NNN Options History — June 2012

In June 2012, NNN traded between $26.23 and $28.29. ATM implied volatility averaged 23.2%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.8% (HV 20d: 17.3%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.01.

Notable Days

  • 2012-06-18: Highest Volume — 97 contracts
  • 2012-06-14: Largest IV drop — 57.8% change
  • 2012-06-13: Highest IV Rank — 64.9%
  • 2012-06-26: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.12$26.23$28.29$26.23$28.29
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV23.2%16.9%43.5%22.3%16.9%
Expected Move5.6%4.4%8.3%6.4%4.9%
HV 20d17.3%15.7%19.1%16.9%16.7%
HV 60d14.9%14.1%15.6%14.1%15.5%
IV Rank20.9%7.4%64.9%18.9%7.4%
IV Percentile42.1%7.5%95.2%44.8%7.5%
Term Structure3.0%-7.2%10.6%-0.1%-3.7%
VWIV21.3%21.3%21.3%21.3%21.3%
Skew 25d1.4%-6.1%5.0%-2.9%5.0%
Skew 10d2.7%-2.6%22.4%-1.5%7.6%
Call IV 25d18.7%15.2%27.1%27.1%17.9%
Put IV 25d20.2%13.1%25.2%24.2%22.9%
Bid-Ask Spread %111.47108.34116.94113.06112.11
Gamma HHI0.500.420.730.600.73
Net GEX1.5K-26.2K18.7K-26.2K18.7K
Net DEX-17.0K-147.5K130.2K130.2K-130.3K
Net VEX-2.1K-2.6K-1.7K-2.1K-1.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.010.000.050.000.00
Total Volume8.23809722
Total OI701.714465834829572

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$26.23$25.0022.3%6.4%16.9%18.9%21.3%-2.9%-0.1%-26.2K130.2K-2.1K0.00113.06N/AN/A02340489
2012-06-04$26.25$0.0018.9%6.8%16.5%11.6%0.0%3.8%-2.0%-22.6K106.1K-1.9K0.00108.48N/AN/A04340487
2012-06-05$26.64$0.0019.0%5.5%17.4%11.8%0.0%3.9%6.8%-8.4K46.3K-1.9K0.00108.34N/AN/A00340489
2012-06-06$27.17$0.0021.7%4.4%17.5%17.7%0.0%2.0%8.1%1.6K-21.3K-1.9K0.00110.75N/AN/A50340489
2012-06-07$26.86$0.0027.8%4.5%17.8%31.0%0.0%-3.4%3.7%-5.9K19.6K-1.8K0.00110.71N/AN/A00345489
2012-06-08$27.07$0.0026.2%4.4%17.9%27.5%0.0%1.6%3.6%967-19.7K-2.0K0.00110.96N/AN/A00345489
2012-06-11$26.52$0.0030.2%5.1%19.1%36.0%0.0%-6.1%-1.8%-7.2K6.9K-1.9K0.00116.94N/AN/A05345489
2012-06-12$26.88$0.0030.8%4.8%18.5%37.4%0.0%3.1%8.4%1.8K9.8K-1.8K0.00110.53N/AN/A00345489
2012-06-13$27.04$0.0043.5%4.7%18.7%64.9%0.0%2.7%9.0%1.8K-3.2K-1.9K0.00109.38N/AN/A00345489
2012-06-14$27.29$0.0018.4%5.3%18.6%10.5%0.0%5.0%2.6%4.7K-36.7K-1.9K0.00111.14N/AN/A00345489
2012-06-15$27.24$0.0017.8%5.1%17.5%9.4%0.0%-0.1%-1.6%6.0K-40.1K-1.9K0.00112.08N/AN/A046345489
2012-06-18$27.29$0.0018.9%5.4%17.1%11.7%0.0%0.7%8.9%1.4K21.5K-1.7K0.05112.22N/AN/A925229236
2012-06-19$27.28$0.0020.9%6.0%16.4%16.1%0.0%2.4%6.3%7.6K-36.0K-2.1K0.00111.02N/AN/A00321241
2012-06-20$27.36$0.0017.9%5.1%16.4%9.6%0.0%1.9%7.4%6.9K-41.5K-2.3K0.00110.87N/AN/A60321241
2012-06-21$27.07$0.0020.2%5.8%16.9%14.4%0.0%1.3%10.6%5.6K-22.6K-2.2K0.00112.01N/AN/A10327241
2012-06-22$26.95$0.0020.1%5.8%16.9%14.3%0.0%-0.7%7.3%5.0K-10.6K-2.2K0.00110.71N/AN/A50328239
2012-06-25$27.17$0.0021.6%6.2%17.1%17.5%0.0%3.3%6.6%6.0K-19.5K-2.3K0.00111.93N/AN/A00333239
2012-06-26$27.44$0.0028.8%8.3%17.2%33.1%0.0%2.3%-6.8%10.0K-86.5K-2.6K0.00113.07N/AN/A00333239
2012-06-27$27.45$0.0026.8%7.7%15.7%28.6%0.0%0.2%-7.2%9.8K-81.4K-2.5K0.00112.93N/AN/A00333239
2012-06-28$28.07$0.0018.1%5.2%17.3%9.9%0.0%4.0%-3.9%14.9K-147.5K-2.3K0.00111.66N/AN/A00333239
2012-06-29$28.29$0.0016.9%4.9%16.7%7.4%0.0%5.0%-3.7%18.7K-130.3K-1.9K0.00112.11N/AN/A20333239