NNN Options History — March 2020

In March 2020, NNN traded between $25.23 and $54.64. ATM implied volatility averaged 72.8%, placing in the 86.7% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded below realized volatility by 32.5% (HV 20d: 105.2%). Max pain ranged from $35.00 to $55.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 14.74.

Notable Days

  • 2020-03-20: Highest Volume — 553 contracts
  • 2020-03-09: Largest IV spike — 37.2% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 32.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.26$25.23$54.64$51.90$31.63
Max Pain$47.95$35.00$55.00$55.00$35.00
ATM IV72.8%25.5%114.5%32.4%92.4%
Expected Move20.6%7.3%32.8%9.3%26.5%
HV 20d105.2%35.5%182.5%35.5%181.3%
HV 60d64.0%24.6%107.1%24.6%107.0%
IV Rank86.7%54.1%100.0%75.6%79.2%
IV Percentile99.2%96.8%100.0%99.2%97.6%
Term Structure-11.8%-23.9%0.9%-0.5%-11.2%
VWIV74.3%25.5%106.6%31.7%93.5%
Skew 25d20.2%3.1%39.6%7.9%26.3%
Skew 10d45.5%2.5%92.6%17.9%86.9%
Call IV 25d63.2%21.8%112.4%28.0%81.1%
Put IV 25d83.5%34.8%127.5%35.9%107.5%
Bid-Ask Spread %87.6672.2098.8084.9393.58
Gamma HHI0.230.160.330.310.16
Net GEX6.6K-22.1K106.0K6.6K-22.1K
Net DEX1.4M-374.9K2.3M710.6K2.1M
Net VEX-8.8K-11.6K-3.0K-7.9K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.740.10204.000.402.44
Total Volume177.9094455366186
Total OI2,220.2271,7762,7821,7762,782

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$51.90$55.0032.4%9.3%35.5%75.6%31.7%7.9%-0.5%6.6K710.6K-7.9K0.4084.93N/AN/A47191,125651
2020-03-03$52.85$55.0034.6%9.9%35.9%82.7%0.0%8.6%-6.7%49.7K192.5K-9.5K1.2298.09N/AN/A36441,155667
2020-03-04$54.64$55.0025.5%7.3%38.2%54.1%25.5%12.9%0.9%106.0K-374.9K-9.1K0.1798.80N/AN/A131221,155675
2020-03-05$53.67$55.0031.5%8.7%38.7%73.0%0.0%6.4%-2.3%84.5K-228.5K-10.6K0.0084.65N/AN/A0601,282667
2020-03-06$52.55$55.0037.6%10.9%39.0%92.1%41.3%3.1%-6.7%50.7K269.7K-11.4K0.1090.93N/AN/A110111,282713
2020-03-09$49.70$55.0051.6%12.7%43.0%100.0%46.8%15.0%-5.2%4.2K1.2M-9.7K8.0085.97N/AN/A7561,384718
2020-03-10$49.61$55.0058.0%13.2%42.9%100.0%46.0%9.1%-7.3%6551.2M-10.3K6.3382.12N/AN/A6381,387746
2020-03-11$46.80$55.0055.7%16.0%46.6%95.5%62.1%7.2%-13.6%-12.8K1.7M-9.1K204.0084.97N/AN/A12041,386766
2020-03-12$43.25$55.0069.3%19.9%52.8%100.0%67.3%21.5%-14.5%-1.7K1.6M-9.9K18.0089.82N/AN/A91621,386791
2020-03-13$46.66$50.0069.4%19.9%61.2%100.0%65.7%19.4%-16.8%-3.5K1.5M-10.7K7.9484.60N/AN/A352781,394806
2020-03-16$39.49$50.0079.1%22.7%82.1%100.0%76.7%11.7%-18.7%-14.7K2.2M-9.0K15.5793.94N/AN/A71091,407941
2020-03-17$34.88$50.0087.6%25.1%89.7%100.0%91.2%27.7%-16.8%-14.1K2.3M-6.6K6.8186.30N/AN/A211431,406927
2020-03-18$25.23$50.00114.5%32.8%138.5%100.0%91.9%11.9%-21.8%-6.3K2.0M-3.0K0.5997.84N/AN/A104611,399932
2020-03-19$30.91$45.0098.1%28.1%162.5%84.6%87.8%39.6%-23.9%-9.1K1.9M-5.9K7.6397.28N/AN/A352671,475891
2020-03-20$30.59$45.0090.7%26.0%162.1%77.6%82.1%23.3%-20.4%-13.9K2.1M-6.2K0.7681.37N/AN/A3142391,4981,034
2020-03-23$26.82$40.00105.8%30.3%165.0%91.8%101.9%22.3%-14.2%-10.2K2.0M-6.2K2.0377.06N/AN/A1553141,0481,131
2020-03-24$29.48$40.0091.2%26.1%171.7%78.0%92.2%27.7%-12.1%-13.5K2.0M-7.1K1.8372.20N/AN/A29531,0431,263
2020-03-25$33.97$40.0095.1%27.3%182.5%81.7%106.6%34.6%-12.2%-5.1K1.1M-11.6K1.7482.57N/AN/A53921,0661,247
2020-03-26$34.20$40.0092.8%26.6%181.9%79.6%95.6%39.1%-17.4%-6.5K1.5M-10.0K2.8685.92N/AN/A351001,0821,238
2020-03-27$34.52$40.0087.2%25.0%182.0%74.3%88.5%34.4%0.5%-8.4K1.4M-10.9K10.8089.53N/AN/A101081,0871,306
2020-03-30$32.33$35.00100.1%28.7%182.0%86.4%92.2%35.4%-18.8%-15.3K1.9M-9.7K10.2885.92N/AN/A181851,0961,410
2020-03-31$31.63$35.0092.4%26.5%181.3%79.2%93.5%26.3%-11.2%-22.1K2.1M-10.3K2.4493.58N/AN/A541321,1101,672