NNN Options History — January 2014

In January 2014, NNN traded between $30.40 and $33.20. ATM implied volatility averaged 24.9%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 5.2% (HV 20d: 19.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.93.

Notable Days

  • 2014-01-06: Highest Volume — 181 contracts
  • 2014-01-10: Largest IV spike — 95.8% change
  • 2014-01-10: Highest IV Rank — 67.9%
  • 2014-01-22: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.01$30.40$33.20$30.40$33.20
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV24.9%16.2%43.0%18.6%16.6%
Expected Move6.6%4.6%10.3%5.3%4.8%
HV 20d19.7%18.5%21.7%18.7%21.7%
HV 60d21.8%21.0%22.8%22.8%21.4%
IV Rank34.0%17.6%67.9%22.1%18.4%
IV Percentile63.6%29.8%99.2%44.8%31.3%
Term Structure0.9%-9.8%10.2%10.2%4.8%
VWIV23.3%22.4%24.0%22.4%23.8%
Skew 25d3.8%-9.7%25.9%25.9%6.6%
Skew 10d9.1%1.7%49.5%49.5%9.5%
Call IV 25d19.2%14.9%27.4%19.7%14.9%
Put IV 25d23.0%14.2%45.6%45.6%21.5%
Bid-Ask Spread %107.4394.80131.6299.06109.85
Gamma HHI0.550.490.660.660.59
Net GEX-1.6K-21.5K21.3K-19.3K21.3K
Net DEX129.6K-297.2K485.0K485.0K-297.2K
Net VEX-4.5K-5.8K-2.1K-2.1K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.0010.003.000.00
Total Volume31.42901814132
Total OI898.5715971,0615971,061

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$30.40$30.0018.6%5.3%18.7%22.1%22.4%25.9%10.2%-19.3K485.0K-2.1K0.0099.06N/AN/A041277320
2014-01-03$30.81$30.0019.7%5.7%19.2%24.3%0.0%-7.3%2.9%-20.9K464.1K-2.4K3.00116.81N/AN/A721277359
2014-01-06$30.95$30.0019.0%7.6%19.0%23.0%0.0%4.4%-0.5%-20.9K459.1K-2.6K0.8197.58N/AN/A10081284380
2014-01-07$31.15$30.0019.4%6.7%18.7%23.6%23.1%5.2%0.7%-15.8K341.7K-4.0K0.0596.61N/AN/A191384453
2014-01-08$30.95$30.0022.7%6.9%18.6%29.8%24.0%4.8%-0.6%-18.1K373.5K-4.0K2.0097.79N/AN/A48395454
2014-01-09$30.79$30.0022.0%6.8%18.5%28.5%0.0%4.0%-0.3%-21.5K410.7K-3.9K0.0094.80N/AN/A08395462
2014-01-10$31.84$30.0043.0%7.2%18.6%67.9%0.0%8.0%-0.4%-11.3K284.2K-4.2K0.00101.83N/AN/A02395470
2014-01-13$31.31$30.0032.3%7.4%19.8%47.8%0.0%6.4%-1.9%-14.1K301.9K-4.1K2.40100.63N/AN/A512395468
2014-01-14$31.69$30.0037.7%7.6%19.7%57.9%0.0%7.0%-2.0%-9.7K276.3K-4.1K0.19113.75N/AN/A326393478
2014-01-15$32.09$30.0042.6%6.9%20.1%67.2%0.0%7.1%-2.0%-2.2K129.7K-4.6K0.00101.18N/AN/A010423479
2014-01-16$32.40$30.0016.2%4.6%20.1%17.6%0.0%-1.2%2.5%-758102.4K-4.5K0.00106.79N/AN/A750423479
2014-01-17$31.87$30.0022.4%6.4%20.7%29.3%23.8%7.7%-1.7%1.2K92.0K-4.9K0.00101.71N/AN/A02498479
2014-01-21$32.59$30.0021.6%6.2%19.0%27.8%0.0%-1.5%2.8%7.6K71.3K-4.7K8.50111.31N/AN/A217497427
2014-01-22$33.03$30.0036.0%10.3%19.3%54.8%0.0%2.1%-9.8%9.3K-77.2K-5.0K0.00121.08N/AN/A230498436
2014-01-23$33.09$30.0016.3%4.7%19.3%17.9%0.0%0.3%4.5%11.6K-121.7K-5.2K1.46107.80N/AN/A2435521436
2014-01-24$33.02$30.0029.5%8.4%19.4%42.5%0.0%0.7%3.3%13.3K-129.8K-5.3K0.00113.78N/AN/A390545447
2014-01-27$32.52$30.0031.5%9.0%20.3%46.4%0.0%-9.7%-0.4%13.6K-51.8K-5.5K10.00131.62N/AN/A220584447
2014-01-28$32.92$30.0017.2%4.9%20.5%19.5%0.0%-0.2%4.0%13.8K-57.2K-5.6K0.00107.66N/AN/A60584467
2014-01-29$32.51$30.0020.9%6.0%21.2%26.5%0.0%1.3%0.3%12.4K-75.4K-5.7K0.00114.75N/AN/A00583467
2014-01-30$33.11$30.0018.3%5.2%21.7%21.6%0.0%8.0%2.4%17.4K-260.1K-5.6K0.53109.57N/AN/A179583467
2014-01-31$33.20$30.0016.6%4.8%21.7%18.4%0.0%6.6%4.8%21.3K-297.2K-5.8K0.00109.85N/AN/A320594467