NNN Options History — December 2011

In December 2011, NNN traded between $24.74 and $26.63. ATM implied volatility averaged 19.7%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 4.5% (HV 20d: 24.2%). 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 19 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2011-12-02: Highest Volume — 237 contracts
  • 2011-12-02: Largest IV spike — 60.5% change
  • 2011-12-16: Highest IV Rank — 25.8%
  • 2011-12-16: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.80$24.74$26.63$26.05$26.38
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV19.7%13.5%25.4%15.7%20.4%
Expected Move6.3%4.5%7.3%4.5%5.8%
HV 20d24.2%21.9%25.9%23.6%22.5%
HV 60d26.8%25.1%27.6%26.5%25.1%
IV Rank13.3%0.0%25.8%4.6%14.8%
IV Percentile25.2%0.0%75.0%1.2%25.4%
Term Structure2.5%-1.8%8.0%5.8%0.9%
VWIV23.0%17.9%27.9%17.9%20.5%
Skew 25d-1.9%-11.2%5.7%-11.2%-0.5%
Skew 10d-2.8%-15.5%7.9%-15.5%3.8%
Call IV 25d21.6%15.3%31.7%28.5%18.3%
Put IV 25d19.7%17.0%25.3%17.4%17.8%
Bid-Ask Spread %93.8951.70111.26111.2651.70
Gamma HHI0.610.490.800.600.57
Net GEX57.8K34.2K105.5K53.7K58.0K
Net DEX-968.3K-1.3M-283.7K-1.0M-1.2M
Net VEX-5.0K-5.7K-4.4K-4.7K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.002.700.710.00
Total Volume53.810237480
Total OI1,535.6671,3491,7311,3491,451

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$26.05$25.0015.7%4.5%23.6%4.6%17.9%-11.2%5.8%53.7K-1.0M-4.7K0.71111.26N/AN/A2820955394
2011-12-02$25.38$25.0025.2%7.2%24.8%25.2%25.2%-6.3%-1.0%60.0K-673.7K-4.9K2.7092.85N/AN/A64173970395
2011-12-05$25.49$25.0020.2%6.9%24.9%14.3%24.0%-2.7%2.0%40.8K-722.6K-5.2K1.4289.36N/AN/A31441,009538
2011-12-06$25.82$25.0018.6%6.8%25.5%10.8%23.4%-0.3%1.8%40.1K-949.1K-5.2K0.1286.49N/AN/A4151,023562
2011-12-07$25.80$25.0016.5%6.8%25.5%6.3%27.9%-0.3%2.4%44.8K-1.1M-5.1K0.0087.34N/AN/A1501,047562
2011-12-08$25.39$25.0021.7%7.1%24.1%17.6%25.8%-2.4%1.0%46.6K-702.3K-5.4K0.0086.06N/AN/A2601,044562
2011-12-09$25.63$25.0015.3%7.0%24.4%3.6%0.0%-0.9%1.5%48.3K-968.6K-5.0K0.0087.44N/AN/A1401,045562
2011-12-12$25.16$25.0022.7%6.8%24.1%19.7%23.9%-4.5%1.8%57.9K-568.7K-5.0K0.0690.23N/AN/A3221,048562
2011-12-13$24.74$25.0013.5%6.3%23.9%0.0%22.1%-6.6%2.4%44.7K-291.5K-4.9K0.0391.17N/AN/A14741,071564
2011-12-14$24.87$25.0015.3%6.8%22.9%4.0%18.4%-6.5%1.2%105.5K-283.7K-4.9K0.9897.05N/AN/A42411,126566
2011-12-15$25.39$25.0023.8%6.8%24.4%22.2%23.8%-2.6%1.9%73.5K-1.1M-4.9K0.00100.70N/AN/A5201,125606
2011-12-16$25.96$25.0025.4%7.3%25.9%25.8%25.5%0.1%0.9%34.2K-1.3M-4.8K0.0292.79N/AN/A18731,115606
2011-12-19$25.62$25.0021.2%6.1%25.5%16.5%21.3%-3.5%3.9%87.4K-1.2M-5.7K0.5995.56N/AN/A58341,123406
2011-12-20$25.97$25.0019.1%5.5%25.5%12.0%20.5%-4.8%3.6%84.1K-1.3M-5.7K0.00101.82N/AN/A1701,147437
2011-12-21$26.09$25.0020.1%5.7%25.2%14.1%0.0%0.8%2.2%56.6K-1.0M-5.2K0.0093.68N/AN/A380964437
2011-12-22$26.27$25.0019.4%5.6%23.5%12.8%0.0%2.7%4.2%61.3K-1.1M-5.1K0.00104.06N/AN/A001,002437
2011-12-23$26.28$25.0020.8%6.0%23.5%15.9%0.0%1.8%4.5%56.2K-1.1M-5.0K0.00103.25N/AN/A1001,002437
2011-12-27$26.63$25.0019.0%5.5%21.9%11.9%0.0%5.7%6.1%54.1K-1.3M-4.4K0.00104.75N/AN/A001,012437
2011-12-28$26.23$25.0022.0%6.3%22.6%18.3%0.0%-2.4%-1.8%55.7K-1.1M-5.1K0.00102.45N/AN/A021,012437
2011-12-29$26.56$25.0017.3%4.9%23.1%8.1%0.0%3.4%8.0%50.6K-1.3M-4.6K0.00101.57N/AN/A001,012439
2011-12-30$26.38$25.0020.4%5.8%22.5%14.8%0.0%-0.5%0.9%58.0K-1.2M-4.7K0.0051.70N/AN/A001,012439