NNN Options History — September 2013

In September 2013, NNN traded between $30.44 and $32.18. ATM implied volatility averaged 24.6%, placing in the 64.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.1% (HV 20d: 21.5%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.71.

Notable Days

  • 2013-09-12: Highest Volume — 43 contracts
  • 2013-09-26: Largest IV spike — 26.7% change
  • 2013-09-11: Highest IV Rank — 74.3%
  • 2013-09-05: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.14$30.44$32.18$30.44$31.82
Max Pain$30.75$30.00$35.00$35.00$30.00
ATM IV24.6%19.9%27.4%25.9%20.5%
Expected Move7.1%5.7%7.8%7.4%5.9%
HV 20d21.5%17.4%23.8%21.0%21.3%
HV 60d26.9%23.5%30.7%30.2%23.7%
IV Rank64.3%47.5%74.3%68.9%49.6%
IV Percentile80.8%63.1%94.8%88.9%64.3%
Term Structure2.6%-0.6%11.5%2.8%8.5%
VWIV24.4%18.6%26.4%25.9%22.6%
Skew 25d8.2%3.1%17.3%17.3%7.7%
Skew 10d15.8%3.7%44.1%33.9%10.7%
Call IV 25d19.2%15.3%25.8%24.8%16.1%
Put IV 25d27.4%22.2%42.1%42.1%23.8%
Bid-Ask Spread %64.9517.8097.5417.8023.85
Gamma HHI0.680.510.870.720.59
Net GEX-35.6K-55.2K-12.7K-47.2K-14.3K
Net DEX2.5M1.2M3.2M3.1M1.2M
Net VEX-3.9K-4.4K-3.0K-3.8K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.710.0012.000.5510.00
Total Volume18.050433111
Total OI1,967.451,3032,2852,1661,368

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$30.44$35.0025.9%7.4%21.0%68.9%25.9%17.3%2.8%-47.2K3.1M-3.8K0.5517.80N/AN/A20118661,300
2013-09-04$30.78$35.0025.8%7.4%21.8%68.6%0.0%15.4%1.7%-47.4K3.1M-3.7K0.3082.13N/AN/A1038861,307
2013-09-05$30.47$35.0027.3%7.8%21.9%73.9%0.0%4.5%0.2%-44.5K3.0M-4.2K0.0080.42N/AN/A608961,309
2013-09-06$31.17$30.0027.1%7.7%23.8%73.4%0.0%9.3%-0.0%-44.4K2.9M-4.4K12.0080.70N/AN/A1128961,309
2013-09-09$31.24$30.0024.3%7.7%22.9%63.1%0.0%9.3%-0.3%-44.3K2.9M-4.3K0.0020.77N/AN/A008971,320
2013-09-10$30.97$30.0024.2%7.5%22.8%62.8%26.3%3.1%-0.1%-45.5K3.0M-3.8K6.6797.54N/AN/A3208971,320
2013-09-11$30.76$30.0027.4%7.6%22.4%74.3%26.4%6.8%-0.6%-49.8K3.0M-4.0K1.0086.49N/AN/A119001,340
2013-09-12$30.60$30.0025.7%7.4%22.4%68.4%25.7%6.0%-0.1%-52.9K3.2M-3.0K0.2687.23N/AN/A3499011,340
2013-09-13$30.72$30.0026.6%7.6%22.1%71.4%0.0%7.0%-0.2%-51.7K3.0M-4.0K1.0088.14N/AN/A229121,347
2013-09-16$31.03$30.0025.9%7.4%18.5%69.0%26.0%7.4%0.4%-44.0K2.9M-3.9K0.6587.17N/AN/A26179141,347
2013-09-17$30.82$30.0024.8%7.1%17.4%65.2%0.0%6.9%1.3%-55.2K3.0M-3.8K0.0080.89N/AN/A1209281,357
2013-09-18$31.89$30.0021.6%6.2%20.9%53.6%18.6%10.4%9.1%-20.0K2.8M-4.1K0.1336.88N/AN/A3249251,357
2013-09-19$31.35$30.0026.5%7.6%21.8%71.1%26.3%9.0%0.6%-39.8K2.9M-4.2K0.2891.28N/AN/A1859071,350
2013-09-20$31.11$30.0023.8%6.8%22.0%61.6%0.0%9.9%1.8%-41.5K2.9M-3.6K0.0020.23N/AN/A009121,346
2013-09-23$30.80$30.0023.1%6.6%20.5%58.9%23.0%4.7%4.3%-12.7K1.3M-3.4K0.7676.81N/AN/A1713616687
2013-09-24$31.08$30.0023.3%6.7%20.9%59.7%23.4%4.6%3.2%-13.1K1.3M-3.5K4.2575.20N/AN/A417625700
2013-09-25$31.58$30.0019.9%5.7%21.7%47.5%24.1%9.0%11.5%-16.1K1.3M-3.7K8.0092.42N/AN/A216628717
2013-09-26$32.18$30.0025.3%7.2%21.9%66.7%0.0%11.8%4.3%-14.2K1.2M-3.9K0.2046.16N/AN/A255630722
2013-09-27$31.90$30.0022.8%6.5%22.1%57.9%22.6%4.5%3.2%-14.4K1.2M-4.1K0.0026.84N/AN/A02643727
2013-09-30$31.82$30.0020.5%5.9%21.3%49.6%0.0%7.7%8.5%-14.3K1.2M-3.8K10.0023.85N/AN/A110643725