NNN Options History — October 2014

In October 2014, NNN traded between $34.65 and $38.13. ATM implied volatility averaged 30.1%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 13.2% (HV 20d: 16.9%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 5.10.

Notable Days

  • 2014-10-08: Highest Volume — 868 contracts
  • 2014-10-29: Largest IV spike — 145.7% change
  • 2014-10-15: Highest IV Rank — 100.0%
  • 2014-10-16: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.56$34.65$38.13$34.65$38.13
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV30.1%15.6%79.5%19.4%15.6%
Expected Move5.3%4.1%5.8%5.5%4.6%
HV 20d16.9%13.6%21.6%20.6%14.6%
HV 60d15.7%14.9%16.6%14.9%15.9%
IV Rank28.6%6.1%100.0%12.9%6.1%
IV Percentile70.4%15.1%100.0%61.5%15.1%
Term Structure-5.1%-31.8%8.0%-0.3%2.6%
VWIV19.3%17.2%20.9%18.5%19.5%
Skew 25d7.5%-7.8%39.7%1.8%14.5%
Skew 10d10.1%-28.2%55.3%1.5%13.9%
Call IV 25d21.8%13.8%51.3%22.1%14.0%
Put IV 25d29.4%16.7%65.6%23.9%28.5%
Bid-Ask Spread %99.9888.77110.43107.6188.77
Gamma HHI0.740.500.970.960.50
Net GEX-192.7K-621.4K-9.0K-387.5K-12.3K
Net DEX649.1K-678.2K3.0M3.0M-467.5K
Net VEX-6.2K-8.5K-2.8K-8.1K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.100.0053.270.001.39
Total Volume125.39108686686
Total OI1,656.3049982,0981,987998

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$34.65$35.0019.4%5.5%20.6%12.9%0.0%1.8%-0.3%-387.5K3.0M-8.1K0.00107.61N/AN/A6603561,631
2014-10-02$34.75$35.0019.1%5.3%20.7%12.5%18.5%39.7%-0.2%-396.9K2.8M-8.5K0.0098.34N/AN/A1304221,631
2014-10-03$34.88$35.0017.1%5.3%19.9%9.1%0.0%-0.9%8.0%-361.3K2.6M-8.4K0.00103.17N/AN/A004351,631
2014-10-06$34.99$35.0017.8%5.2%20.0%10.2%0.0%1.0%-0.7%-491.4K2.4M-8.3K0.0091.60N/AN/A104351,631
2014-10-07$34.87$35.0016.3%5.6%20.0%7.8%0.0%0.0%-2.3%-510.1K2.6M-7.9K0.00105.15N/AN/A014351,631
2014-10-08$35.63$35.0018.0%5.4%21.3%10.6%17.8%25.7%-1.7%-621.4K1.5M-7.5K19.67103.51N/AN/A428264371,631
2014-10-09$35.96$35.0018.8%5.6%21.6%12.0%19.7%4.4%-1.8%-359.3K838.5K-7.3K0.00100.03N/AN/A0164371,631
2014-10-10$35.91$35.0042.1%5.6%16.4%49.6%19.4%3.6%0.3%-261.6K1.4M-7.7K0.00110.43N/AN/A204371,621
2014-10-13$36.07$35.0052.1%5.8%16.1%65.8%0.0%2.8%-1.1%-270.6K1.2M-7.0K0.00105.36N/AN/A004391,621
2014-10-14$36.91$35.0059.3%5.5%17.0%77.5%19.6%13.3%4.3%-191.8K387.5K-6.4K0.7999.27N/AN/A34274411,621
2014-10-15$36.97$35.0079.5%5.7%16.8%100.0%20.7%4.4%-7.8%-185.4K361.9K-6.3K1.32102.52N/AN/A34454471,621
2014-10-16$37.29$35.0020.3%5.8%15.1%13.0%20.9%7.2%2.0%-42.6K-206.8K-5.3K1.3494.91N/AN/A29394441,597
2014-10-17$36.86$35.0018.4%5.5%15.4%10.2%19.1%8.6%3.7%-62.2K-112.6K-5.8K0.0090.01N/AN/A05014731,625
2014-10-20$37.45$35.0023.1%5.5%16.1%17.1%0.0%-7.8%-9.8%-106.1K77.0K-7.5K53.27103.53N/AN/A115864731,137
2014-10-21$37.64$35.0027.8%4.7%15.4%24.0%19.0%2.7%-6.0%-16.3K-472.7K-5.1K0.64100.68N/AN/A4730486627
2014-10-22$37.66$35.0019.1%4.1%15.3%11.2%20.0%12.0%3.1%-9.0K-571.5K-5.3K0.5491.09N/AN/A5630490627
2014-10-23$37.42$35.0033.4%5.7%15.3%32.3%19.4%4.7%-26.2%-9.4K-678.2K-4.3K0.5994.91N/AN/A5633489627
2014-10-24$37.35$35.0023.9%5.6%14.6%18.4%17.2%6.4%-5.6%-21.0K-438.9K-4.9K0.7999.98N/AN/A4233491630
2014-10-27$37.33$35.0046.3%5.4%14.6%51.3%18.5%-6.1%-27.7%-20.8K-452.5K-4.9K1.33102.05N/AN/A34502630
2014-10-28$37.30$35.0021.0%5.5%13.6%14.0%0.0%2.5%-6.5%-20.4K-459.8K-4.8K7.50106.41N/AN/A215505626
2014-10-29$37.17$35.0051.5%5.5%13.8%58.9%20.4%-2.0%-31.8%-45.6K-92.0K-4.1K1.3599.60N/AN/A3750357641
2014-10-30$37.76$35.0033.2%4.3%14.5%32.1%19.8%34.7%-12.3%-29.7K-121.8K-4.0K1.35100.62N/AN/A3750357641
2014-10-31$38.13$35.0015.6%4.6%14.6%6.1%19.5%14.5%2.6%-12.3K-467.5K-2.8K1.3988.77N/AN/A3650357641