NNN Options History — March 2014

In March 2014, NNN traded between $33.13 and $36.08. ATM implied volatility averaged 18.6%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.1% (HV 20d: 16.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 5.53.

Notable Days

  • 2014-03-05: Highest Volume — 260 contracts
  • 2014-03-27: Largest IV spike — 83.7% change
  • 2014-03-27: Highest IV Rank — 43.1%
  • 2014-03-27: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.29$33.13$36.08$36.08$34.32
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV18.6%15.0%30.7%16.1%18.7%
Expected Move5.3%4.3%8.8%4.6%5.4%
HV 20d16.6%8.3%20.3%15.4%20.3%
HV 60d19.1%18.6%19.9%19.0%19.7%
IV Rank20.0%12.7%43.1%16.3%19.8%
IV Percentile36.8%15.1%94.0%23.0%38.1%
Term Structure1.4%-6.2%8.3%6.2%1.9%
VWIV17.3%13.7%20.3%13.7%15.9%
Skew 25d12.6%-15.1%62.2%-7.4%53.8%
Skew 10d18.9%-7.9%96.9%21.5%62.3%
Call IV 25d21.2%12.6%37.1%27.2%17.3%
Put IV 25d33.8%16.1%99.3%19.8%71.1%
Bid-Ask Spread %106.0493.48120.30114.64109.91
Gamma HHI0.630.450.790.780.76
Net GEX20.8K-32.9K78.3K71.4K78.3K
Net DEX-512.9K-1.6M485.7K-1.6M-1.1M
Net VEX-6.1K-6.9K-5.2K-5.2K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.530.0042.330.000.00
Total Volume57.71412602311
Total OI1,419.4761,1291,6101,2301,234

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$36.08$35.0016.1%4.6%15.4%16.3%13.7%-7.4%6.2%71.4K-1.6M-5.2K0.00114.64N/AN/A230750480
2014-03-04$35.87$35.0017.8%5.1%8.3%19.4%0.0%-15.1%-1.6%68.5K-1.6M-5.2K0.86120.30N/AN/A1412762480
2014-03-05$35.33$35.0019.7%5.7%10.9%23.2%19.7%20.8%-0.8%70.5K-1.4M-5.8K42.33102.13N/AN/A6254776490
2014-03-06$35.01$35.0020.3%5.8%11.8%24.3%20.3%62.2%-0.5%16.0K-878.8K-6.3K0.56112.42N/AN/A3620781649
2014-03-07$34.14$35.0023.2%5.9%15.4%29.6%0.0%-2.7%-0.3%-9.7K-171.7K-6.9K8.0093.48N/AN/A216796762
2014-03-10$34.05$35.0020.2%5.3%15.5%22.7%0.0%31.3%1.9%-7.8K60.4K-6.6K2.0094.95N/AN/A612796773
2014-03-11$34.57$35.0016.7%5.4%15.7%16.0%19.0%31.3%1.1%-32.2K-204.9K-6.3K1.0094.88N/AN/A33797780
2014-03-12$34.59$35.0016.4%5.5%15.3%15.5%0.0%2.0%1.0%-32.9K-306.5K-6.3K0.00108.35N/AN/A170800779
2014-03-13$34.27$35.0018.2%5.2%15.7%18.8%0.0%-2.6%2.5%-22.5K-226.8K-6.5K0.0093.70N/AN/A010812779
2014-03-14$34.27$35.0019.5%5.6%15.7%21.3%0.0%-2.6%1.2%-23.8K-283.4K-6.6K0.0095.12N/AN/A40812789
2014-03-17$34.25$35.0019.6%5.6%15.5%21.6%0.0%-0.3%1.0%-28.4K85.0K-5.7K0.00118.05N/AN/A10812789
2014-03-18$34.31$35.0018.7%5.4%15.4%19.8%0.0%0.9%1.7%-30.1K-36.4K-5.8K10.00101.85N/AN/A10100811789
2014-03-19$33.33$35.0018.1%5.2%18.5%18.8%14.9%-4.1%-1.7%5.6K378.1K-5.7K4.52106.58N/AN/A23104821789
2014-03-20$33.13$35.0015.0%4.3%18.4%12.7%15.9%0.4%3.8%212485.7K-5.5K38.50107.37N/AN/A4154804797
2014-03-21$33.91$35.0015.6%4.5%20.2%13.9%0.0%7.8%8.3%-10.6K256.1K-5.6K0.04106.50N/AN/A22210808799
2014-03-24$33.80$35.0017.1%4.9%20.1%16.8%0.0%2.1%2.3%59.8K-798.4K-6.5K0.30108.41N/AN/A3310801328
2014-03-25$33.96$35.0017.2%4.9%20.0%17.0%0.0%40.2%0.8%64.7K-933.5K-6.4K0.03105.50N/AN/A331834338
2014-03-26$33.54$35.0016.7%4.8%20.3%16.0%0.0%4.5%4.5%62.6K-801.8K-6.6K0.00114.75N/AN/A40866337
2014-03-27$33.48$35.0030.7%8.8%20.2%43.1%0.0%-0.9%-6.2%66.6K-767.0K-6.6K0.25114.08N/AN/A82870337
2014-03-28$33.87$35.0015.8%4.5%19.6%14.3%0.0%42.5%2.4%70.7K-963.8K-6.4K2.14103.92N/AN/A1430863339
2014-03-31$34.32$35.0018.7%5.4%20.3%19.8%0.0%53.8%1.9%78.3K-1.1M-6.2K0.00109.91N/AN/A110875359