NNN Options History — April 2013

In April 2013, NNN traded between $36.41 and $39.68. ATM implied volatility averaged 14.1%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.7% (HV 20d: 12.4%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2013-04-29: Highest Volume — 95 contracts
  • 2013-04-19: Largest IV drop — 45.1% change
  • 2013-04-18: Highest IV Rank — 31.3%
  • 2013-04-18: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.64$36.41$39.68$36.58$39.68
Max Pain$35.68$35.00$40.00$35.00$40.00
ATM IV14.1%9.3%20.4%10.8%12.3%
Expected Move3.9%2.7%5.8%3.1%3.5%
HV 20d12.4%9.5%15.0%13.1%13.5%
HV 60d11.6%10.9%12.7%11.0%12.4%
IV Rank16.8%5.9%31.3%9.2%12.8%
IV Percentile36.0%6.0%80.2%11.1%24.2%
Term Structure-1.6%-12.4%7.1%-4.5%-0.5%
VWIV15.2%8.7%22.2%8.7%22.2%
Skew 25d3.6%-5.4%50.5%-1.3%50.5%
Skew 10d6.0%-7.6%67.4%-4.6%67.4%
Call IV 25d13.0%9.5%17.2%13.9%15.6%
Put IV 25d16.6%8.9%66.1%12.6%66.1%
Bid-Ask Spread %48.8416.83110.0130.1732.28
Gamma HHI0.880.500.990.990.84
Net GEX-43.1K-91.2K25.7K-91.2K25.7K
Net DEX-1.2M-1.8M-85.9K-1.3M-410.6K
Net VEX-5.0K-7.5K-552-5.9K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.006.000.000.00
Total Volume16.091095122
Total OI2,024.7271,5472,1982,1401,628

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$36.58$35.0010.8%3.1%13.1%9.2%0.0%-1.3%-4.5%-91.2K-1.3M-5.9K0.0030.17N/AN/A1206401,500
2013-04-02$36.49$35.0012.3%3.5%12.9%12.6%0.0%-5.3%-4.3%-81.7K-1.3M-6.2K0.0062.37N/AN/A006421,500
2013-04-03$36.54$35.0011.3%3.2%11.4%10.3%0.0%-0.2%7.1%-50.7K-1.0M-7.5K0.0073.89N/AN/A006421,500
2013-04-04$36.77$35.0012.2%3.5%11.5%12.5%0.0%0.8%-1.5%-55.4K-1.1M-7.3K0.0019.40N/AN/A006421,500
2013-04-05$36.86$35.0015.7%4.0%11.2%20.4%0.0%6.4%2.7%-52.6K-1.2M-7.2K0.0041.58N/AN/A006421,500
2013-04-08$37.19$35.0018.9%4.3%11.4%27.8%0.0%7.6%3.7%-45.0K-1.4M-6.5K0.0027.33N/AN/A1306421,500
2013-04-09$37.02$35.0018.0%4.2%9.7%25.7%8.7%-3.3%-5.2%-50.6K-1.3M-6.6K0.0041.43N/AN/A0116501,500
2013-04-10$37.10$35.0018.9%4.3%9.5%27.7%0.0%6.3%1.5%-47.6K-1.5M-5.9K0.0021.83N/AN/A006501,505
2013-04-11$37.10$35.0016.5%4.7%9.5%22.4%0.0%-4.7%-9.0%-49.8K-1.4M-6.5K0.00108.25N/AN/A3206501,505
2013-04-12$37.00$35.0014.8%4.3%9.7%18.5%0.0%-3.5%-5.6%-54.6K-1.4M-6.6K0.0034.64N/AN/A016661,505
2013-04-15$36.41$35.0015.5%4.4%11.8%19.9%0.0%-2.9%-4.0%-49.1K-899.6K-7.5K0.0043.33N/AN/A306661,505
2013-04-16$36.94$35.0014.7%4.2%12.4%18.2%0.0%-5.4%-4.5%-63.9K-1.3M-6.5K6.00101.43N/AN/A5306661,505
2013-04-17$36.80$35.0017.2%4.9%12.5%24.0%14.7%7.7%1.0%-64.7K-1.2M-7.0K2.7323.07N/AN/A11306711,527
2013-04-18$37.36$35.0020.4%5.8%13.2%31.3%0.0%4.0%-12.4%-53.5K-1.5M-6.0K0.0029.89N/AN/A006731,433
2013-04-19$38.26$35.0011.2%3.2%15.0%10.2%0.0%1.6%-1.9%-41.3K-1.8M-5.3K4.1716.83N/AN/A6256731,433
2013-04-22$38.47$35.0013.9%4.0%14.7%16.2%0.0%2.1%-4.1%-37.7K-1.6M-1.7K0.25110.01N/AN/A414711,415
2013-04-23$38.79$35.0013.0%3.7%14.7%14.2%0.0%0.3%-4.8%-10.8K-1.6M-2.5K0.00103.78N/AN/A004751,416
2013-04-24$38.96$35.0011.0%3.1%14.2%9.6%0.0%4.8%-0.7%-21.7K-1.4M-3.3K0.0018.24N/AN/A2704751,416
2013-04-25$39.29$35.009.3%2.7%13.9%5.9%22.2%2.2%5.1%-12.9K-1.8M-5520.8218.68N/AN/A22185021,416
2013-04-26$39.18$40.0010.8%3.1%13.9%9.2%0.0%5.3%4.2%-40.2K-85.9K-2.1K0.0042.71N/AN/A601131,434
2013-04-29$39.35$40.0011.8%3.4%13.6%11.5%0.0%5.4%2.0%1.3K-262.3K-6810.0073.24N/AN/A9501161,434
2013-04-30$39.68$40.0012.3%3.5%13.5%12.8%0.0%50.5%-0.5%25.7K-410.6K-1.2K0.0032.28N/AN/A201941,434