26.90$25.0026.4%5.0%22.5%27.8%0.0%3.3%11.1%36.5K-1.1M-3.2K1.00104.21N/AN/A1010831311
2011-11-08$26.95$25.0023.2%8.0%21.4%20.8%28.7%7.1%-2.3%34.6K-1.2M-3.5K0.00101.03N/AN/A440841321
2011-11-09$26.20$25.0030.6%6.3%23.8%36.8%0.0%-5.6%-1.3%44.4K-875.3K-3.7K0.11104.38N/AN/A192837321
2011-11-10$26.05$25.0023.2%6.7%23.0%20.8%0.0%0.7%2.2%46.9K-880.2K-3.6K2.00108.48N/AN/A1020838323
2011-11-11$26.53$25.0020.5%5.9%23.5%15.0%0.0%-1.0%5.0%37.2K-1.0M-3.5K0.00110.17N/AN/A00828343
2011-11-14$26.03$25.0024.5%7.0%24.5%23.5%0.0%0.9%1.4%45.7K-879.2K-3.4K0.00112.03N/AN/A40828343
2011-11-15$26.48$25.0027.7%7.9%24.6%30.5%0.0%3.9%-0.8%35.8K-1.0M-3.4K0.00107.70N/AN/A028824333
2011-11-16$26.37$25.0024.0%6.9%24.4%22.5%0.0%-6.6%-3.4%36.2K-971.3K-3.6K0.00110.94N/AN/A072824361
2011-11-17$26.26$25.0023.3%6.7%24.4%20.9%0.0%-7.0%-3.2%32.7K-877.3K-4.1K0.00111.07N/AN/A00824433
2011-11-18$26.66$25.0019.6%5.6%24.6%13.0%0.0%-0.2%6.8%24.8K-1.0M-3.8K0.00111.03N/AN/A00824433
2011-11-21$26.22$25.0017.5%5.0%24.8%8.4%16.1%-5.7%6.7%23.3K-428.1K-3.8K0.00111.21N/AN/A024615360
2011-11-22$26.49$25.0018.6%5.3%24.7%10.9%0.0%-3.8%19.4%15.5K-487.2K-4.0K0.00122.25N/AN/A00615384
2011-11-23$25.81$25.0045.1%12.9%26.3%68.3%0.0%-17.8%-22.2%15.5K-246.4K-4.0K0.00141.62N/AN/A00615384
2011-11-25$25.73$25.0047.7%13.7%24.1%73.9%0.0%-16.2%-12.7%18.8K-248.2K-3.9K0.00124.05N/AN/A00615384
2011-11-28$26.43$25.0017.2%4.9%26.3%7.8%0.0%-5.2%7.3%17.8K-479.5K-3.4K0.00104.56N/AN/A20615384
2011-11-29$26.42$25.0021.1%6.1%26.3%16.2%0.0%-4.8%2.4%19.1K-477.3K-3.6K0.00107.30N/AN/A00617384
2011-11-30$26.46$25.0016.4%4.7%23.9%6.0%18.4%-7.1%7.8%17.0K-504.4K-3.4K0.0399.84N/AN/A39410617384