NNN Options History — November 2014

In November 2014, NNN traded between $37.36 and $39.48. ATM implied volatility averaged 18.0%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 0.1% (HV 20d: 18.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 6.77.

Notable Days

  • 2014-11-04: Highest Volume — 1,900 contracts
  • 2014-11-10: Largest IV spike — 107.7% change
  • 2014-11-12: Highest IV Rank — 30.5%
  • 2014-11-14: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.18$37.36$39.48$39.04$38.53
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV18.0%11.3%32.0%11.3%23.9%
Expected Move4.7%4.0%5.6%4.5%5.0%
HV 20d18.1%15.9%18.8%16.1%18.5%
HV 60d17.7%16.6%18.4%16.6%18.4%
IV Rank9.9%0.0%30.5%0.0%18.6%
IV Percentile36.0%0.0%90.5%0.0%83.3%
Term Structure2.0%-7.3%33.1%2.0%0.7%
VWIV20.1%16.2%24.6%20.9%18.4%
Skew 25d6.6%-1.8%42.5%7.6%8.7%
Skew 10d8.5%-6.5%53.0%0.8%-5.1%
Call IV 25d15.7%11.4%20.6%14.6%11.5%
Put IV 25d22.3%17.4%57.7%22.2%20.2%
Bid-Ask Spread %101.2390.93122.9395.37116.62
Gamma HHI0.630.490.880.850.50
Net GEX-96.6K-157.8K59.6K59.6K-88.1K
Net DEX1.0M-842.0K2.0M-714.4K808.5K
Net VEX-5.7K-7.6K-2.3K-2.3K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.770.0017.631.110.40
Total Volume603.68401,9009528
Total OI2,118.8421,0082,5091,0081,980

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$39.04$35.0011.3%4.5%16.1%0.0%20.9%7.6%2.0%59.6K-714.4K-2.3K1.1195.37N/AN/A4550367641
2014-11-04$39.48$35.0012.4%4.6%15.9%1.7%19.2%3.6%5.6%45.9K-842.0K-2.7K17.63100.11N/AN/A1021,798384641
2014-11-05$39.00$35.0016.7%4.9%16.1%8.0%17.7%2.7%-1.8%-102.6K588.6K-6.1K5.76100.71N/AN/A1025884541,777
2014-11-06$38.22$35.0018.0%4.9%18.2%9.9%17.8%1.2%-3.3%-123.3K911.1K-6.8K6.4491.04N/AN/A966184541,778
2014-11-07$38.36$35.0015.1%4.8%18.1%5.6%23.0%2.7%1.2%-113.8K915.7K-6.2K7.8297.87N/AN/A796184561,808
2014-11-10$38.92$35.0031.4%4.6%18.5%29.5%24.6%42.5%1.0%-71.8K719.5K-5.2K15.0797.31N/AN/A416184611,808
2014-11-11$38.30$35.0017.9%4.5%18.4%9.7%19.2%2.8%-1.3%-124.5K1.1M-5.5K1.67102.76N/AN/A1021704511,800
2014-11-12$38.35$35.0032.0%4.7%18.4%30.5%21.7%3.7%1.0%-100.0K845.1K-5.3K1.73102.84N/AN/A981705471,808
2014-11-13$37.97$35.0014.0%4.0%18.6%4.0%19.6%3.0%0.0%-113.6K747.6K-6.5K1.7397.72N/AN/A981705821,808
2014-11-14$37.47$35.0022.9%5.6%18.8%17.1%0.0%-1.8%-6.8%-151.3K1.9M-7.6K0.0096.41N/AN/A0305761,862
2014-11-17$37.61$35.0016.4%4.4%18.0%7.6%21.8%1.1%-5.0%-152.5K1.9M-7.5K1.6497.23N/AN/A981615821,868
2014-11-18$37.80$35.0013.0%4.5%18.0%2.5%20.8%7.3%5.3%-132.2K1.1M-5.8K3.7790.93N/AN/A983695821,927
2014-11-19$37.36$35.0022.4%5.4%18.5%16.4%0.0%1.4%-7.3%-157.8K2.0M-7.1K0.00105.93N/AN/A005761,913
2014-11-20$37.64$35.0012.7%4.7%18.5%2.1%21.5%6.5%4.9%-145.7K1.7M-5.8K16.27100.98N/AN/A971,5785751,891
2014-11-21$37.58$35.0012.6%4.3%18.5%2.0%19.6%5.3%5.6%-87.0K1.4M-4.6K15.20100.61N/AN/A1041,5815771,391
2014-11-24$37.93$35.0012.4%5.0%18.8%1.7%16.2%10.2%0.7%-99.1K1.4M-5.5K0.00101.90N/AN/A5705531,395
2014-11-25$37.93$35.0013.9%4.0%18.8%3.9%18.4%9.1%2.9%-90.6K1.4M-5.4K12.02104.13N/AN/A1311,5756101,395
2014-11-26$38.01$35.0023.1%4.1%18.7%17.4%0.0%8.0%33.1%-86.8K1.2M-5.6K0.00122.93N/AN/A006101,370
2014-11-28$38.53$35.0023.9%5.0%18.5%18.6%0.0%8.7%0.7%-88.1K808.5K-6.5K0.40116.62N/AN/A2086101,370