NNN Options History — July 2013

In July 2013, NNN traded between $34.25 and $37.43. ATM implied volatility averaged 25.1%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 9.3% (HV 20d: 34.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 4.39.

Notable Days

  • 2013-07-24: Highest Volume — 316 contracts
  • 2013-07-25: Largest IV drop — 19.7% change
  • 2013-07-31: Highest IV Rank — 54.1%
  • 2013-07-15: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.09$34.25$37.43$34.25$34.99
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV25.1%19.2%28.6%25.7%27.7%
Expected Move7.2%5.5%8.2%7.4%7.9%
HV 20d34.5%23.0%42.8%42.6%24.9%
HV 60d30.6%29.6%31.5%29.6%31.5%
IV Rank42.4%28.4%54.1%43.4%54.1%
IV Percentile90.0%71.8%97.6%94.4%97.2%
Term Structure-1.1%-4.0%5.2%0.5%-3.1%
VWIV25.4%12.6%30.8%25.7%27.7%
Skew 25d10.0%-3.3%19.6%19.6%3.4%
Skew 10d13.9%3.9%39.1%27.9%5.2%
Call IV 25d18.7%14.0%24.8%24.8%23.8%
Put IV 25d28.7%19.1%44.4%44.4%27.2%
Bid-Ask Spread %50.2315.39122.4828.9071.78
Gamma HHI0.520.300.780.500.55
Net GEX-17.1K-82.6K26.9K-37.2K-28.4K
Net DEX-138.6K-1.3M1.2M1.2M729.2K
Net VEX-11.0K-12.6K-9.6K-12.0K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.390.0030.600.000.08
Total Volume54.54523161064
Total OI2,695.6821,6733,2883,0621,995

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$34.25$35.0025.7%7.4%42.6%43.4%25.7%19.6%0.5%-37.2K1.2M-12.0K0.0028.90N/AN/A1001,4331,629
2013-07-02$35.03$35.0024.1%6.9%42.8%39.7%0.0%17.5%1.0%-39.6K628.8K-12.6K0.0033.60N/AN/A2301,4331,629
2013-07-03$34.99$35.0024.4%7.0%42.6%40.4%0.0%17.1%1.6%-42.7K723.1K-11.8K0.0030.30N/AN/A081,4361,629
2013-07-05$34.80$35.0024.0%7.3%40.2%39.4%30.7%10.5%-1.7%-54.8K919.1K-11.3K0.0031.83N/AN/A1001,4361,637
2013-07-08$34.97$35.0027.6%7.7%39.9%47.8%30.8%10.0%-3.0%-52.3K655.6K-11.5K8.1316.26N/AN/A241951,4411,637
2013-07-09$35.52$35.0025.4%7.8%40.3%42.8%27.1%10.4%-3.6%-77.3K368.3K-11.8K9.1740.46N/AN/A121101,4501,699
2013-07-10$35.60$35.0027.2%7.6%40.2%46.8%24.1%10.4%-3.6%-82.6K383.8K-11.5K30.0037.47N/AN/A51501,4541,748
2013-07-11$36.84$35.0027.1%7.8%41.5%46.6%12.6%14.1%-3.1%-7.8K-891.1K-11.0K2.1738.94N/AN/A30651,4561,750
2013-07-12$36.51$35.0026.3%7.5%41.6%44.8%24.7%7.8%-3.0%-37.7K-721.2K-11.0K7.0027.41N/AN/A2141,4691,811
2013-07-15$37.36$35.0028.6%8.2%42.0%50.0%0.0%13.9%-3.9%20.2K-1.2M-10.3K0.0035.05N/AN/A1001,4671,815
2013-07-16$37.01$35.0025.4%7.3%42.1%42.7%0.0%9.8%-2.5%5.8K-1.1M-10.4K0.0096.25N/AN/A601,4731,815
2013-07-17$37.22$35.0027.3%7.8%41.0%47.1%0.0%12.7%-4.0%16.9K-1.2M-10.2K0.0054.44N/AN/A1501,4681,815
2013-07-18$37.43$35.0027.0%7.7%38.5%46.4%0.0%12.6%-2.5%22.9K-1.3M-10.1K0.1057.97N/AN/A2121,4451,701
2013-07-19$37.04$35.0021.7%6.2%26.5%34.3%0.0%9.3%5.2%14.9K-1.2M-10.2K0.00102.41N/AN/A901,4571,701
2013-07-22$37.21$35.0022.8%6.5%23.0%36.9%26.5%11.1%4.1%25.5K-703.7K-9.9K0.4035.05N/AN/A52921752
2013-07-23$36.87$35.0025.8%7.4%23.7%43.7%0.0%12.0%-2.4%26.6K-623.9K-9.8K0.00106.21N/AN/A100926753
2013-07-24$35.87$35.0023.9%6.8%25.9%39.2%0.0%4.2%-2.1%26.9K-155.4K-9.6K30.6015.39N/AN/A10306925753
2013-07-25$36.09$35.0019.2%5.5%25.3%28.4%0.0%-3.3%-0.5%-18.0K160.5K-11.6K0.21122.48N/AN/A1439241,056
2013-07-26$36.83$35.0022.0%6.3%23.4%34.8%0.0%6.5%4.1%-12.3K-68.0K-11.2K0.0027.68N/AN/A5209341,057
2013-07-29$35.93$35.0024.9%7.1%25.0%41.6%0.0%5.3%-0.5%-20.8K59.8K-11.4K0.0016.58N/AN/A1109251,057
2013-07-30$35.64$35.0024.5%7.0%25.1%40.8%24.4%4.2%-0.8%-23.3K252.4K-10.8K0.0078.67N/AN/A029361,057
2013-07-31$34.99$35.0027.7%7.9%24.9%54.1%27.7%3.4%-3.1%-28.4K729.2K-10.8K0.0871.78N/AN/A5959361,059