NNN Options History — April 2012

In April 2012, NNN traded between $26.51 and $27.62. ATM implied volatility averaged 25.2%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 12.2% (HV 20d: 13.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2012-04-13: Highest Volume — 200 contracts
  • 2012-04-11: Largest IV spike — 47.7% change
  • 2012-04-24: Highest IV Rank — 39.5%
  • 2012-04-24: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.10$26.51$27.62$27.40$27.38
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV25.2%20.1%31.8%22.5%24.2%
Expected Move7.2%5.8%9.1%6.5%6.9%
HV 20d13.0%11.3%14.4%14.2%12.6%
HV 60d12.4%11.7%12.9%12.0%12.8%
IV Rank25.3%14.3%39.5%19.5%23.2%
IV Percentile65.7%28.6%89.3%52.0%62.3%
Term Structure-8.1%-19.1%8.1%4.0%-10.2%
VWIV36.8%36.8%36.8%36.8%36.8%
Skew 25d0.3%-5.1%7.5%6.9%2.1%
Skew 10d2.1%-0.5%8.4%6.2%1.1%
Call IV 25d21.8%18.6%24.5%18.6%23.1%
Put IV 25d22.0%17.9%28.4%25.6%25.3%
Bid-Ask Spread %110.51104.25121.95104.93111.42
Gamma HHI0.520.420.620.500.42
Net GEX-14.8K-20.6K-2.0K-13.7K-2.0K
Net DEX255.3K-29.6K729.1K72.9K8.8K
Net VEX-2.1K-3.1K-1.7K-1.9K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.001.831.830.00
Total Volume25.850200030
Total OI671.25584822604767

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$27.40$25.0022.5%6.5%14.2%19.5%0.0%6.9%4.0%-13.7K72.9K-1.9K0.00104.93N/AN/A00166438
2012-04-03$27.40$25.0023.9%6.9%13.4%22.5%0.0%6.7%2.9%-13.6K71.4K-1.8K0.00105.88N/AN/A00166438
2012-04-04$27.08$25.0023.0%6.6%13.7%20.5%0.0%1.2%8.1%-15.0K155.6K-2.3K0.00104.76N/AN/A02166438
2012-04-05$26.93$25.0022.8%6.5%13.9%20.0%0.0%0.7%7.5%-14.3K184.7K-2.5K0.00114.43N/AN/A01166440
2012-04-09$26.88$0.0020.9%7.5%13.5%16.0%0.0%7.1%-7.9%-19.4K115.3K-1.8K0.00104.25N/AN/A00166439
2012-04-10$26.51$0.0021.3%6.8%14.4%16.9%0.0%-2.3%-18.3%-20.6K133.4K-1.8K0.00110.39N/AN/A00166439
2012-04-11$26.72$0.0031.5%7.1%12.7%38.8%0.0%-1.7%-12.8%-20.6K157.3K-2.0K0.00121.95N/AN/A00166439
2012-04-12$26.79$0.0022.8%6.5%11.3%20.1%0.0%-4.0%-8.4%-20.2K151.2K-1.9K1.83110.47N/AN/A611166439
2012-04-13$26.55$0.0024.9%7.1%11.8%24.5%0.0%-2.4%-12.8%-20.3K168.6K-2.0K0.00109.57N/AN/A0200172450
2012-04-16$26.83$0.0025.6%7.3%12.3%26.1%0.0%-3.9%-11.0%-19.0K697.6K-1.9K0.00110.49N/AN/A30172650
2012-04-17$27.08$0.0028.9%8.3%12.7%33.2%0.0%7.5%-7.1%-16.4K691.6K-1.9K0.00107.66N/AN/A00169650
2012-04-18$27.18$0.0026.1%7.5%12.7%27.3%0.0%-3.6%-18.3%-15.5K663.3K-1.8K0.00109.91N/AN/A02169650
2012-04-19$26.94$0.0027.7%8.0%13.1%30.8%36.8%-5.1%-9.6%-16.9K729.1K-2.1K0.00119.78N/AN/A30169648
2012-04-20$27.28$0.0027.0%7.7%13.8%29.2%0.0%-3.6%-19.1%-14.4K661.3K-1.7K0.00110.48N/AN/A00169648
2012-04-23$27.25$0.0030.2%8.7%13.8%36.1%0.0%-3.4%-14.2%-13.2K139.0K-2.1K0.00110.20N/AN/A20169417
2012-04-24$27.48$0.0031.8%9.1%12.8%39.5%0.0%-0.9%-12.1%-13.0K106.5K-1.9K0.48110.06N/AN/A2110167417
2012-04-25$27.62$0.0023.5%6.7%12.4%21.6%0.0%0.7%-7.6%-12.4K116.7K-2.1K0.00110.87N/AN/A480166427
2012-04-26$27.36$0.0020.1%5.8%12.7%14.3%0.0%1.1%-5.9%-12.3K112.1K-2.2K0.00110.25N/AN/A1630162427
2012-04-27$27.38$0.0025.7%7.4%12.7%26.4%0.0%1.9%-8.8%-2.8K-29.6K-3.1K0.00112.41N/AN/A015325427
2012-04-30$27.38$0.0024.2%6.9%12.6%23.2%0.0%2.1%-10.2%-2.0K8.8K-3.1K0.00111.42N/AN/A030325442