NNN Options History — July 2014

In July 2014, NNN traded between $35.57 and $37.81. ATM implied volatility averaged 22.4%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 11.3% (HV 20d: 11.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 22.12.

Notable Days

  • 2014-07-30: Highest Volume — 704 contracts
  • 2014-07-07: Largest IV spike — 80.2% change
  • 2014-07-28: Highest IV Rank — 50.5%
  • 2014-07-17: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.20$35.57$37.81$37.35$35.57
Max Pain$35.28$35.00$40.00$35.00$35.00
ATM IV22.4%12.6%36.4%14.7%13.4%
Expected Move5.3%3.6%7.2%4.2%5.6%
HV 20d11.1%9.1%14.0%12.3%14.0%
HV 60d11.8%11.5%12.8%11.8%12.8%
IV Rank21.2%0.7%50.5%5.1%2.5%
IV Percentile52.8%0.4%96.8%5.6%2.0%
Term Structure-8.4%-38.6%5.8%0.0%5.8%
VWIV17.4%15.9%18.8%15.9%18.8%
Skew 25d-0.9%-13.0%10.0%7.3%-13.0%
Skew 10d10.3%-1.5%44.9%1.9%32.0%
Call IV 25d20.5%12.4%41.3%14.5%41.3%
Put IV 25d19.6%12.8%32.5%21.9%28.4%
Bid-Ask Spread %87.6944.38126.5951.18103.85
Gamma HHI0.640.470.860.730.86
Net GEX-67.2K-219.6K16.8K-104.4K-219.6K
Net DEX-459.8K-824.4K293.8K-403.8K293.8K
Net VEX-6.0K-7.6K-4.9K-7.6K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio22.120.00233.670.00233.67
Total Volume39.1360704031
Total OI1,637.2731,1501,9231,9001,252

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$37.35$35.0014.7%4.2%12.3%5.1%0.0%7.3%0.0%-104.4K-403.8K-7.6K0.0051.18N/AN/A005681,332
2014-07-02$37.21$35.0015.6%4.5%12.5%6.9%0.0%-1.1%1.3%-133.5K-482.7K-7.3K0.0044.38N/AN/A005681,332
2014-07-03$36.74$35.0018.9%5.4%11.2%13.9%0.0%-3.9%-5.8%-146.5K-292.2K-7.4K0.00106.85N/AN/A005681,332
2014-07-07$36.90$35.0034.1%6.4%11.2%45.5%0.0%1.3%-4.8%-169.7K20.9K-7.3K0.00126.59N/AN/A105681,332
2014-07-08$37.42$35.0019.7%5.2%11.3%15.4%0.0%10.0%3.7%-96.2K-506.0K-6.9K0.00113.95N/AN/A2005691,332
2014-07-09$37.49$35.0016.5%6.2%11.3%8.9%0.0%7.5%-3.8%-74.4K-634.9K-6.3K0.0071.82N/AN/A015891,332
2014-07-10$37.45$35.0019.4%5.6%11.4%14.8%0.0%6.5%-1.7%-76.5K-728.1K-6.5K0.0083.36N/AN/A005891,332
2014-07-11$37.56$35.0015.1%4.3%11.1%5.9%0.0%5.6%-3.3%-62.5K-735.4K-6.1K0.0073.27N/AN/A005891,332
2014-07-14$37.60$35.0023.5%6.7%11.1%23.5%0.0%0.1%1.1%-84.3K-408.8K-6.6K0.00121.67N/AN/A205891,332
2014-07-15$37.64$35.0012.6%3.6%10.5%0.7%0.0%-1.4%-2.7%-30.9K-824.4K-5.9K0.0083.32N/AN/A605911,332
2014-07-16$37.39$35.0018.1%5.2%10.5%12.1%0.0%8.8%3.8%-29.6K-809.0K-5.5K0.0044.72N/AN/A105911,332
2014-07-17$37.39$35.0025.2%7.2%10.3%27.1%0.0%-1.4%-12.2%-32.3K-663.7K-5.9K0.0074.20N/AN/A005901,332
2014-07-18$37.81$35.0014.4%4.1%9.8%4.6%0.0%6.2%-1.2%16.8K-593.6K-6.0K0.0071.80N/AN/A005901,332
2014-07-21$37.76$0.0018.0%4.8%9.6%12.0%0.0%-6.9%-6.1%-10.4K-708.8K-5.1K0.0098.69N/AN/A00558693
2014-07-22$37.65$0.0023.8%4.6%9.1%24.2%0.0%-1.9%-0.6%-4.8K-687.7K-5.3K0.0084.92N/AN/A10558693
2014-07-23$37.70$0.0031.3%4.6%9.1%39.7%0.0%-5.7%-6.7%-6.0K-588.3K-5.5K0.1397.98N/AN/A152558693
2014-07-24$37.24$0.0031.2%5.6%10.2%39.6%15.9%-12.4%-38.6%-14.4K-596.1K-5.5K0.0093.67N/AN/A60573693
2014-07-25$37.00$40.0033.3%5.4%10.4%43.9%18.8%-7.9%-32.3%-18.3K-442.7K-5.6K16.6792.94N/AN/A350574693
2014-07-28$37.22$35.0036.4%5.5%10.5%50.5%0.0%-8.3%-35.4%-14.8K-439.9K-5.4K0.0096.45N/AN/A20577721
2014-07-29$36.47$35.0035.1%5.8%12.8%47.6%0.0%-12.4%-36.2%-44.4K-17.8K-4.9K15.0098.77N/AN/A115438721
2014-07-30$35.84$35.0022.8%5.5%13.9%22.0%0.0%4.1%-7.9%-122.2K133.2K-4.9K233.6794.76N/AN/A3701439711
2014-07-31$35.57$35.0013.4%5.6%14.0%2.5%0.0%-13.0%5.8%-219.6K293.8K-5.0K0.00103.85N/AN/A031440812