NNN Options History — October 2012

In October 2012, NNN traded between $30.40 and $32.25. ATM implied volatility averaged 17.1%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 6.7% (HV 20d: 10.4%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.02.

Notable Days

  • 2012-10-04: Highest Volume — 75 contracts
  • 2012-10-31: Largest IV spike — 57.6% change
  • 2012-10-19: Highest IV Rank — 31.0%
  • 2012-10-19: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.42$30.40$32.25$30.43$31.68
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV17.1%10.9%23.1%13.6%19.0%
Expected Move5.2%3.5%6.6%3.9%5.5%
HV 20d10.4%8.6%11.6%10.9%11.1%
HV 60d9.7%8.9%10.7%10.5%10.0%
IV Rank15.4%0.0%31.0%5.8%20.5%
IV Percentile33.0%0.0%71.8%7.1%44.8%
Term Structure-5.3%-17.2%6.7%5.2%-10.6%
VWIV17.7%10.9%24.5%10.9%24.5%
Skew 25d-1.6%-6.9%12.3%12.3%-3.3%
Skew 10d8.8%-6.2%39.7%39.7%-6.2%
Call IV 25d20.3%15.6%25.3%24.4%23.7%
Put IV 25d18.7%13.3%36.7%36.7%20.4%
Bid-Ask Spread %107.9437.67127.39111.24111.37
Gamma HHI0.930.860.960.910.88
Net GEX18.7K-8.1K26.1K22.7K-8.1K
Net DEX-470.9K-728.7K-1.2K-231.0K-1.2K
Net VEX-2.0K-2.7K-920-2.7K-920
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.200.000.00
Total Volume6.524075141
Total OI558.143278613602278

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$30.43$30.0013.6%3.9%10.9%5.8%0.0%12.3%5.2%22.7K-231.0K-2.7K0.00111.24N/AN/A140308294
2012-10-02$30.40$30.0014.4%4.1%10.3%7.9%0.0%9.1%1.6%26.1K-266.4K-2.7K0.00112.11N/AN/A00319294
2012-10-03$30.58$30.0013.7%3.9%10.7%5.9%0.0%-6.9%4.5%24.7K-332.2K-2.6K0.00111.86N/AN/A00319294
2012-10-04$30.94$30.0013.7%3.9%11.6%6.1%10.9%-1.6%6.7%22.3K-416.7K-2.6K0.00127.39N/AN/A750319294
2012-10-05$31.07$0.0013.9%4.7%11.6%6.6%0.0%0.6%0.6%23.2K-464.1K-2.5K0.00108.80N/AN/A00319294
2012-10-08$31.00$0.0011.3%4.8%11.5%0.0%0.0%0.3%-1.1%23.4K-459.2K-2.5K0.00117.76N/AN/A40319294
2012-10-09$31.08$0.0010.9%4.8%11.4%0.0%0.0%1.3%-0.2%22.3K-531.9K-2.2K0.00112.49N/AN/A20319294
2012-10-10$31.17$0.0012.2%4.9%11.5%3.3%0.0%1.5%-0.3%22.6K-514.4K-2.3K0.00126.44N/AN/A00319294
2012-10-11$31.11$0.0017.1%4.9%10.5%15.5%0.0%-3.7%-6.6%24.8K-533.6K-2.2K0.20122.03N/AN/A102319294
2012-10-12$31.10$0.0016.9%4.8%10.3%15.2%0.0%-2.1%-4.8%22.7K-519.1K-2.1K0.00114.77N/AN/A00309294
2012-10-15$31.43$0.0017.1%4.9%9.7%15.6%0.0%-5.1%-2.6%19.3K-558.6K-2.0K0.00111.57N/AN/A02309294
2012-10-16$31.80$0.0019.9%5.7%10.1%22.7%24.5%-3.6%-7.0%17.4K-631.7K-1.9K0.00110.24N/AN/A180309294
2012-10-17$31.80$0.0021.8%6.3%10.1%27.7%0.0%-2.4%-11.0%17.3K-646.5K-1.8K0.00110.41N/AN/A00309294
2012-10-18$32.25$0.0020.5%5.9%9.6%24.4%0.0%-3.6%-13.1%14.7K-715.0K-1.6K0.00110.65N/AN/A50309294
2012-10-19$32.09$0.0023.1%6.6%9.9%31.0%0.0%-6.3%-14.0%15.6K-728.7K-1.7K0.00108.95N/AN/A10314294
2012-10-22$32.09$0.0021.5%6.2%9.9%26.7%0.0%-3.7%-10.1%16.2K-469.3K-1.7K0.00109.76N/AN/A00239225
2012-10-23$32.09$0.0022.0%6.3%8.9%28.1%0.0%-6.5%-15.7%17.0K-479.3K-1.7K0.00106.24N/AN/A30239225
2012-10-24$32.10$0.0022.9%6.6%8.9%30.3%0.0%-4.6%-17.2%15.4K-492.4K-1.6K0.0037.67N/AN/A00237225
2012-10-25$32.10$0.0021.9%6.3%8.6%27.7%0.0%-6.2%-14.0%16.2K-478.9K-1.6K0.00108.38N/AN/A00237225
2012-10-26$31.54$0.0012.1%3.5%11.2%2.9%0.0%0.8%-2.7%16.5K-418.6K-1.7K0.0076.57N/AN/A00237225
2012-10-31$31.68$0.0019.0%5.5%11.1%20.5%0.0%-3.3%-10.6%-8.1K-1.2K-9200.00111.37N/AN/A1053225