NNN Options History — June 2013

In June 2013, NNN traded between $32.19 and $37.08. ATM implied volatility averaged 25.7%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 6.4% (HV 20d: 32.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 5.53.

Notable Days

  • 2013-06-20: Highest Volume — 1,868 contracts
  • 2013-06-07: Largest IV spike — 25.5% change
  • 2013-06-21: Highest IV Rank — 63.6%
  • 2013-06-21: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.82$32.19$37.08$35.27$34.40
Max Pain$36.00$35.00$40.00$40.00$35.00
ATM IV25.7%19.5%34.5%29.9%23.3%
Expected Move7.3%5.6%9.9%8.6%6.7%
HV 20d32.2%22.2%42.9%22.2%42.9%
HV 60d23.3%18.3%29.6%18.3%29.6%
IV Rank43.5%29.2%63.6%53.2%37.9%
IV Percentile93.0%82.1%99.2%97.6%88.1%
Term Structure-1.1%-5.9%8.2%-5.1%2.2%
VWIV29.5%23.1%41.3%25.9%24.5%
Skew 25d2.6%-4.4%11.0%4.8%1.3%
Skew 10d5.4%-15.3%40.4%5.8%2.6%
Call IV 25d23.5%16.9%30.9%22.7%22.0%
Put IV 25d26.1%21.3%34.2%27.4%23.3%
Bid-Ask Spread %64.4518.13101.6118.7526.16
Gamma HHI0.760.420.960.820.48
Net GEX-266.5K-547.1K-28.9K-292.7K-55.3K
Net DEX2.8M1.0M6.6M3.6M1.1M
Net VEX-10.0K-12.8K-6.2K-12.8K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.530.0056.600.860.37
Total Volume260.101,86826597
Total OI3,517.32,0154,1793,7302,714

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$35.27$40.0029.9%8.6%22.2%53.2%0.0%4.8%-5.1%-292.7K3.6M-12.8K0.8618.75N/AN/A14127532,977
2013-06-04$34.58$40.0025.9%7.4%22.4%43.8%25.9%0.4%-1.0%-327.2K4.3M-12.2K5.0721.06N/AN/A15767592,985
2013-06-05$35.03$40.0024.8%7.1%22.9%41.3%0.0%1.0%-0.4%-354.3K3.9M-12.3K0.2918.13N/AN/A70207622,987
2013-06-06$36.36$40.0019.5%5.6%27.8%29.2%23.1%4.5%8.2%-338.9K2.4M-11.7K11.6918.17N/AN/A718308083,007
2013-06-07$35.70$35.0024.5%6.7%28.1%40.7%0.0%4.9%-2.2%-423.3K3.4M-12.6K0.0043.62N/AN/A02008673,200
2013-06-10$35.82$35.0025.4%6.8%28.1%42.8%0.0%5.5%-1.6%-354.7K2.9M-11.5K0.0060.13N/AN/A208673,001
2013-06-11$35.54$35.0025.3%6.9%27.6%42.4%24.1%4.9%-2.1%-385.3K3.1M-11.7K0.0097.13N/AN/A0228693,001
2013-06-12$34.98$35.0025.4%6.8%27.3%42.7%0.0%1.8%-2.3%-428.5K4.0M-11.8K0.0098.21N/AN/A008693,021
2013-06-13$35.29$35.0023.4%6.7%27.6%38.1%29.8%-3.1%-2.1%-434.5K3.7M-11.4K0.3390.18N/AN/A1248693,021
2013-06-14$35.86$35.0023.4%6.7%28.8%38.1%0.0%-3.1%-1.0%-408.4K2.6M-10.7K0.0089.55N/AN/A008793,022
2013-06-17$36.06$35.0022.7%6.5%28.8%36.5%25.1%-2.6%-0.5%-343.0K1.8M-9.5K0.6088.75N/AN/A20128793,022
2013-06-18$37.08$35.0024.2%6.9%31.4%39.9%24.0%0.7%-0.3%-104.1K1.0M-8.6K4.3393.95N/AN/A241048943,013
2013-06-19$35.71$35.0024.6%7.1%33.0%40.9%0.0%5.3%-3.0%-547.1K2.5M-9.7K2.38101.61N/AN/A631508943,102
2013-06-20$33.16$35.0027.6%7.9%39.7%47.9%41.3%-4.4%-5.6%-251.9K6.6M-7.7K3.3279.37N/AN/A4321,4369443,235
2013-06-21$32.19$35.0034.5%9.9%40.1%63.6%39.1%3.2%-5.9%-30.1K3.3M-6.2K0.7778.22N/AN/A111851,3242,079
2013-06-24$32.20$35.0033.9%9.7%40.1%62.3%35.7%3.3%3.0%-28.9K1.8M-6.2K56.6086.93N/AN/A105661,089926
2013-06-25$32.92$35.0027.1%7.8%40.6%46.6%28.0%6.3%-2.9%-78.7K1.9M-7.4K1.2586.23N/AN/A12151,0991,435
2013-06-26$33.55$35.0025.1%7.2%40.7%42.1%33.7%6.0%0.9%-80.1K1.7M-7.5K0.2070.00N/AN/A69141,1031,449
2013-06-27$34.74$35.0024.5%7.0%42.9%40.6%24.5%11.0%-0.8%-63.3K1.0M-9.1K0.3522.85N/AN/A99351,1611,460
2013-06-28$34.40$35.0023.3%6.7%42.9%37.9%0.0%1.3%2.2%-55.3K1.1M-8.9K0.3726.16N/AN/A4361611,2381,476