I am not worried about the nitrates, but if they get higher I would be. Something is off, but that can wait.
I would bet that the problem was the long acclimation. Ammonia builds up during shipping by is rendered less toxic by the co2 in the bag depressing the pH. It is thought that octos produce a lot of ammonia in the bag during shipping (I'll try to test this next time I get one). In the long acclimation the pH in the water rises and the ammonia becomes much more toxic. Sitting in there for and hour with toxic ammonia is not a good thing.
I recently got a vulgaris from Tom (last week) and it looked bad in the bag, and the water looked bad, so I did a 10 minute acclimation and thought I blew it because it took the octo a full day to recover. Same kind of thing, it looked good at first but got worse. Really thought it was a goner, it was sitting in a plastic cup, white, for a full day on display for the public, but it recovered.
I agree with Joe - get as much air bubbling in the sump as possible. I might even risk it in the tank proper. Hanging by one leg is pretty worrisome, if you have a glass jar, maybe see if you can get the octo to go in there so it feels protected and so you can see it. That last is a judgement call for you - it might be better just to leave it alone and hope.
It could be nothing more than shock at a new place and shipping stress.
Good luck!