NNN Options History — May 2013

In May 2013, NNN traded between $35.87 and $41.89. ATM implied volatility averaged 17.6%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.0% (HV 20d: 15.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 6.02.

Notable Days

  • 2013-05-29: Highest Volume — 1,825 contracts
  • 2013-05-06: Largest IV spike — 71.4% change
  • 2013-05-29: Highest IV Rank — 54.7%
  • 2013-05-29: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.02$35.87$41.89$39.42$35.87
Max Pain$39.55$35.00$40.00$40.00$40.00
ATM IV17.6%8.4%30.6%14.4%27.9%
Expected Move5.0%2.4%8.8%4.1%8.0%
HV 20d15.7%9.2%24.2%14.0%22.2%
HV 60d14.1%12.5%18.2%12.6%18.0%
IV Rank24.9%3.8%54.7%17.5%48.4%
IV Percentile59.9%2.0%98.4%43.7%97.2%
Term Structure-0.3%-5.9%4.9%-1.1%-4.8%
VWIV17.5%12.6%26.6%13.2%26.6%
Skew 25d6.8%-8.3%35.6%6.4%5.3%
Skew 10d22.1%2.2%67.2%7.0%8.0%
Call IV 25d16.0%11.4%29.5%16.8%23.0%
Put IV 25d22.8%14.1%51.5%23.2%28.3%
Bid-Ask Spread %69.2214.80110.1644.7255.66
Gamma HHI0.670.450.860.510.79
Net GEX-95.6K-283.6K28.1K7.2K-283.6K
Net DEX426.5K-576.9K3.0M-369.6K3.0M
Net VEX-5.7K-13.4K-1.2K-1.6K-13.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.020.0033.000.004.00
Total Volume173.63611,82531
Total OI2,363.4551,6303,7801,6303,729

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$39.42$40.0014.4%4.1%14.0%17.5%0.0%6.4%-1.1%7.2K-369.6K-1.6K0.0044.72N/AN/A301961,434
2013-05-02$40.28$40.0013.0%3.7%15.3%14.3%0.0%35.6%2.6%28.1K-514.2K-1.2K1.3358.41N/AN/A341981,434
2013-05-03$40.42$40.008.4%2.4%15.3%3.8%0.0%-8.3%4.9%24.6K-536.2K-1.2K0.00110.16N/AN/A1002001,434
2013-05-06$40.51$35.0014.5%3.8%15.3%17.7%13.2%2.4%1.1%22.7K-571.5K-1.3K0.0083.13N/AN/A0322101,434
2013-05-07$40.84$35.009.8%3.9%14.9%7.0%13.6%15.0%1.1%21.2K-576.9K-1.3K0.0036.18N/AN/A0752101,465
2013-05-08$40.94$40.0010.9%4.1%14.9%9.5%14.5%13.6%0.2%-3.8K-494.0K-1.7K12.5031.86N/AN/A2252101,540
2013-05-09$40.76$40.0011.2%4.1%15.2%10.1%14.2%3.2%0.7%-21.1K-424.3K-1.9K0.7214.80N/AN/A103742101,565
2013-05-10$40.92$40.0014.0%4.7%15.0%16.5%16.6%4.7%-1.2%-25.5K-452.4K-3.1K22.4081.20N/AN/A51123051,638
2013-05-13$41.19$40.0015.7%4.5%12.7%20.4%15.6%11.2%-0.6%-48.8K-398.2K-3.3K0.1988.41N/AN/A54103081,732
2013-05-14$41.47$40.0019.2%3.9%12.3%28.4%16.0%-0.5%4.5%-37.4K-527.2K-3.9K33.0073.17N/AN/A103303551,742
2013-05-15$41.63$40.0024.5%4.5%11.8%40.8%18.2%0.6%3.3%-106.4K-239.4K-5.6K8.0380.88N/AN/A302413652,072
2013-05-16$41.71$40.0019.1%5.5%11.4%28.3%14.2%6.6%-2.3%-123.9K33.9K-8.0K0.2890.79N/AN/A46133792,272
2013-05-17$41.89$40.0018.3%5.3%9.2%26.5%17.2%6.6%-0.4%-129.7K-117.5K-7.5K2.8687.13N/AN/A21604242,272
2013-05-20$41.60$40.0019.6%5.6%10.0%29.4%19.4%6.3%-1.7%-130.3K101.3K-8.3K0.0090.55N/AN/A1404452,281
2013-05-21$41.86$40.0016.2%4.6%9.9%21.5%12.6%7.0%4.3%-156.2K-51.8K-7.6K0.0088.24N/AN/A604442,281
2013-05-22$40.48$40.0019.1%5.5%16.5%28.2%19.1%3.4%-1.0%-180.2K786.7K-8.6K0.0080.57N/AN/A02254442,281
2013-05-23$39.65$40.0018.1%5.2%18.2%25.9%18.1%1.3%-0.4%-198.1K1.3M-8.3K7.5187.90N/AN/A372784442,266
2013-05-24$38.85$40.0018.4%5.3%19.6%26.7%18.3%5.9%-1.9%-163.6K1.6M-8.1K10.4085.55N/AN/A5524692,209
2013-05-28$37.58$40.0018.2%5.2%22.7%26.3%21.5%2.9%-4.8%-156.8K2.1M-7.7K1.1650.77N/AN/A32374692,184
2013-05-29$36.56$40.0030.6%8.8%24.0%54.7%26.3%12.6%-5.9%-161.6K2.6M-7.8K3.9154.07N/AN/A3721,4534752,191
2013-05-30$36.07$40.0027.1%7.8%24.2%46.5%26.6%7.1%-1.9%-280.2K3.0M-13.2K4.0048.69N/AN/A9367493,031
2013-05-31$35.87$40.0027.9%8.0%22.2%48.4%0.0%5.3%-4.8%-283.6K3.0M-13.4K0.0055.66N/AN/A017532,976