NNN Options History — August 2012

In August 2012, NNN traded between $29.47 and $31.06. ATM implied volatility averaged 15.0%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 5.2% (HV 20d: 9.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.22.

Notable Days

  • 2012-08-06: Highest Volume — 162 contracts
  • 2012-08-16: Largest IV drop — 36.7% change
  • 2012-08-15: Highest IV Rank — 29.5%
  • 2012-08-01: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.27$29.47$31.06$29.63$31.06
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV15.0%11.3%22.8%16.3%13.1%
Expected Move4.0%3.4%4.7%4.7%3.8%
HV 20d9.8%7.0%13.1%13.0%7.0%
HV 60d14.1%12.1%15.9%15.9%12.1%
IV Rank8.8%0.0%29.5%7.6%4.6%
IV Percentile9.4%0.0%56.0%9.1%2.0%
Term Structure1.3%-4.3%4.5%-4.3%1.0%
VWIV13.2%8.6%15.5%13.6%10.6%
Skew 25d12.2%-10.8%51.1%9.5%-1.4%
Skew 10d26.1%0.8%59.5%11.4%18.1%
Call IV 25d18.6%14.7%26.2%19.7%18.9%
Put IV 25d30.8%11.2%77.3%29.2%17.4%
Bid-Ask Spread %105.9494.71113.23109.55111.25
Gamma HHI0.980.960.990.980.97
Net GEX97.0K81.6K117.7K98.1K82.2K
Net DEX-909.0K-1.3M-489.6K-616.4K-1.3M
Net VEX-3.2K-3.5K-2.5K-3.2K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.002.380.000.00
Total Volume18.783016261
Total OI892.696801946801907

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$29.63$0.0016.3%4.7%13.0%7.6%0.0%9.5%-4.3%98.1K-616.4K-3.2K0.00109.55N/AN/A60552249
2012-08-02$29.64$0.0015.8%4.5%12.5%6.5%0.0%12.5%-1.0%96.8K-623.4K-3.1K0.00109.65N/AN/A20556249
2012-08-03$29.73$0.0013.8%3.9%12.4%2.3%0.0%51.1%1.5%98.9K-665.8K-3.1K0.00110.40N/AN/A140558249
2012-08-06$29.75$30.0011.3%3.9%12.4%0.0%13.6%1.2%2.8%102.6K-757.1K-3.2K2.38102.42N/AN/A48114572249
2012-08-07$29.47$30.0013.6%3.6%13.1%5.7%0.0%28.5%3.7%97.0K-489.6K-3.4K0.0097.64N/AN/A00615294
2012-08-08$29.57$30.0015.2%3.7%13.0%10.0%0.0%28.1%4.0%97.7K-527.5K-3.5K0.0094.71N/AN/A00615294
2012-08-09$29.69$30.0014.3%3.8%12.8%7.6%0.0%29.6%3.4%97.9K-608.0K-3.5K0.0097.14N/AN/A20615294
2012-08-10$29.81$30.0015.4%3.9%12.2%10.4%0.0%26.6%2.3%101.4K-675.0K-3.5K1.0096.85N/AN/A11615294
2012-08-13$29.80$30.0019.4%3.7%12.1%20.8%12.8%27.7%2.5%110.4K-635.4K-3.4K0.0094.82N/AN/A80615295
2012-08-14$29.86$30.0019.9%4.0%9.8%21.8%0.0%26.6%1.4%105.7K-697.5K-3.5K0.00105.13N/AN/A010622295
2012-08-15$30.13$30.0022.8%4.0%8.5%29.5%0.0%24.1%2.7%117.7K-786.8K-3.5K0.12105.41N/AN/A172622305
2012-08-16$30.41$30.0014.4%4.1%8.5%8.0%14.5%18.8%1.9%113.7K-1.0M-3.5K0.00105.89N/AN/A20639307
2012-08-17$30.64$30.0014.7%4.2%8.8%8.7%14.8%10.3%2.4%106.1K-1.1M-3.4K0.00106.83N/AN/A1160639307
2012-08-20$30.76$30.0014.4%4.1%8.6%7.9%14.5%3.2%-0.2%88.9K-1.1M-3.1K0.00111.67N/AN/A150597307
2012-08-21$30.62$30.0012.7%3.7%9.0%3.6%0.0%-4.6%0.9%94.8K-1.1M-3.0K0.00106.86N/AN/A010597307
2012-08-22$30.57$30.0015.5%4.4%8.8%10.7%15.5%13.6%-1.0%95.6K-998.8K-3.3K0.07104.26N/AN/A151597307
2012-08-23$30.54$30.0013.4%3.8%7.3%5.2%0.0%-1.9%1.6%96.4K-1.0M-3.1K0.00113.23N/AN/A00590308
2012-08-24$30.71$30.0014.4%4.1%7.1%7.8%14.4%2.3%1.2%90.1K-1.1M-3.0K0.00107.66N/AN/A30590308
2012-08-27$30.85$30.0013.2%3.8%7.1%4.8%0.0%-10.8%-0.8%86.8K-1.2M-2.8K0.00110.99N/AN/A220593308
2012-08-28$30.95$30.0011.8%3.4%7.1%1.1%8.6%-3.5%4.5%88.1K-1.3M-2.7K0.00110.99N/AN/A100590308
2012-08-29$31.01$30.0014.2%4.1%7.0%7.2%0.0%-5.7%-1.9%82.5K-1.2M-2.6K0.00112.12N/AN/A012587308
2012-08-30$31.03$30.0015.1%4.3%7.0%9.8%0.0%-5.7%0.4%81.6K-1.3M-2.7K0.00111.18N/AN/A00587320
2012-08-31$31.06$30.0013.1%3.8%7.0%4.6%10.6%-1.4%1.0%82.2K-1.3M-2.5K0.00111.25N/AN/A10587320