NNN Options History — April 2014

In April 2014, NNN traded between $33.25 and $34.49. ATM implied volatility averaged 19.1%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.5% (HV 20d: 17.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.62.

Notable Days

  • 2014-04-04: Highest Volume — 452 contracts
  • 2014-04-02: Largest IV drop — 31.2% change
  • 2014-04-01: Highest IV Rank — 43.1%
  • 2014-04-01: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.09$33.25$34.49$33.68$34.13
Max Pain$33.10$30.00$35.00$35.00$35.00
ATM IV19.1%16.1%30.7%30.7%16.5%
Expected Move5.4%4.4%8.8%8.8%4.7%
HV 20d17.6%11.9%21.1%21.1%11.9%
HV 60d18.4%15.6%20.2%20.0%15.6%
IV Rank20.5%14.7%43.1%43.1%15.6%
IV Percentile36.3%14.3%94.0%94.0%15.9%
Term Structure0.5%-2.6%8.9%-0.4%-0.9%
VWIV19.1%17.5%21.5%18.3%21.5%
Skew 25d14.7%-2.8%48.2%43.6%2.1%
Skew 10d17.1%-4.1%57.8%57.5%-0.7%
Call IV 25d19.8%12.7%33.0%33.0%20.1%
Put IV 25d34.6%15.8%76.6%76.6%22.3%
Bid-Ask Spread %106.4889.20119.34117.96105.68
Gamma HHI0.840.730.950.740.86
Net GEX141.2K63.8K249.2K67.3K129.5K
Net DEX-1.0M-1.4M-626.2K-883.4K-760.1K
Net VEX-6.6K-7.5K-5.3K-6.6K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.0019.000.002.50
Total Volume43.3810452128
Total OI1,523.811,2391,7971,2391,356

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$33.68$35.0030.7%8.8%21.1%43.1%0.0%43.6%-0.4%67.3K-883.4K-6.6K0.00117.96N/AN/A10880359
2014-04-02$33.70$35.0021.1%6.1%20.6%24.6%0.0%2.7%-1.9%69.3K-801.9K-6.7K0.00108.10N/AN/A10881359
2014-04-03$33.25$35.0016.3%4.7%20.9%15.2%0.0%11.1%8.9%63.8K-626.2K-6.3K19.0089.20N/AN/A238881359
2014-04-04$33.57$30.0019.7%4.4%19.5%21.7%18.3%-1.6%-0.1%70.4K-764.7K-6.6K0.01107.93N/AN/A4475881387
2014-04-07$33.95$30.0020.1%5.4%19.9%22.5%19.3%5.0%-0.0%189.7K-1.1M-7.5K1.8294.58N/AN/A11201,328388
2014-04-08$34.33$30.0022.7%4.9%19.6%27.6%17.5%29.8%2.2%216.5K-1.4M-7.3K2.5598.61N/AN/A22561,339408
2014-04-09$34.00$30.0017.0%6.2%19.8%16.5%0.0%-0.6%-2.6%196.5K-1.1M-7.4K0.33102.51N/AN/A311,343454
2014-04-10$34.00$30.0016.2%4.6%19.6%15.0%0.0%-2.3%-0.1%194.7K-1.1M-7.4K0.33101.31N/AN/A311,343453
2014-04-11$33.98$30.0016.1%4.6%19.6%14.7%0.0%-2.8%1.1%193.1K-1.1M-7.3K0.00100.87N/AN/A001,343453
2014-04-14$33.90$30.0021.0%6.0%19.6%24.4%0.0%0.5%-2.1%185.1K-935.7K-7.2K0.00111.17N/AN/A001,343453
2014-04-15$34.39$30.0019.2%5.5%20.3%20.9%19.4%38.1%0.5%249.2K-1.4M-6.7K0.00109.66N/AN/A021,343453
2014-04-16$34.30$35.0019.3%5.5%17.2%21.0%0.0%34.1%0.5%238.0K-1.3M-6.8K0.00106.91N/AN/A101,333451
2014-04-17$34.15$35.0020.0%5.7%17.1%22.4%19.9%0.8%-1.2%209.2K-1.2M-6.5K0.00105.37N/AN/A301,333451
2014-04-21$34.23$35.0017.1%4.9%15.1%16.6%0.0%7.4%2.3%88.5K-893.9K-5.7K1.67112.11N/AN/A610910450
2014-04-22$34.49$35.0017.0%4.9%15.2%16.6%17.5%42.8%0.6%101.7K-1.0M-5.3K0.04106.74N/AN/A542907460
2014-04-23$34.23$35.0018.2%5.2%15.4%18.8%0.0%5.1%2.5%92.4K-1.0M-6.3K0.00116.58N/AN/A60955462
2014-04-24$34.49$35.0017.9%5.1%14.8%18.3%0.0%48.2%1.7%96.1K-1.1M-6.2K0.00119.34N/AN/A580961462
2014-04-25$34.42$35.0018.0%5.2%14.8%18.5%0.0%2.4%1.1%94.5K-1.1M-6.2K0.04109.48N/AN/A552947462
2014-04-28$34.46$35.0019.7%5.6%14.3%21.7%21.5%40.6%-2.0%107.4K-888.3K-6.3K0.83102.06N/AN/A3630857462
2014-04-29$34.27$35.0016.6%4.8%13.7%15.8%0.0%2.3%1.1%111.9K-802.6K-6.2K0.00109.96N/AN/A70883467
2014-04-30$34.13$35.0016.5%4.7%11.9%15.6%0.0%2.1%-0.9%129.5K-760.1K-6.1K2.50105.68N/AN/A820889467