NNN Options History — September 2014

In September 2014, NNN traded between $34.46 and $37.37. ATM implied volatility averaged 18.4%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.2% (HV 20d: 15.2%). 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 15 of 21 days. Put/call ratio averaged 119.97.

Notable Days

  • 2014-09-11: Highest Volume — 1,881 contracts
  • 2014-09-30: Largest IV spike — 18.9% change
  • 2014-09-15: Highest IV Rank — 16.1%
  • 2014-09-04: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.66$34.46$37.37$37.01$34.57
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV18.4%15.3%21.4%18.6%19.1%
Expected Move5.4%5.0%5.8%5.7%5.4%
HV 20d15.2%8.7%20.5%8.7%20.5%
HV 60d13.4%11.1%15.2%11.3%15.2%
IV Rank11.3%6.3%16.1%11.6%12.4%
IV Percentile47.5%15.1%72.6%49.2%58.3%
Term Structure1.4%-2.4%7.7%3.1%-0.4%
VWIV21.3%14.7%27.1%14.7%27.0%
Skew 25d11.7%-0.1%36.3%0.8%2.6%
Skew 10d17.8%-3.1%51.7%4.7%2.9%
Call IV 25d17.4%10.5%23.2%21.4%21.7%
Put IV 25d29.1%17.6%57.4%22.2%24.3%
Bid-Ask Spread %102.2889.37107.51103.02103.29
Gamma HHI0.900.720.990.780.95
Net GEX-525.8K-1.7M-106.8K-150.2K-384.0K
Net DEX2.4M-367.2K6.9M66.8K2.8M
Net VEX-9.2K-13.9K-4.7K-6.6K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio119.970.20939.500.2015.25
Total Volume309.90501,88160
Total OI2,500.6671,8043,5651,9201,987

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$37.01$35.0018.6%5.7%8.7%11.6%14.7%0.8%3.1%-150.2K66.8K-6.6K0.20103.02N/AN/A514761,444
2014-09-03$36.89$35.0019.3%5.7%8.8%12.7%0.0%4.2%-0.1%-155.8K14.6K-6.5K0.00102.76N/AN/A06014811,445
2014-09-04$36.84$35.0015.9%5.8%8.8%7.2%0.0%-0.1%1.8%-141.1K-110.2K-5.7K0.00102.41N/AN/A004811,345
2014-09-05$37.37$35.0016.6%5.4%9.6%8.4%0.0%12.4%7.7%-106.8K-191.5K-5.6K0.00102.28N/AN/A0304811,345
2014-09-08$37.13$35.0019.4%5.5%10.0%12.9%0.0%6.9%1.2%-113.2K-367.2K-4.9K0.0089.37N/AN/A004811,323
2014-09-09$36.99$35.0017.9%5.6%10.1%10.5%0.0%8.3%4.5%-114.9K-307.7K-4.7K0.00102.55N/AN/A06104811,323
2014-09-10$36.47$35.0020.7%5.7%11.4%15.0%0.0%7.2%5.0%-262.8K723.5K-9.4K0.00101.86N/AN/A01004811,933
2014-09-11$36.40$35.0018.8%5.5%10.0%11.8%0.0%6.0%0.5%-257.3K723.5K-9.4K939.50101.84N/AN/A21,8794811,933
2014-09-12$35.03$35.0020.6%5.5%16.5%14.9%0.0%3.4%-1.7%-718.9K4.3M-13.9K2.36100.64N/AN/A25594793,026
2014-09-15$34.78$35.0021.4%5.4%16.6%16.1%21.7%3.7%-2.4%-780.4K4.9M-13.4K0.00104.51N/AN/A0404753,082
2014-09-16$35.38$35.0018.6%5.5%17.5%11.6%0.0%19.4%1.3%-1.1M3.9M-12.9K40.00102.68N/AN/A104004753,090
2014-09-17$35.22$35.0019.9%5.4%17.3%13.7%0.0%4.0%-1.7%-851.8K3.4M-11.8K0.00101.78N/AN/A02154852,960
2014-09-18$34.59$35.0020.1%5.0%17.7%13.9%17.5%2.2%-1.4%-1.2M6.9M-10.1K8.86103.00N/AN/A887804853,059
2014-09-19$35.10$35.0017.6%5.1%18.9%10.1%0.0%26.3%0.5%-1.7M3.9M-10.3K36.50101.62N/AN/A2735012,850
2014-09-22$35.09$35.0017.2%5.3%18.9%9.4%0.0%30.3%1.2%-396.8K2.5M-9.5K0.00106.74N/AN/A02713551,669
2014-09-23$34.77$35.0018.7%5.3%19.0%11.7%27.1%4.3%0.6%-428.4K3.1M-10.2K15.00101.96N/AN/A3453551,916
2014-09-24$34.69$35.0017.4%5.4%19.0%9.7%19.7%36.3%1.6%-469.7K3.5M-10.1K65.00103.20N/AN/A1653561,951
2014-09-25$34.46$35.0017.7%5.3%18.9%10.1%27.0%2.8%1.7%-469.0K3.9M-9.9K77.00102.73N/AN/A1773572,011
2014-09-26$35.04$35.0015.3%5.2%20.3%6.3%0.0%29.9%3.2%-616.1K3.3M-10.1K15.25102.21N/AN/A203053582,011
2014-09-29$34.97$35.0016.0%5.4%20.3%7.4%0.0%34.2%3.6%-592.5K3.3M-9.4K0.00107.51N/AN/A08003561,931
2014-09-30$34.57$35.0019.1%5.4%20.5%12.4%0.0%2.6%-0.4%-384.0K2.8M-8.4K0.00103.29N/AN/A003561,631