NNN Options History — July 2012

In July 2012, NNN traded between $28.37 and $30.05. ATM implied volatility averaged 19.6%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.9% (HV 20d: 14.7%). 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 5 of 21 days. Put/call ratio averaged 0.12.

Notable Days

  • 2012-07-13: Highest Volume — 160 contracts
  • 2012-07-25: Largest IV spike — 95.5% change
  • 2012-07-26: Highest IV Rank — 80.0%
  • 2012-07-26: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.14$28.37$30.05$28.76$29.50
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV19.6%12.7%50.4%16.7%14.7%
Expected Move5.4%3.6%14.4%4.8%4.2%
HV 20d14.7%12.5%17.3%17.3%13.1%
HV 60d15.8%15.3%16.2%15.8%15.9%
IV Rank14.0%0.0%80.0%6.8%4.2%
IV Percentile19.8%0.0%99.6%7.1%4.0%
Term Structure-2.7%-16.0%2.1%-4.9%0.3%
VWIV28.7%28.1%29.4%28.1%29.4%
Skew 25d8.2%-0.9%34.3%5.6%10.2%
Skew 10d4.0%-4.1%47.4%-4.0%-3.1%
Call IV 25d19.6%14.1%43.6%17.0%20.1%
Put IV 25d27.8%16.0%58.7%22.5%30.3%
Bid-Ask Spread %114.72105.50138.44105.83114.59
Gamma HHI0.900.680.990.810.98
Net GEX51.0K20.5K90.2K25.3K90.2K
Net DEX-405.6K-729.9K-178.0K-198.0K-572.6K
Net VEX-2.6K-3.3K-1.7K-2.1K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.120.001.000.000.00
Total Volume14.3810160141
Total OI704.571570818570800

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$28.76$0.0016.7%4.8%17.3%6.8%28.1%5.6%-4.9%25.3K-198.0K-2.1K0.00105.83N/AN/A140331239
2012-07-03$28.63$25.0017.0%4.9%17.1%7.5%29.4%9.7%-3.2%20.5K-203.7K-2.0K0.00111.68N/AN/A30345239
2012-07-05$28.40$25.0018.6%5.3%16.5%11.0%0.0%7.2%-0.4%20.5K-193.9K-2.0K0.00111.81N/AN/A00348239
2012-07-06$28.37$0.0019.1%3.9%15.7%12.0%0.0%-0.9%-3.9%20.9K-178.0K-1.9K0.00117.73N/AN/A130348239
2012-07-09$28.43$0.0017.7%4.7%15.6%9.1%0.0%2.6%-8.1%21.3K-182.2K-1.8K0.00111.82N/AN/A00348239
2012-07-10$28.55$0.0018.7%3.9%13.0%11.3%0.0%2.9%-3.8%24.2K-195.4K-1.7K0.00111.99N/AN/A20348239
2012-07-11$28.69$0.0019.1%4.2%12.5%12.2%0.0%4.4%-5.5%22.0K-226.1K-2.2K0.00111.86N/AN/A00348239
2012-07-12$28.95$0.0014.4%4.1%12.7%1.9%0.0%3.7%-0.3%28.5K-245.5K-2.0K0.50111.86N/AN/A105348239
2012-07-13$29.30$0.0012.7%3.6%12.9%0.0%0.0%5.4%0.5%34.6K-338.5K-2.2K0.07110.07N/AN/A14911358239
2012-07-16$29.47$0.0014.5%4.2%12.7%3.8%0.0%4.2%-2.1%60.0K-515.6K-3.0K0.00109.62N/AN/A90507239
2012-07-17$30.05$0.0015.9%4.6%13.8%6.7%0.0%34.3%-1.3%67.4K-729.9K-2.9K0.00107.03N/AN/A490516239
2012-07-18$29.58$0.0016.3%4.7%15.6%7.6%0.0%5.5%-1.7%73.2K-586.3K-3.3K0.00108.79N/AN/A20565239
2012-07-19$29.40$0.0013.1%3.8%16.0%0.8%0.0%7.3%0.8%69.6K-542.9K-3.2K0.00111.23N/AN/A40567239
2012-07-20$29.50$0.0014.0%4.0%15.1%2.7%0.0%7.8%-0.1%77.4K-533.4K-3.1K0.00113.02N/AN/A00571239
2012-07-23$29.43$0.0015.0%4.3%14.9%5.0%0.0%3.7%-0.0%69.7K-482.4K-3.0K0.00105.50N/AN/A00549239
2012-07-24$29.44$0.0014.0%4.0%14.9%2.8%0.0%7.3%0.5%73.0K-477.0K-3.0K1.00112.05N/AN/A1010549239
2012-07-25$29.65$0.0027.5%7.9%14.8%31.3%0.0%17.7%2.1%75.8K-538.4K-3.1K0.00138.27N/AN/A100559249
2012-07-26$29.29$0.0050.4%14.4%15.9%80.0%0.0%14.4%-16.0%60.9K-508.7K-3.1K0.00138.44N/AN/A00569249
2012-07-27$29.21$0.0045.4%13.0%14.3%69.5%0.0%16.0%-7.3%52.6K-508.3K-3.2K0.00137.96N/AN/A00551249
2012-07-30$29.35$0.0016.4%4.7%14.1%7.9%0.0%4.2%-1.8%82.7K-560.6K-3.2K0.00107.98N/AN/A00551249
2012-07-31$29.50$0.0014.7%4.2%13.1%4.2%0.0%10.2%0.3%90.2K-572.6K-3.2K0.00114.59N/AN/A10551249