NNN Options History — May 2014

In May 2014, NNN traded between $34.04 and $35.48. ATM implied volatility averaged 16.5%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.8% (HV 20d: 11.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.32.

Notable Days

  • 2014-05-19: Highest Volume — 273 contracts
  • 2014-05-14: Largest IV drop — 25.1% change
  • 2014-05-01: Highest IV Rank — 23.7%
  • 2014-05-01: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.91$34.04$35.48$34.04$34.98
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV16.5%14.4%20.7%20.7%15.7%
Expected Move4.6%4.0%5.9%5.9%4.5%
HV 20d11.7%10.6%12.7%12.0%12.5%
HV 60d15.8%15.5%16.0%15.6%15.5%
IV Rank9.3%2.8%23.7%23.7%5.4%
IV Percentile15.6%1.2%50.8%50.8%8.7%
Term Structure0.5%-6.1%5.7%-6.1%-0.5%
VWIV16.0%14.5%18.1%18.1%15.7%
Skew 25d20.2%0.4%50.6%2.4%31.4%
Skew 10d30.3%-4.1%63.0%-4.1%50.3%
Call IV 25d17.0%14.1%22.5%22.5%18.7%
Put IV 25d37.1%16.6%69.5%24.9%50.1%
Bid-Ask Spread %91.3134.37108.68108.6891.50
Gamma HHI0.880.780.930.920.84
Net GEX136.1K60.1K212.2K132.1K90.5K
Net DEX-919.0K-1.7M-67.5K-552.6K-697.2K
Net VEX-7.0K-8.1K-5.9K-5.9K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.320.0010.002.5010.00
Total Volume52.4291273755
Total OI1,552.7621,3801,7341,3811,688

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$34.04$35.0020.7%5.9%12.0%23.7%0.0%2.4%-6.1%132.1K-552.6K-5.9K2.50108.68N/AN/A25897484
2014-05-02$34.66$35.0015.8%4.5%12.4%14.2%0.0%50.6%1.4%143.0K-901.5K-6.3K0.00107.15N/AN/A140897483
2014-05-05$34.83$35.0017.5%5.2%12.1%17.6%18.1%22.2%0.2%150.7K-1.1M-6.5K1.3190.49N/AN/A5471911483
2014-05-06$34.85$35.0016.7%4.9%11.6%13.6%17.1%22.3%1.0%157.3K-1.1M-6.8K0.0095.86N/AN/A056924522
2014-05-07$35.18$35.0017.6%5.0%11.4%15.4%17.4%21.3%0.5%170.0K-1.3M-6.7K0.0789.11N/AN/A272924515
2014-05-08$35.19$35.0019.5%5.1%10.6%17.4%17.7%0.5%-0.3%161.1K-1.4M-6.8K0.13103.15N/AN/A81938515
2014-05-09$35.13$35.0017.4%4.7%10.7%12.8%16.2%1.1%1.5%173.7K-1.5M-6.8K0.0994.28N/AN/A353946514
2014-05-12$35.48$35.0018.8%4.0%11.1%12.0%0.0%21.6%5.7%212.2K-1.6M-6.4K0.0094.90N/AN/A80970517
2014-05-13$35.45$35.0019.4%4.8%11.0%13.3%16.7%18.3%0.4%182.9K-1.7M-6.8K8.5886.16N/AN/A12103978517
2014-05-14$35.17$35.0014.5%4.3%10.6%2.9%14.9%21.8%2.0%198.6K-1.3M-7.4K4.7398.56N/AN/A1571990617
2014-05-15$35.03$35.0015.4%4.4%10.6%4.9%15.5%23.2%2.2%166.8K-1.1M-6.9K0.2579.86N/AN/A123997560
2014-05-16$35.44$35.0016.5%4.7%11.1%7.1%0.0%20.7%0.9%186.2K-1.5M-7.3K4.0092.90N/AN/A141,004563
2014-05-19$34.97$35.0015.1%4.3%12.3%4.2%14.5%1.5%0.2%142.4K-1.1M-7.1K0.0034.37N/AN/A0273942540
2014-05-20$34.79$35.0015.3%4.4%12.2%4.7%15.3%0.4%0.1%70.8K-531.1K-8.1K0.6097.54N/AN/A106942789
2014-05-21$34.60$35.0016.2%4.6%12.1%6.5%16.2%30.4%-0.8%66.8K-184.6K-7.9K1.7394.24N/AN/A59102942792
2014-05-22$34.32$35.0014.4%4.1%12.2%2.8%0.0%0.5%0.9%60.1K-67.5K-7.7K0.0091.56N/AN/A10926795
2014-05-23$34.39$35.0014.6%4.2%12.2%3.2%0.0%34.7%0.2%88.7K-107.2K-7.1K0.0088.86N/AN/A120927696
2014-05-27$34.57$35.0015.2%4.4%12.3%4.5%15.2%35.6%-0.1%98.2K-303.6K-7.0K0.2588.14N/AN/A41939696
2014-05-28$34.95$35.0015.2%4.3%12.7%4.3%15.2%31.8%0.0%109.5K-660.1K-7.2K7.8691.80N/AN/A755943697
2014-05-29$35.05$35.0015.3%4.4%12.5%4.5%15.2%31.6%0.0%95.6K-612.2K-7.3K2.0098.40N/AN/A36944744
2014-05-30$34.98$35.0015.7%4.5%12.5%5.4%15.7%31.4%-0.5%90.5K-697.2K-7.3K10.0091.50N/AN/A550944744