NNN Options History — November 2013

In November 2013, NNN traded between $31.75 and $34.74. ATM implied volatility averaged 26.1%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.3% (HV 20d: 25.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.25.

Notable Days

  • 2013-11-04: Highest Volume — 161 contracts
  • 2013-11-07: Largest IV spike — 98.7% change
  • 2013-11-04: Highest IV Rank — 100.0%
  • 2013-11-01: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.12$31.75$34.74$34.43$31.75
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV26.1%14.0%60.2%33.6%18.6%
Expected Move5.4%4.0%9.6%9.6%5.3%
HV 20d25.7%22.6%28.0%26.1%22.6%
HV 60d24.9%24.6%26.0%24.8%24.8%
IV Rank43.1%13.6%100.0%96.6%22.1%
IV Percentile62.5%27.4%100.0%99.2%50.0%
Term Structure1.8%-6.0%8.8%2.4%-6.0%
VWIV20.6%14.5%29.1%20.2%29.1%
Skew 25d-3.2%-14.8%13.7%13.7%-14.8%
Skew 10d-3.2%-7.6%10.3%4.5%-7.0%
Call IV 25d20.8%17.5%28.0%23.6%28.0%
Put IV 25d17.6%13.2%37.3%37.3%13.2%
Bid-Ask Spread %89.7972.41128.80128.8095.25
Gamma HHI0.630.490.790.650.49
Net GEX36.8K3.7K73.6K36.5K3.7K
Net DEX568.2K15.3K1.2M423.7K851.0K
Net VEX-4.8K-6.4K-3.4K-6.3K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.009.501.002.00
Total Volume32.10161149
Total OI1,769.251,6501,9531,7741,691

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$34.43$35.0033.6%9.6%26.1%96.6%0.0%13.7%2.4%36.5K423.7K-6.3K1.00128.80N/AN/A77974800
2013-11-04$34.74$35.0040.2%5.9%26.0%100.0%20.2%-2.1%1.7%43.6K209.4K-6.4K0.0185.36N/AN/A1592974800
2013-11-05$33.83$35.0019.5%6.2%26.5%38.1%21.7%-5.3%1.0%69.3K483.4K-6.3K0.0089.14N/AN/A0791,118798
2013-11-06$33.90$35.0016.8%5.7%26.4%30.1%19.8%-4.0%2.9%69.1K660.0K-6.1K8.2584.56N/AN/A12991,118825
2013-11-07$33.71$35.0033.4%5.4%25.1%79.7%0.0%-4.5%2.8%61.6K738.3K-5.9K1.0085.61N/AN/A551,127816
2013-11-08$32.44$35.0060.2%6.8%27.5%100.0%23.3%2.0%3.0%25.8K1.2M-4.9K2.5072.41N/AN/A28701,132821
2013-11-11$32.91$35.0040.3%4.7%28.0%62.7%0.0%1.6%2.9%35.2K564.0K-4.7K0.0089.77N/AN/A001,147650
2013-11-12$32.61$35.0042.2%5.8%27.8%66.3%24.6%2.9%2.1%30.7K594.7K-4.7K5.4089.14N/AN/A5271,147650
2013-11-13$32.77$35.0050.5%5.6%27.2%81.9%19.9%2.0%1.6%32.4K602.5K-4.6K0.4094.01N/AN/A521,152674
2013-11-14$33.49$35.0017.6%5.1%27.1%20.4%17.5%-2.0%3.4%57.4K315.4K-5.0K9.5090.45N/AN/A2191,152676
2013-11-15$33.92$35.0018.0%5.2%27.4%21.1%18.1%-4.5%4.1%73.6K15.3K-5.3K1.0080.95N/AN/A551,154659
2013-11-18$33.44$35.0018.7%5.4%27.1%22.4%0.0%-3.7%-0.2%37.9K352.8K-4.5K0.0091.29N/AN/A001,025625
2013-11-19$33.27$35.0015.4%4.4%27.2%16.2%14.5%-4.7%0.4%36.8K431.5K-4.4K0.5089.65N/AN/A631,025625
2013-11-20$32.92$35.0016.5%4.7%26.4%18.2%18.9%-6.4%-1.9%30.0K552.1K-4.1K0.0089.45N/AN/A1001,031625
2013-11-21$33.08$35.0019.3%5.5%26.1%23.5%0.0%-0.4%0.5%33.4K506.3K-4.2K0.0095.64N/AN/A401,041625
2013-11-22$32.70$35.0016.9%4.8%22.6%18.9%0.0%-6.2%-1.2%24.9K620.6K-4.0K2.0093.27N/AN/A121,045625
2013-11-25$32.36$35.0014.7%4.2%22.7%14.9%0.0%-8.1%0.8%16.8K685.8K-3.7K0.0094.41N/AN/A0241,046623
2013-11-26$32.00$35.0014.8%4.2%22.6%15.0%19.2%-10.2%6.9%6.9K791.3K-3.6K1.4077.67N/AN/A10141,046644
2013-11-27$32.15$35.0014.0%4.0%22.7%13.6%21.2%-9.7%8.8%9.6K749.4K-3.6K1.0079.06N/AN/A881,039640
2013-11-29$31.75$35.0018.6%5.3%22.6%22.1%29.1%-14.8%-6.0%3.7K851.0K-3.4K2.0095.25N/AN/A361,047644