NNN Options History — October 2013

In October 2013, NNN traded between $31.24 and $35.20. ATM implied volatility averaged 18.8%, placing in the 43.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 7.7% (HV 20d: 26.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.80.

Notable Days

  • 2013-10-01: Highest Volume — 249 contracts
  • 2013-10-10: Largest IV spike — 39.9% change
  • 2013-10-10: Highest IV Rank — 70.4%
  • 2013-10-07: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.18$31.24$35.20$33.03$34.40
Max Pain$31.52$30.00$35.00$30.00$35.00
ATM IV18.8%13.1%26.3%20.9%20.1%
Expected Move5.7%3.8%7.7%6.0%5.8%
HV 20d26.4%24.1%28.7%24.4%26.3%
HV 60d24.6%23.5%25.1%25.0%24.8%
IV Rank43.3%22.9%70.4%51.1%48.2%
IV Percentile53.4%27.4%88.5%65.1%62.7%
Term Structure2.6%-8.8%9.0%0.3%-8.8%
VWIV23.2%13.9%40.4%14.1%40.4%
Skew 25d5.2%-10.9%34.1%8.6%-10.9%
Skew 10d6.0%-9.5%49.9%8.4%-9.5%
Call IV 25d17.2%12.4%31.6%13.0%31.6%
Put IV 25d22.5%14.9%54.6%21.6%20.6%
Bid-Ask Spread %47.3314.09122.3720.10122.37
Gamma HHI0.550.450.720.580.72
Net GEX13.5K-13.4K40.1K-13.4K39.7K
Net DEX835.5K60.6K1.3M1.1M275.4K
Net VEX-5.2K-6.7K-3.8K-4.1K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.0017.000.073.00
Total Volume34.652124924940
Total OI1,655.1741,3791,7601,3791,736

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$33.03$30.0020.9%6.0%24.4%51.1%14.1%8.6%0.3%-13.4K1.1M-4.1K0.0720.10N/AN/A23316644735
2013-10-02$32.54$30.0015.9%4.5%25.2%32.8%0.0%-1.7%-4.0%2.6K965.3K-5.0K0.0014.14N/AN/A650810726
2013-10-03$32.34$30.0019.0%5.4%25.0%44.1%0.0%2.7%6.2%7.6K982.0K-4.9K0.0033.09N/AN/A020875726
2013-10-04$32.12$30.0018.0%6.9%24.1%40.7%0.0%2.7%1.0%4.0K1.1M-4.6K0.0087.52N/AN/A140875736
2013-10-07$31.97$30.0022.8%7.7%24.1%57.8%0.0%11.7%-1.3%3.8K1.1M-4.6K3.0032.24N/AN/A13870736
2013-10-08$31.24$30.0019.2%7.3%25.4%45.0%25.2%8.1%1.0%-1.1K1.2M-4.1K0.0019.59N/AN/A01870738
2013-10-09$31.24$30.0018.8%7.3%25.3%43.4%0.0%8.5%0.0%-1.8K1.2M-3.8K0.0014.94N/AN/A021870738
2013-10-10$32.12$30.0026.3%7.5%26.9%70.4%0.0%11.2%0.0%2.1K1.1M-4.5K17.0014.09N/AN/A351870756
2013-10-11$32.93$30.0022.2%6.4%28.1%55.7%0.0%14.4%8.4%4.5K1.0M-4.7K0.4446.23N/AN/A94867779
2013-10-14$32.90$30.0016.2%4.7%28.0%34.1%26.0%11.8%9.0%5.3K1.0M-4.7K1.3397.18N/AN/A34871781
2013-10-15$32.45$30.0022.5%6.5%28.4%56.9%25.3%11.2%6.0%2.2K1.0M-5.1K0.2233.40N/AN/A92871785
2013-10-16$32.99$30.0014.8%4.2%26.5%28.8%0.0%2.5%8.9%8.7K1.1M-4.2K0.0047.28N/AN/A170880785
2013-10-17$33.74$30.0017.7%5.1%26.5%39.3%0.0%5.9%8.1%15.3K824.9K-5.1K0.1250.14N/AN/A425884784
2013-10-18$33.53$30.0016.8%4.8%26.4%36.3%0.0%-4.4%1.5%17.8K761.3K-5.4K0.0043.25N/AN/A90923779
2013-10-21$32.94$30.0014.9%4.3%27.1%29.5%0.0%-0.4%5.3%12.3K887.9K-5.6K3.5352.47N/AN/A1760891730
2013-10-22$32.98$30.0014.5%4.1%27.0%27.8%17.4%2.5%5.4%10.7K1.3M-4.5K0.8660.45N/AN/A1412908789
2013-10-23$33.66$35.0013.1%3.8%27.3%22.9%0.0%3.4%8.5%17.1K955.9K-5.2K0.4678.20N/AN/A136922799
2013-10-24$34.00$35.0016.9%4.8%26.8%36.6%13.9%-5.5%-0.4%23.9K796.4K-5.6K0.17108.00N/AN/A356930794
2013-10-25$35.20$35.0019.9%5.7%28.7%47.4%40.4%1.0%0.6%35.3K153.0K-6.7K0.0822.45N/AN/A131958791
2013-10-28$35.20$35.0021.1%6.0%28.6%51.6%0.0%0.9%0.3%37.7K60.6K-6.7K0.4318.49N/AN/A73969791
2013-10-29$34.78$35.0020.1%5.7%26.5%47.9%0.0%34.1%0.6%37.2K201.9K-6.6K0.0017.58N/AN/A130952791
2013-10-30$34.91$35.0019.9%5.7%25.7%47.5%0.0%2.1%2.7%40.1K101.9K-6.6K5.2555.26N/AN/A421963791
2013-10-31$34.40$35.0020.1%5.8%26.3%48.2%0.0%-10.9%-8.8%39.7K275.4K-6.3K3.00122.37N/AN/A1030966770