NNN Options History — June 2014

In June 2014, NNN traded between $35.25 and $37.47. ATM implied volatility averaged 16.2%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.6% (HV 20d: 12.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 12.75.

Notable Days

  • 2014-06-26: Highest Volume — 1,110 contracts
  • 2014-06-25: Largest IV spike — 81.1% change
  • 2014-06-25: Highest IV Rank — 27.5%
  • 2014-06-25: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.50$35.25$37.47$35.25$37.19
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV16.2%12.3%25.4%17.6%13.9%
Expected Move4.7%3.5%7.3%5.1%4.0%
HV 20d12.7%11.2%14.0%11.2%12.4%
HV 60d13.8%11.9%15.5%15.5%11.9%
IV Rank7.4%0.0%27.5%9.6%3.3%
IV Percentile18.7%0.0%78.6%27.8%2.0%
Term Structure0.9%-17.3%7.9%-1.8%1.2%
VWIV16.8%11.6%22.0%18.2%13.0%
Skew 25d6.6%-5.0%29.8%29.8%0.0%
Skew 10d19.2%-1.1%57.4%53.0%-1.1%
Call IV 25d15.3%11.8%20.6%20.6%14.8%
Put IV 25d21.9%12.5%50.3%50.3%14.8%
Bid-Ask Spread %79.2833.27120.75109.17100.35
Gamma HHI0.740.570.890.810.75
Net GEX-47.4K-131.0K83.7K75.9K-101.5K
Net DEX-1.3M-2.2M-456.4K-830.1K-465.7K
Net VEX-6.7K-8.5K-5.6K-7.1K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.750.00110.000.361.00
Total Volume113.1901,11002
Total OI2,044.9051,3872,4921,7421,900

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$35.25$35.0017.6%5.1%11.2%9.6%0.0%29.8%-1.8%75.9K-830.1K-7.1K0.00109.17N/AN/A00949793
2014-06-03$35.50$35.0017.7%5.1%11.3%9.8%18.2%26.6%-1.7%83.7K-1.2M-6.6K0.0089.12N/AN/A0111949793
2014-06-04$35.61$35.0015.1%4.3%11.3%4.3%0.0%19.7%4.0%37.6K-1.1M-7.0K0.0090.52N/AN/A02949893
2014-06-05$36.41$35.0017.8%5.1%13.3%9.8%0.0%6.0%-2.1%39.4K-1.8M-6.5K0.36109.45N/AN/A114949891
2014-06-06$36.29$35.0013.1%4.9%13.4%0.0%17.3%3.8%1.5%40.4K-2.2M-5.6K67.6356.32N/AN/A8541960887
2014-06-09$35.92$35.0020.6%4.7%14.0%15.9%16.3%10.1%1.8%-84.9K-1.3M-8.2K5.5067.34N/AN/A12669681,425
2014-06-10$36.01$35.0016.1%4.9%13.6%6.4%17.0%10.6%1.4%-120.5K-1.1M-8.5K1.6798.92N/AN/A6109561,489
2014-06-11$36.08$35.0012.8%4.7%13.6%0.0%16.2%7.0%1.7%-107.1K-1.6M-7.6K0.0062.36N/AN/A909601,499
2014-06-12$36.37$35.0013.9%4.0%13.4%2.3%0.0%3.1%7.2%-131.0K-2.0M-6.6K0.0068.54N/AN/A209611,499
2014-06-13$36.36$35.0015.3%4.4%13.3%5.3%0.0%4.2%5.2%-105.9K-1.9M-6.8K0.0062.00N/AN/A009631,499
2014-06-16$36.07$35.0017.8%5.1%13.2%10.6%17.7%2.5%0.5%-92.6K-1.7M-7.0K2.3350.08N/AN/A12289631,499
2014-06-17$36.43$35.0015.8%4.5%12.4%6.4%18.5%4.6%6.3%-101.2K-2.0M-6.5K0.24108.60N/AN/A313759681,524
2014-06-18$36.71$35.0015.8%4.5%12.3%6.3%0.0%7.0%7.2%-82.2K-1.5M-7.0K0.0033.27N/AN/A008611,599
2014-06-19$37.24$35.0016.6%4.8%12.6%8.1%22.0%9.8%7.9%-41.4K-1.8M-6.3K0.5256.59N/AN/A27148611,599
2014-06-20$37.47$35.0012.3%3.5%11.8%0.0%11.6%1.9%6.4%-22.2K-2.0M-5.6K1.00106.06N/AN/A558761,607
2014-06-23$37.15$35.0016.0%4.6%12.6%7.7%0.0%-2.3%-5.6%-39.0K-833.1K-5.8K0.0082.49N/AN/A10554833
2014-06-24$37.10$35.0014.0%4.0%12.7%3.7%0.0%-0.1%2.2%-38.6K-721.5K-5.6K1.0058.77N/AN/A11555833
2014-06-25$37.10$35.0025.4%7.3%12.5%27.5%0.0%-5.0%-17.3%-37.8K-472.3K-6.7K0.00120.75N/AN/A10556833
2014-06-26$37.04$35.0019.7%5.7%12.6%15.6%13.0%-3.0%-10.8%-44.9K-583.3K-6.2K110.0097.25N/AN/A101,100557833
2014-06-27$37.22$35.0013.8%3.9%12.5%3.1%0.0%1.8%3.2%-121.9K-456.4K-7.3K0.0036.83N/AN/A005671,333
2014-06-30$37.19$35.0013.9%4.0%12.4%3.3%0.0%0.0%1.2%-101.5K-465.7K-7.1K1.00100.35N/AN/A115671,333