NNN Options History — March 2013

In March 2013, NNN traded between $34.56 and $36.17. ATM implied volatility averaged 10.8%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 2.3% (HV 20d: 13.1%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 43.03.

Notable Days

  • 2013-03-27: Highest Volume — 525 contracts
  • 2013-03-11: Largest IV spike — 41.8% change
  • 2013-03-11: Highest IV Rank — 14.0%
  • 2013-03-08: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.23$34.56$36.17$34.56$36.17
Max Pain$34.75$30.00$35.00$30.00$35.00
ATM IV10.8%7.5%12.9%8.9%8.4%
Expected Move3.3%2.4%3.9%2.6%2.4%
HV 20d13.1%11.0%14.6%11.0%12.7%
HV 60d10.3%9.3%11.0%9.3%11.0%
IV Rank9.2%1.7%14.0%4.9%3.8%
IV Percentile11.0%0.4%19.8%2.4%1.6%
Term Structure1.9%-0.9%6.4%4.7%1.8%
VWIV12.0%11.1%13.5%11.7%12.5%
Skew 25d11.1%-1.5%26.0%10.2%-1.5%
Skew 10d19.5%-5.8%38.3%4.2%-5.8%
Call IV 25d12.8%9.1%14.2%9.1%12.9%
Put IV 25d24.0%11.4%40.0%19.4%11.4%
Bid-Ask Spread %31.4612.3795.3795.3754.95
Gamma HHI0.640.440.920.650.44
Net GEX-73.7K-439.8K58.2K42.8K-17.9K
Net DEX-111.6K-1.2M972.4K-845.6K-518.8K
Net VEX-7.7K-10.3K-4.2K-4.9K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio43.030.00401.000.000.00
Total Volume98.7052501
Total OI2,169.41,6302,6961,7172,139

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$34.56$30.008.9%2.6%11.0%4.9%0.0%10.2%4.7%42.8K-845.6K-4.9K0.0095.37N/AN/A005351,182
2013-03-04$34.91$35.008.3%3.3%11.1%3.6%11.7%1.7%1.0%49.3K-953.9K-5.0K0.0015.71N/AN/A605351,182
2013-03-05$35.57$35.0011.2%3.3%12.2%10.3%11.5%11.8%1.3%54.5K-1.2M-4.2K1.0028.40N/AN/A885361,182
2013-03-06$35.58$35.007.5%3.3%12.3%1.7%11.6%11.7%0.8%58.2K-1.2M-4.2K4.0030.32N/AN/A5205381,176
2013-03-07$35.40$35.007.6%3.2%12.8%2.0%11.1%14.0%1.5%49.9K-783.4K-4.2K100.0021.57N/AN/A22004361,194
2013-03-08$35.58$35.009.1%3.9%12.7%5.3%13.5%13.5%-0.9%7.4K-527.3K-5.5K1.5312.37N/AN/A15234341,394
2013-03-11$35.03$35.0012.9%3.4%14.5%14.0%0.0%20.5%0.4%2.6K-275.4K-5.7K11.1017.55N/AN/A202224441,417
2013-03-12$34.94$35.0010.5%3.8%14.6%8.5%13.4%21.5%0.1%-260.9K232.0K-6.4K401.0030.51N/AN/A14014391,639
2013-03-13$34.94$35.0011.1%3.2%14.4%10.0%11.1%1.8%2.0%-342.6K972.4K-8.9K0.0033.10N/AN/A17904392,036
2013-03-14$34.95$35.0011.7%3.4%14.4%11.4%0.0%22.5%1.9%-439.8K730.4K-9.9K20.0020.86N/AN/A2406182,036
2013-03-15$35.00$35.0011.9%3.4%14.4%11.8%0.0%22.2%1.3%-369.7K664.0K-9.9K8.8032.31N/AN/A5446202,076
2013-03-18$34.87$35.0012.5%3.6%14.5%13.1%0.0%1.1%2.1%-38.8K427.4K-9.8K10.0018.92N/AN/A2206181,758
2013-03-19$34.84$35.0012.6%3.6%13.5%13.5%0.0%26.0%1.7%-48.3K599.8K-8.9K0.0018.91N/AN/A21406201,771
2013-03-20$34.88$35.0012.4%3.6%13.5%13.0%12.5%25.6%1.0%-38.9K534.5K-10.0K0.0031.95N/AN/A106251,771
2013-03-21$34.90$35.0012.2%3.5%12.6%12.3%0.0%1.2%2.2%-35.2K451.7K-10.3K0.0032.24N/AN/A006261,771
2013-03-22$35.35$35.0012.5%3.6%13.1%13.2%0.0%18.1%1.6%-33.8K128.0K-9.9K0.0026.62N/AN/A006261,771
2013-03-25$35.39$35.0011.9%3.4%12.7%11.7%0.0%0.2%2.3%-30.7K1.7K-9.5K0.0031.66N/AN/A306261,771
2013-03-26$35.92$35.0010.7%3.1%12.3%9.0%0.0%1.7%6.4%-47.3K-416.7K-8.9K0.0036.97N/AN/A706291,771
2013-03-27$35.74$35.0011.5%3.3%12.3%10.9%0.0%-0.8%4.2%-35.7K-288.4K-9.5K174.0038.81N/AN/A35226361,771
2013-03-28$36.17$35.008.4%2.4%12.7%3.8%0.0%-1.5%1.8%-17.9K-518.8K-9.1K0.0054.95N/AN/A106391,500