NNN Options History — January 2020

In January 2020, NNN traded between $52.28 and $56.65. ATM implied volatility averaged 14.6%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 3.2% (HV 20d: 17.8%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2020-01-29: Highest Volume — 272 contracts
  • 2020-01-06: Largest IV drop — 27.2% change
  • 2020-01-31: Highest IV Rank — 49.3%
  • 2020-01-31: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.95$52.28$56.65$52.28$56.00
Max Pain$52.14$50.00$55.00$55.00$55.00
ATM IV14.6%8.2%20.6%14.5%20.6%
Expected Move4.6%3.2%5.9%4.1%5.9%
HV 20d17.8%13.5%20.4%19.2%13.5%
HV 60d18.4%17.6%19.1%17.6%18.2%
IV Rank25.3%0.0%49.3%22.8%49.3%
IV Percentile37.1%0.0%89.3%25.4%89.3%
Term Structure0.6%-1.7%7.2%7.2%-1.7%
VWIV15.8%8.5%22.0%17.9%22.0%
Skew 25d8.9%-2.5%26.3%7.3%10.6%
Skew 10d21.4%-2.4%62.9%11.0%18.4%
Call IV 25d13.4%10.0%15.7%10.0%13.1%
Put IV 25d22.4%11.2%41.2%17.2%23.7%
Bid-Ask Spread %95.9488.06104.42103.0899.35
Gamma HHI0.450.370.680.370.40
Net GEX161.1K23.1K329.7K23.1K198.9K
Net DEX-1.1M-2.1M301.7K301.7K-1.9M
Net VEX-8.5K-10.8K-6.9K-7.7K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.008.001.248.00
Total Volume62.2862272658
Total OI1,637.9521,4521,7721,4521,744

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$52.28$55.0014.5%4.1%19.2%22.8%17.9%7.3%7.2%23.1K301.7K-7.7K1.24103.08N/AN/A2936906546
2020-01-03$53.22$55.0011.3%3.2%20.2%9.6%9.3%-2.5%1.1%62.1K-25.4K-8.2K3.8199.32N/AN/A1661912571
2020-01-06$53.52$50.008.2%4.2%20.2%0.0%0.0%3.4%0.4%54.3K141.6K-7.8K0.8188.06N/AN/A6351907624
2020-01-07$53.20$50.0010.1%4.2%20.3%7.6%0.0%3.3%1.4%56.1K257.9K-7.5K0.0992.57N/AN/A111962623
2020-01-08$53.45$50.009.7%4.1%20.4%6.0%14.4%3.0%0.7%69.8K139.1K-7.6K0.0094.86N/AN/A20969622
2020-01-09$53.09$50.0010.1%4.1%20.4%7.7%18.7%3.7%0.9%47.2K297.3K-7.0K0.5092.48N/AN/A21971622
2020-01-10$53.64$50.0011.1%4.0%19.6%11.6%13.8%3.2%1.2%82.8K48.9K-7.4K0.1190.91N/AN/A91972621
2020-01-13$53.93$50.0011.1%4.2%17.8%11.5%14.7%3.4%0.2%99.9K7.7K-6.9K0.1190.19N/AN/A13114972616
2020-01-14$54.03$50.0011.2%4.1%17.2%11.9%14.4%3.9%0.2%137.0K-141.0K-7.5K0.0088.78N/AN/A1301,061621
2020-01-15$55.02$50.0013.8%4.0%17.7%22.5%13.8%26.3%0.9%329.7K-1.2M-8.0K0.0893.49N/AN/A9681,071621
2020-01-16$55.40$50.0013.7%3.9%16.2%21.9%13.7%20.3%0.4%300.3K-1.9M-7.8K0.01100.98N/AN/A8311,110623
2020-01-17$55.36$50.0014.0%4.0%15.9%23.2%14.0%1.2%0.8%263.5K-2.0M-8.4K0.0099.99N/AN/A3801,148624
2020-01-21$56.50$50.0017.2%4.9%17.1%35.8%17.2%13.8%-0.3%180.6K-1.9M-8.4K0.2392.74N/AN/A14032952504
2020-01-22$56.13$55.0017.2%4.9%17.4%35.9%17.2%17.1%0.3%195.5K-1.8M-9.5K1.11104.42N/AN/A28311,077531
2020-01-23$56.65$55.0018.6%5.3%16.7%41.3%8.5%14.0%-0.7%199.7K-2.1M-9.5K0.0694.22N/AN/A8351,076560
2020-01-24$56.37$50.0019.4%5.6%17.0%44.6%19.4%15.7%-0.5%205.8K-2.0M-10.0K1.67103.98N/AN/A9151,156565
2020-01-27$56.51$55.0020.1%5.8%16.9%47.3%20.1%22.3%-1.0%205.7K-2.1M-10.2K0.5094.81N/AN/A211,160574
2020-01-28$56.59$55.0018.1%5.2%16.9%39.6%0.0%6.7%0.1%224.5K-2.1M-9.3K0.0096.75N/AN/A601,160575
2020-01-29$56.57$55.0017.4%5.0%17.0%36.7%0.0%3.0%0.9%238.4K-2.1M-9.1K0.0097.43N/AN/A27201,158575
2020-01-30$56.39$55.0019.6%5.6%16.7%45.5%19.6%7.8%-0.6%208.0K-2.1M-10.8K8.0096.23N/AN/A181,160575
2020-01-31$56.00$55.0020.6%5.9%13.5%49.3%22.0%10.6%-1.7%198.9K-1.9M-10.5K0.0099.35N/AN/A081,161583