NNN Options History — May 2012

In May 2012, NNN traded between $26.10 and $27.76. ATM implied volatility averaged 23.5%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 9.4% (HV 20d: 14.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.06.

Notable Days

  • 2012-05-09: Highest Volume — 14 contracts
  • 2012-05-10: Largest IV drop — 61.5% change
  • 2012-05-04: Highest IV Rank — 72.4%
  • 2012-05-02: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.93$26.10$27.76$27.30$26.49
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV23.5%14.1%47.0%26.3%24.4%
Expected Move5.6%4.1%8.9%7.6%7.0%
HV 20d14.1%11.7%16.7%12.4%16.6%
HV 60d13.5%12.6%14.4%12.7%14.2%
IV Rank21.7%1.4%72.4%27.7%23.6%
IV Percentile40.8%0.4%98.0%77.0%62.3%
Term Structure-0.6%-22.7%8.1%3.5%-10.0%
Skew 25d0.8%-3.6%6.2%5.8%-3.1%
Skew 10d0.2%-5.3%6.5%5.9%-5.3%
Call IV 25d19.3%14.2%27.5%21.7%27.5%
Put IV 25d20.1%13.3%28.7%27.5%24.5%
Bid-Ask Spread %114.37104.72130.46123.40121.00
Gamma HHI0.480.420.570.420.55
Net GEX-9.7K-25.3K8.4K-3.3K-20.0K
Net DEX34.7K-89.2K170.5K-3.5K126.6K
Net VEX-2.3K-3.1K-2.0K-3.1K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.005.500.002.00
Total Volume2.90901450
Total OI812.091797829797829

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$27.30$0.0026.3%7.6%12.4%27.7%0.0%5.8%3.5%-3.3K-3.5K-3.1K0.00123.40N/AN/A50325472
2012-05-02$27.35$0.0030.9%8.9%12.4%37.6%0.0%5.1%-19.5%-2.2K-14.9K-2.5K0.00118.56N/AN/A00330472
2012-05-03$27.26$0.0030.1%8.6%11.7%35.8%0.0%-0.4%-22.7%-3.9K-19.1K-2.6K5.50130.46N/AN/A211330472
2012-05-04$26.94$25.0047.0%4.8%12.3%72.4%0.0%-0.1%5.6%-8.4K778-2.7K0.00127.97N/AN/A00329472
2012-05-07$26.97$25.0026.8%4.2%12.3%28.8%0.0%-1.0%8.1%-8.8K15.4K-2.4K0.00119.29N/AN/A03329472
2012-05-08$27.50$25.0040.1%4.1%12.9%57.5%0.0%1.0%7.8%1.2K-37.0K-2.5K0.00110.06N/AN/A00329475
2012-05-09$27.56$25.0036.8%4.2%12.7%50.3%0.0%-0.3%0.6%2.7K-47.1K-2.4K0.75112.63N/AN/A86329475
2012-05-10$27.76$25.0014.1%4.1%12.9%1.4%0.0%-0.9%0.8%8.4K-89.2K-2.3K0.00104.72N/AN/A04337469
2012-05-11$27.57$25.0020.0%5.7%12.7%14.0%0.0%1.8%0.1%3.3K-50.4K-2.5K2.00112.66N/AN/A36337467
2012-05-14$27.02$25.0017.4%5.0%14.4%8.3%0.0%-1.3%2.9%-5.9K-5.3K-2.3K0.00110.63N/AN/A02340473
2012-05-15$27.00$25.0018.4%5.3%14.1%10.5%0.0%1.2%4.1%-7.0K6.5K-2.4K0.00111.04N/AN/A02340475
2012-05-16$26.77$25.0017.3%5.0%14.3%8.2%0.0%-1.6%4.7%-12.6K53.7K-2.4K0.00110.86N/AN/A02340477
2012-05-17$26.33$25.0016.3%4.7%15.1%5.9%0.0%-3.6%5.2%-23.1K119.5K-2.4K0.00119.33N/AN/A00340479
2012-05-18$26.10$25.0019.0%5.4%14.4%11.9%0.0%1.6%5.4%-25.3K170.5K-2.4K0.00111.90N/AN/A00340479
2012-05-21$26.50$25.0016.0%4.6%15.7%5.4%0.0%-0.5%4.7%-18.3K80.5K-2.2K0.00110.26N/AN/A00340479
2012-05-22$26.53$25.0017.9%5.1%15.3%9.5%0.0%-0.3%-3.1%-18.8K98.4K-2.1K0.00110.96N/AN/A00340479
2012-05-23$26.57$25.0018.6%5.3%15.1%11.0%0.0%-0.8%-0.1%-17.7K92.9K-2.1K0.00111.10N/AN/A00340479
2012-05-24$26.73$25.0017.1%4.9%15.1%7.8%0.0%6.2%-0.2%-12.7K63.7K-2.1K0.00106.11N/AN/A00340479
2012-05-25$26.70$25.0019.8%5.7%15.1%13.7%0.0%1.3%-3.6%-14.3K72.7K-2.1K0.00111.07N/AN/A00340479
2012-05-29$26.95$25.0021.2%6.1%15.6%16.6%0.0%5.4%-3.3%-6.8K32.8K-2.0K0.00110.69N/AN/A00340479
2012-05-30$26.48$25.0022.0%6.3%16.7%18.4%0.0%1.7%-4.5%-19.7K96.8K-2.0K0.00111.44N/AN/A010340479
2012-05-31$26.49$25.0024.4%7.0%16.6%23.6%0.0%-3.1%-10.0%-20.0K126.6K-2.0K0.00121.00N/AN/A00340489