NNN Options History — December 2014

In December 2014, NNN traded between $37.74 and $40.27. ATM implied volatility averaged 22.1%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 8.5% (HV 20d: 13.6%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 4.24.

Notable Days

  • 2014-12-23: Highest Volume — 647 contracts
  • 2014-12-10: Largest IV spike — 108.9% change
  • 2014-12-10: Highest IV Rank — 40.1%
  • 2014-12-26: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.84$37.74$40.27$38.08$39.37
Max Pain$35.59$35.00$40.00$35.00$40.00
ATM IV22.1%13.4%38.6%25.4%17.9%
Expected Move5.7%3.8%12.1%4.6%5.4%
HV 20d13.6%11.1%18.7%18.7%13.8%
HV 60d16.2%15.2%18.3%18.3%15.9%
IV Rank15.9%3.2%40.1%20.7%9.8%
IV Percentile63.1%4.4%95.6%84.1%45.6%
Term Structure3.2%-7.1%20.2%3.0%0.9%
VWIV20.0%14.4%25.9%15.2%24.8%
Skew 25d21.8%-6.4%55.3%1.9%0.2%
Skew 10d27.9%-13.9%82.8%-13.9%-1.3%
Call IV 25d20.7%11.1%33.3%16.6%21.7%
Put IV 25d42.4%13.7%77.2%18.5%21.9%
Bid-Ask Spread %114.7494.32126.33106.76118.50
Gamma HHI0.780.510.980.590.98
Net GEX-106.5K-324.7K118.1K-83.1K-324.7K
Net DEX668.3K-1.4M1.3M1.0M1.2M
Net VEX-5.2K-8.9K-2.4K-6.2K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.240.007.512.610.88
Total Volume373.9558647505107
Total OI1,812.8184802,0201,9961,918

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$38.08$35.0025.4%4.6%18.7%20.7%15.2%1.9%3.0%-83.1K1.0M-6.2K2.61106.76N/AN/A1403656301,366
2014-12-02$37.89$35.0021.2%4.8%16.6%14.6%16.9%2.7%1.9%-67.9K1.2M-4.3K2.61113.72N/AN/A1403656301,366
2014-12-03$37.74$35.0032.5%5.5%15.9%31.2%17.6%-1.6%2.5%-81.5K1.2M-6.1K2.50118.12N/AN/A1373436301,366
2014-12-04$37.79$35.0020.5%5.6%15.5%13.6%15.7%-6.4%-7.1%-84.7K1.3M-4.9K0.00119.44N/AN/A806251,374
2014-12-05$37.79$35.0018.8%4.1%13.8%11.1%22.3%8.2%-0.8%-59.0K1.3M-4.0K4.23105.08N/AN/A813436331,374
2014-12-08$37.82$35.0020.6%4.7%13.7%13.8%22.3%1.4%4.2%-48.5K1.3M-3.6K4.0898.59N/AN/A843436331,374
2014-12-09$38.10$35.0018.5%3.8%12.9%10.6%16.9%3.4%5.2%-52.3K1.1M-3.8K4.08101.42N/AN/A843436391,374
2014-12-10$37.82$35.0038.6%6.1%11.9%40.1%14.4%3.7%7.8%-85.5K1.2M-4.7K5.81124.84N/AN/A593436391,374
2014-12-11$38.26$35.0022.6%5.6%12.7%16.6%22.9%39.6%5.8%-35.2K993.6K-5.9K6.24115.14N/AN/A553436241,374
2014-12-12$38.16$35.0026.5%6.1%12.2%22.4%24.9%33.8%4.6%-90.7K1.0M-5.3K6.24122.14N/AN/A553436251,374
2014-12-15$38.08$35.0015.3%4.9%11.1%6.0%21.4%-2.0%0.2%-60.5K1.1M-3.3K5.7794.32N/AN/A613526251,374
2014-12-16$38.23$35.0017.1%4.7%11.1%8.6%22.0%33.9%-0.5%-91.2K980.0K-3.9K6.96109.20N/AN/A523626251,379
2014-12-17$39.15$35.0024.6%5.2%13.7%19.6%25.9%47.3%-0.0%-78.0K459.0K-4.0K7.10121.24N/AN/A513626191,389
2014-12-18$39.50$35.0024.2%5.6%13.0%19.0%19.2%38.4%-3.3%-141.2K358.3K-3.0K5.93114.06N/AN/A613626311,389
2014-12-19$40.00$35.0023.5%5.7%13.4%17.9%18.3%39.5%-1.0%-82.8K-474.2K-2.9K0.00116.12N/AN/A7006261,389
2014-12-22$40.20$0.0025.0%7.0%13.3%20.2%0.0%36.9%1.5%45.3K-772.9K-2.4K0.14118.67N/AN/A36650376104
2014-12-23$40.12$0.0014.3%5.3%13.2%4.4%0.0%13.5%5.6%118.1K-1.4M-4.7K7.51113.33N/AN/A76571676114
2014-12-24$40.27$0.0013.4%5.5%13.2%3.2%0.0%35.3%6.1%-223.4K-375.8K-6.9K7.48123.61N/AN/A60449676645
2014-12-26$39.97$0.0027.0%12.1%13.7%23.1%0.0%47.2%20.2%-266.5K826.4K-8.9K7.48124.08N/AN/A604496801,054
2014-12-29$40.11$0.0017.6%7.4%13.0%9.4%24.8%55.3%9.2%-298.4K572.9K-8.1K1.00119.49N/AN/A1131136801,054
2014-12-30$40.06$40.0020.4%5.2%12.1%13.4%0.0%47.0%3.9%-252.1K532.4K-8.5K4.58126.33N/AN/A19877061,129
2014-12-31$39.37$40.0017.9%5.4%13.8%9.8%0.0%0.2%0.9%-324.7K1.2M-8.5K0.88118.50N/AN/A57507111,207