NNN Options History — December 2013

In December 2013, NNN traded between $30.09 and $31.69. ATM implied volatility averaged 21.0%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.0% (HV 20d: 19.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 5.04.

Notable Days

  • 2013-12-18: Highest Volume — 209 contracts
  • 2013-12-09: Largest IV spike — 48.0% change
  • 2013-12-11: Highest IV Rank — 44.4%
  • 2013-12-12: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.77$30.09$31.69$31.69$30.33
Max Pain$30.95$30.00$35.00$35.00$30.00
ATM IV21.0%15.7%30.5%16.1%17.3%
Expected Move5.6%4.5%6.6%4.6%5.0%
HV 20d19.0%16.2%22.5%22.5%18.7%
HV 60d24.2%22.8%25.3%24.4%22.8%
IV Rank26.7%16.8%44.4%17.5%19.8%
IV Percentile57.3%30.6%96.0%36.5%36.1%
Term Structure4.6%-5.2%10.9%4.5%8.2%
VWIV20.2%13.6%27.1%13.6%17.7%
Skew 25d4.5%-14.8%18.4%-14.8%3.9%
Skew 10d15.6%-7.6%34.2%-7.6%9.9%
Call IV 25d19.8%15.8%28.7%28.7%17.8%
Put IV 25d24.3%13.9%37.6%13.9%21.7%
Bid-Ask Spread %100.7259.54114.0886.8959.54
Gamma HHI0.630.490.870.490.64
Net GEX-31.6K-143.6K1.9K1.9K-19.2K
Net DEX752.1K352.4K1.1M869.5K409.1K
Net VEX-2.5K-3.3K-2.2K-3.3K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.040.0040.800.870.00
Total Volume31.810209282
Total OI1,369.2865511,8271,694595

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$31.69$35.0016.1%4.6%22.5%17.5%13.6%-14.8%4.5%1.9K869.5K-3.3K0.8786.89N/AN/A15131,044650
2013-12-03$31.45$35.0022.3%6.4%22.0%29.1%17.1%6.8%-4.9%-6.8K983.6K-2.8K0.0083.92N/AN/A801,059659
2013-12-04$31.14$35.0018.3%5.2%20.6%21.6%0.0%-8.5%-5.2%-21.6K1.1M-2.3K0.88103.52N/AN/A871,051659
2013-12-05$30.86$35.0021.2%6.1%20.5%26.9%27.1%-0.6%3.4%-25.5K1.1M-2.4K0.00100.76N/AN/A801,046666
2013-12-06$31.19$30.0018.6%5.5%21.2%22.2%0.0%8.2%8.0%-22.5K1.1M-2.3K0.00105.36N/AN/A001,042666
2013-12-09$31.42$30.0027.6%5.6%17.2%39.0%0.0%8.1%8.5%-14.7K1.1M-2.4K0.50103.40N/AN/A421,042666
2013-12-10$31.14$30.0029.4%5.4%16.2%42.4%19.9%4.1%7.4%-18.0K1.1M-2.4K0.00103.77N/AN/A0121,046668
2013-12-11$30.20$30.0030.5%5.8%18.9%44.4%0.0%1.8%3.8%-34.1K751.8K-2.2K0.00109.95N/AN/A0181,046530
2013-12-12$30.09$30.0022.9%6.6%18.7%30.2%22.9%2.9%2.4%-44.4K817.8K-2.3K0.00100.01N/AN/A0121,046547
2013-12-13$30.48$30.0022.5%6.5%17.2%29.5%0.0%18.4%3.2%-44.4K828.2K-2.3K2.00105.33N/AN/A121,046559
2013-12-16$30.58$30.0022.3%6.4%16.3%29.0%0.0%16.5%3.6%-45.0K790.9K-2.3K0.33105.81N/AN/A30101,046558
2013-12-17$30.87$30.0017.8%5.1%16.7%20.7%0.0%11.6%9.9%-34.6K715.4K-2.4K0.00102.38N/AN/A061,073558
2013-12-18$31.29$30.0019.9%5.7%17.8%24.7%0.0%2.3%7.6%-19.9K646.1K-2.4K40.80114.08N/AN/A52041,073563
2013-12-19$30.42$30.0022.1%6.3%19.8%28.6%0.0%4.1%4.0%-97.9K846.3K-2.5K0.00104.00N/AN/A0611,078749
2013-12-20$30.49$30.0020.0%5.7%19.6%24.7%0.0%14.8%4.9%-143.6K813.7K-2.4K0.00105.96N/AN/A01941,078747
2013-12-23$30.61$30.0018.5%5.3%19.6%22.0%0.0%3.0%6.2%-13.2K369.8K-2.5K0.0099.71N/AN/A270251300
2013-12-24$30.65$30.0022.6%6.5%19.5%29.6%23.1%3.1%2.0%-11.1K352.4K-2.7K0.0099.64N/AN/A010277300
2013-12-26$30.49$30.0018.2%5.2%19.3%21.4%17.7%1.8%5.2%-15.2K356.1K-2.6K0.00110.12N/AN/A06277310
2013-12-27$30.43$30.0015.7%4.5%19.1%16.8%0.0%5.1%10.9%-18.1K395.2K-2.6K0.00107.77N/AN/A00277315
2013-12-30$30.33$30.0017.6%5.0%18.7%20.3%0.0%2.1%3.1%-16.2K403.8K-2.6K0.00103.19N/AN/A03277315
2013-12-31$30.33$30.0017.3%5.0%18.7%19.8%0.0%3.9%8.2%-19.2K409.1K-2.5K0.0059.54N/AN/A02277318