NNN Options History — August 2014

In August 2014, NNN traded between $35.58 and $37.84. ATM implied volatility averaged 24.3%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 11.7% (HV 20d: 12.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 126.24.

Notable Days

  • 2014-08-18: Highest Volume — 1,157 contracts
  • 2014-08-08: Largest IV spike — 151.6% change
  • 2014-08-13: Highest IV Rank — 100.0%
  • 2014-08-08: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.82$35.58$37.84$35.58$37.14
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV24.3%11.4%73.2%23.2%26.4%
Expected Move5.5%4.2%6.5%5.7%5.5%
HV 20d12.7%8.5%14.3%13.4%8.6%
HV 60d12.3%11.3%12.7%12.7%11.3%
IV Rank23.4%0.0%100.0%22.9%24.3%
IV Percentile47.0%0.0%100.0%75.4%84.5%
Term Structure-0.6%-13.7%4.9%-13.7%-3.8%
VWIV18.6%15.4%19.8%18.4%19.4%
Skew 25d2.6%-28.2%17.4%-8.6%-28.2%
Skew 10d14.1%-18.2%41.4%3.2%-18.2%
Call IV 25d17.3%11.9%42.9%32.0%42.9%
Put IV 25d19.9%12.7%33.4%23.4%14.7%
Bid-Ask Spread %99.7391.01116.47102.30116.47
Gamma HHI0.730.560.850.810.73
Net GEX-118.8K-190.8K-42.2K-144.8K-134.3K
Net DEX14.9K-473.0K456.1K456.1K285.4K
Net VEX-5.8K-7.6K-4.4K-5.1K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio126.240.00577.500.000.00
Total Volume94.71401,157105
Total OI1,671.0951,2621,9151,2621,915

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$35.58$35.0023.2%5.7%13.4%22.9%0.0%-8.6%-13.7%-144.8K456.1K-5.1K0.00102.30N/AN/A100440822
2014-08-04$35.76$35.0016.5%5.5%13.5%8.9%0.0%17.4%-0.9%-190.8K119.1K-4.7K0.0098.05N/AN/A00450822
2014-08-05$35.69$35.0037.2%5.5%12.2%52.1%0.0%2.1%0.9%-101.0K373.1K-5.1K0.0096.24N/AN/A00450822
2014-08-06$35.87$35.0039.7%5.5%12.4%57.2%0.0%15.3%0.2%-97.7K312.4K-4.9K0.00100.62N/AN/A00450822
2014-08-07$36.17$35.0019.0%5.4%12.9%14.2%0.0%10.1%-0.7%-123.2K-210.3K-4.4K27.2799.80N/AN/A11300450822
2014-08-08$36.31$35.0047.9%6.5%13.0%74.4%0.0%5.9%-1.2%-135.4K349.9K-5.8K0.00111.83N/AN/A004611,102
2014-08-11$36.37$35.0027.3%5.3%13.0%31.4%18.4%7.8%-0.1%-146.8K-28.4K-4.9K250.0093.13N/AN/A12504611,102
2014-08-12$36.45$35.0032.7%5.5%13.0%42.6%0.0%5.9%-0.3%-182.4K100.5K-6.1K0.0094.50N/AN/A0404621,352
2014-08-13$37.00$35.0073.2%5.5%14.1%100.0%19.0%6.9%4.9%-160.1K-38.7K-5.5K26.0099.02N/AN/A1264621,377
2014-08-14$37.13$35.0017.4%5.8%14.2%8.4%0.0%8.8%4.9%-107.3K-181.1K-5.1K0.00100.13N/AN/A0354621,397
2014-08-15$37.09$35.0018.0%5.7%13.5%9.5%0.0%5.5%4.2%-52.4K-255.7K-5.1K0.00100.07N/AN/A0304621,414
2014-08-18$37.44$35.0013.8%5.6%14.0%2.5%19.8%3.2%3.6%-42.2K-299.6K-5.1K577.5099.17N/AN/A21,155462844
2014-08-19$37.59$35.0014.5%4.8%14.1%3.7%0.0%1.6%-1.3%-95.3K-137.9K-6.3K0.00100.66N/AN/A004621,344
2014-08-20$37.84$35.0011.4%4.2%14.3%0.0%15.4%1.5%1.4%-70.0K-473.0K-5.1K2.9097.01N/AN/A10294621,344
2014-08-21$37.59$35.0016.2%4.8%13.7%7.8%0.0%-2.2%-6.0%-91.8K-133.5K-6.6K0.00102.49N/AN/A0754721,363
2014-08-22$37.31$35.0014.1%5.6%13.8%4.3%0.0%-0.9%-1.0%-119.3K-70.3K-6.9K0.0091.01N/AN/A004721,438
2014-08-25$37.24$35.0014.8%5.5%13.7%5.4%0.0%0.3%-0.7%-123.0K14.0K-6.8K0.0095.11N/AN/A014721,438
2014-08-26$37.24$35.0015.5%5.6%11.4%6.6%19.6%0.8%-3.0%-125.2K52.7K-6.8K0.0093.37N/AN/A804721,439
2014-08-27$37.28$35.0014.7%5.4%9.0%5.3%0.0%0.0%-0.0%-124.0K-71.7K-6.5K0.0098.90N/AN/A004761,439
2014-08-28$37.18$35.0017.4%5.7%8.5%9.7%0.0%1.5%0.9%-127.1K150.5K-6.8K0.00104.50N/AN/A004761,439
2014-08-29$37.14$35.0026.4%5.5%8.6%24.3%19.4%-28.2%-3.8%-134.3K285.4K-7.6K0.00116.47N/AN/A054761,439