NNN Options History — January 2013

In January 2013, NNN traded between $31.57 and $32.60. ATM implied volatility averaged 19.2%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 10.7% (HV 20d: 8.4%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 4.18.

Notable Days

  • 2013-01-30: Highest Volume — 259 contracts
  • 2013-01-29: Largest IV drop — 33.7% change
  • 2013-01-22: Highest IV Rank — 41.9%
  • 2013-01-22: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.15$31.57$32.60$31.57$32.02
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV19.2%12.8%26.6%12.8%18.9%
Expected Move5.6%3.7%7.6%3.7%5.4%
HV 20d8.4%7.6%9.2%7.8%8.4%
HV 60d9.7%8.9%10.1%10.0%8.9%
IV Rank23.8%8.2%41.9%8.2%23.1%
IV Percentile55.1%10.7%87.7%10.7%58.7%
Term Structure-6.8%-16.1%4.0%4.0%-4.6%
Skew 25d-0.6%-6.6%7.7%-2.3%7.7%
Skew 10d4.2%-4.2%10.0%-4.2%6.3%
Call IV 25d15.6%12.2%22.0%16.4%16.1%
Put IV 25d15.0%10.1%23.8%14.1%23.8%
Bid-Ask Spread %37.0610.97107.0313.9678.75
Gamma HHI0.460.330.520.440.43
Net GEX8.5K-20.2K15.8K9.0K-20.2K
Net DEX-509.0K-684.2K-158.6K-448.9K-158.6K
Net VEX-2.6K-4.2K-2.2K-2.3K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.180.0027.780.3327.78
Total Volume16.857025900
Total OI9869341,1829611,182

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$31.57$30.0012.8%3.7%7.8%8.2%0.0%-2.3%4.0%9.0K-448.9K-2.3K0.0013.96N/AN/A00303658
2013-01-03$31.71$30.0014.1%4.0%7.6%11.3%0.0%-1.5%3.9%9.9K-465.8K-2.3K0.0010.97N/AN/A00303658
2013-01-04$31.95$0.0014.2%5.0%7.8%11.6%0.0%6.5%-1.0%9.0K-496.8K-2.2K0.0019.06N/AN/A00303658
2013-01-07$32.20$0.0018.1%6.2%8.0%21.2%0.0%3.3%-7.7%9.9K-545.1K-2.2K0.3313.99N/AN/A155303658
2013-01-08$32.09$0.0018.5%5.4%8.3%22.1%0.0%7.0%-1.4%10.8K-560.6K-2.3K0.0018.42N/AN/A00318663
2013-01-09$32.20$0.0019.9%6.6%8.2%25.4%0.0%3.0%-9.9%12.4K-570.3K-2.2K0.0535.38N/AN/A221318663
2013-01-10$32.02$0.0018.3%5.2%8.6%21.6%0.0%-4.4%-10.3%13.0K-602.3K-2.4K0.0031.44N/AN/A00340664
2013-01-11$32.15$0.0022.1%6.3%8.6%30.9%0.0%1.3%-9.7%12.6K-614.2K-2.4K0.0021.58N/AN/A00340664
2013-01-14$32.44$0.0019.2%5.5%7.7%23.8%0.0%-2.7%-10.2%13.5K-673.2K-2.2K0.0011.04N/AN/A200340664
2013-01-15$32.60$0.0013.8%4.0%7.6%10.6%0.0%-2.2%-5.4%15.8K-670.8K-2.5K0.0014.90N/AN/A00358664
2013-01-16$32.28$0.0017.7%5.1%8.8%20.1%0.0%-3.5%-10.0%13.0K-684.2K-2.4K0.0020.69N/AN/A00358664
2013-01-17$32.29$0.0020.9%6.0%8.9%28.0%0.0%-3.0%-10.3%5.6K-638.1K-3.0K0.0038.81N/AN/A00358664
2013-01-18$32.37$0.0020.4%5.8%8.7%26.7%0.0%-2.2%-4.8%6.6K-629.8K-3.1K0.0038.29N/AN/A50358664
2013-01-22$32.50$0.0026.6%7.6%8.5%41.9%0.0%-1.3%-16.1%7.5K-472.7K-2.8K0.0020.46N/AN/A00293653
2013-01-23$32.43$0.0022.3%6.4%8.5%31.4%0.0%-4.7%-4.7%13.2K-487.4K-2.3K0.00107.03N/AN/A40293653
2013-01-24$32.28$0.0024.6%7.0%8.8%36.9%0.0%-4.6%-14.1%13.2K-459.8K-2.3K4.0018.08N/AN/A14293653
2013-01-25$32.12$0.0025.1%7.2%9.1%38.4%0.0%-4.6%-12.0%12.7K-419.5K-2.4K1.2595.92N/AN/A810294657
2013-01-28$32.15$0.0023.9%6.9%9.1%35.3%0.0%-6.6%-13.5%11.3K-419.8K-2.5K0.0018.86N/AN/A00294667
2013-01-29$31.95$0.0015.8%4.5%9.2%15.6%0.0%0.7%0.3%-500-345.9K-3.0K0.0080.47N/AN/A00267667
2013-01-30$31.88$0.0015.6%4.5%9.2%14.9%0.0%1.2%-5.9%623-325.6K-3.0K27.7870.06N/AN/A9250267667
2013-01-31$32.02$0.0018.9%5.4%8.4%23.1%0.0%7.7%-4.6%-20.2K-158.6K-4.2K0.0078.75N/AN/A00276906