NNN Options History — August 2013

In August 2013, NNN traded between $30.63 and $34.58. ATM implied volatility averaged 23.6%, placing in the 60.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 0.9% (HV 20d: 24.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 22.39.

Notable Days

  • 2013-08-19: Highest Volume — 382 contracts
  • 2013-08-27: Largest IV spike — 61.1% change
  • 2013-08-21: Highest IV Rank — 81.6%
  • 2013-08-21: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.53$30.63$34.58$34.09$30.63
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV23.6%15.3%29.4%23.6%26.8%
Expected Move6.9%4.8%8.4%6.8%7.7%
HV 20d24.5%21.7%27.9%26.6%21.7%
HV 60d31.9%30.4%32.5%31.8%30.4%
IV Rank60.8%30.8%81.6%60.9%72.4%
IV Percentile82.1%49.2%98.4%83.7%91.7%
Term Structure0.7%-2.0%7.0%0.8%-0.9%
VWIV23.6%17.2%29.4%23.8%26.3%
Skew 25d6.4%-3.3%39.7%-0.1%4.5%
Skew 10d13.0%-2.9%53.9%-0.3%6.4%
Call IV 25d21.2%16.5%27.2%24.0%22.5%
Put IV 25d27.6%17.4%66.2%23.8%27.1%
Bid-Ask Spread %45.6314.8298.4219.8215.36
Gamma HHI0.510.450.590.510.59
Net GEX-37.5K-50.1K-26.8K-27.3K-44.3K
Net DEX2.1M940.0K2.9M1.1M2.9M
Net VEX-6.9K-10.2K-4.2K-10.2K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.390.00381.000.450.30
Total Volume4203821640
Total OI2,064.9551,9092,1312,0112,126

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$34.09$35.0023.6%6.8%26.6%60.9%23.8%-0.1%0.8%-27.3K1.1M-10.2K0.4519.82N/AN/A1159501,061
2013-08-02$34.58$35.0023.4%6.7%27.1%59.8%0.0%39.7%-0.5%-26.8K940.0K-10.1K3.0057.87N/AN/A139581,064
2013-08-05$33.88$35.0020.2%6.4%27.9%48.3%0.0%-2.1%1.0%-29.6K1.3M-9.4K2.5087.82N/AN/A4109591,064
2013-08-06$33.75$35.0019.6%6.3%27.2%46.3%22.1%4.6%1.6%-31.6K1.5M-9.0K0.1536.31N/AN/A2039571,074
2013-08-07$33.57$35.0016.2%6.4%27.1%34.1%25.6%3.4%0.7%-31.2K1.7M-8.1K0.0016.59N/AN/A0209701,077
2013-08-08$33.74$35.0020.3%6.0%23.6%48.9%0.0%6.0%2.4%-34.4K1.6M-8.5K3.5074.18N/AN/A279701,097
2013-08-09$34.24$35.0015.3%6.4%24.4%30.8%0.0%6.7%1.7%-31.5K1.2M-9.4K0.0027.56N/AN/A809701,094
2013-08-12$33.81$35.0018.5%6.3%22.6%42.2%22.1%-3.3%1.5%-34.0K1.5M-8.5K0.0658.09N/AN/A1819701,094
2013-08-13$33.31$35.0028.8%6.4%22.8%79.7%0.0%4.0%1.0%-34.1K1.8M-7.6K0.0014.82N/AN/A009591,090
2013-08-14$33.29$35.0029.1%6.4%22.5%80.4%25.8%4.5%0.0%-34.3K1.8M-7.6K3.0019.59N/AN/A269591,090
2013-08-15$32.75$35.0019.7%5.6%22.4%46.5%22.5%4.2%1.3%-33.0K2.0M-6.8K3.8021.64N/AN/A5199501,094
2013-08-16$31.55$35.0024.9%7.1%24.9%65.5%27.7%-2.2%1.0%-30.8K2.3M-5.2K0.0421.92N/AN/A25799451,086
2013-08-19$30.96$35.0026.4%7.6%24.7%71.0%23.0%6.7%-0.9%-31.3K2.5M-4.2K381.0097.17N/AN/A13818471,062
2013-08-20$31.33$35.0028.7%8.2%25.8%79.0%0.0%9.6%-2.0%-49.0K2.8M-5.8K0.0066.71N/AN/A808481,275
2013-08-21$31.18$35.0029.4%8.4%24.8%81.6%29.4%9.8%-1.5%-47.6K2.8M-5.8K0.6719.15N/AN/A15108561,275
2013-08-22$31.19$35.0026.9%7.7%24.5%72.7%0.0%11.3%-0.4%-45.0K2.9M-4.8K0.0098.42N/AN/A018681,239
2013-08-23$31.90$35.0026.2%7.5%24.8%70.0%17.2%8.9%0.1%-50.1K2.7M-5.8K0.1038.80N/AN/A1018681,240
2013-08-26$31.85$35.0016.9%4.8%24.0%36.6%17.4%0.9%7.0%-37.1K2.8M-4.7K0.7174.10N/AN/A758581,240
2013-08-27$31.75$35.0027.3%7.8%24.0%73.9%0.0%7.9%-0.6%-49.3K2.7M-5.6K1.0050.73N/AN/A338581,245
2013-08-28$31.26$35.0026.0%7.5%23.8%69.5%26.3%6.8%0.0%-46.1K2.8M-4.8K2.7536.15N/AN/A4118581,246
2013-08-29$31.11$35.0025.2%7.2%22.6%66.5%0.0%8.4%1.1%-45.8K2.9M-4.6K0.3051.01N/AN/A1038611,257
2013-08-30$30.63$35.0026.8%7.7%21.7%72.4%0.0%4.5%-0.9%-44.3K2.9M-4.6K0.0015.36N/AN/A0408661,260