NNN Options History — November 2012

In November 2012, NNN traded between $30.38 and $31.94. ATM implied volatility averaged 14.4%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.9% (HV 20d: 11.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2012-11-15: Highest Volume — 505 contracts
  • 2012-11-29: Largest IV spike — 50.8% change
  • 2012-11-13: Highest IV Rank — 23.2%
  • 2012-11-14: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.00$30.38$31.94$31.94$30.72
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV14.4%9.5%20.1%16.3%10.2%
Expected Move3.8%2.6%4.8%4.7%2.9%
HV 20d11.5%10.0%12.6%11.3%10.0%
HV 60d10.5%9.9%10.9%10.1%10.9%
IV Rank9.9%0.0%23.2%13.6%1.9%
IV Percentile20.0%0.0%56.7%27.0%1.2%
Term Structure2.3%-4.7%7.1%-4.7%-0.5%
VWIV14.7%11.2%16.9%16.9%11.2%
Skew 25d-0.2%-17.2%16.6%2.6%-17.2%
Skew 10d9.3%-5.8%35.3%0.5%11.3%
Call IV 25d15.5%9.9%27.1%16.5%27.1%
Put IV 25d15.2%8.7%32.1%19.1%10.0%
Bid-Ask Spread %45.1410.3594.1038.0181.99
Gamma HHI0.550.410.850.840.43
Net GEX-17.8K-37.6K-3.9K-7.5K-11.2K
Net DEX2.4K-270.9K217.7K-28.0K-270.9K
Net VEX-3.3K-7.0K-872-937-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.002.820.030.00
Total Volume42.762050510
Total OI706.0952731,1522731,152

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$31.94$0.0016.3%4.7%11.3%13.6%0.0%2.6%-4.7%-7.5K-28.0K-9370.0038.01N/AN/A0153220
2012-11-02$31.89$0.0014.1%4.0%11.3%8.0%0.0%-2.0%-1.2%-7.4K-42.2K-8860.0010.35N/AN/A0053220
2012-11-05$31.77$30.0018.0%2.6%10.9%18.1%0.0%0.5%6.8%-7.8K-34.4K-8720.0333.09N/AN/A65253220
2012-11-06$31.49$30.0015.1%3.2%11.4%10.6%0.0%-1.7%3.8%-3.9K-61.7K-1.5K0.0053.82N/AN/A00118222
2012-11-07$31.17$30.0015.7%3.6%12.0%12.0%0.0%-4.5%0.2%-4.8K-21.7K-1.4K0.0031.71N/AN/A00118222
2012-11-08$31.03$30.0016.8%4.7%12.1%14.9%16.9%3.9%1.4%-5.1K-27.6K-1.6K0.0018.21N/AN/A012118222
2012-11-09$30.80$30.0016.3%4.0%12.3%13.6%0.0%-2.5%-1.1%-7.5K27.4K-1.5K2.8234.72N/AN/A1131118234
2012-11-12$30.81$30.0016.3%4.5%12.3%13.6%0.0%1.4%1.5%-9.4K35.3K-1.7K0.0014.94N/AN/A00129256
2012-11-13$30.85$30.0020.1%4.5%12.3%23.2%15.9%2.3%1.5%-9.1K25.1K-1.7K0.6014.92N/AN/A10060129256
2012-11-14$30.39$30.0019.2%4.8%12.6%20.9%0.0%2.2%1.0%-13.5K-10.9K-2.9K0.0022.44N/AN/A00229316
2012-11-15$30.38$30.0016.1%4.6%11.6%13.1%0.0%16.6%1.2%-15.2K5.4K-2.9K0.0017.96N/AN/A0505229316
2012-11-16$30.67$30.0014.9%4.3%12.3%10.1%0.0%10.3%2.7%-35.4K217.7K-5.8K0.0090.82N/AN/A00229816
2012-11-19$30.75$30.0012.0%3.4%11.0%2.7%11.2%-5.2%4.7%-33.4K52.9K-4.8K0.0088.68N/AN/A80229816
2012-11-20$30.82$30.0014.0%4.0%11.0%7.9%0.0%-0.3%2.4%-33.1K124.9K-5.4K0.0022.23N/AN/A00233816
2012-11-21$30.95$30.0012.9%3.7%11.2%4.9%0.0%1.6%4.5%-20.9K-92.5K-2.9K0.0023.28N/AN/A00233816
2012-11-23$31.11$30.009.5%2.7%11.5%0.0%0.0%-1.5%6.2%-29.0K34.5K-5.2K0.0094.10N/AN/A330233816
2012-11-26$31.10$30.009.6%2.8%11.5%0.2%0.0%-2.5%7.1%-24.8K-38.9K-5.4K0.0035.20N/AN/A00266816
2012-11-27$30.75$30.009.5%2.7%12.0%0.0%0.0%-5.5%5.1%-37.6K38.1K-5.6K0.0081.69N/AN/A00266816
2012-11-28$30.77$30.0010.5%3.0%10.5%2.5%0.0%-2.6%4.5%-36.3K75.5K-6.1K0.0086.21N/AN/A600266816
2012-11-29$30.91$30.0015.8%4.5%10.5%15.6%0.0%-0.6%0.5%-21.5K43.1K-7.0K0.0053.59N/AN/A010326816
2012-11-30$30.72$30.0010.2%2.9%10.0%1.9%0.0%-17.2%-0.5%-11.2K-270.9K-3.3K0.0081.99N/AN/A00326826