NNN Options History — April 2020

In April 2020, NNN traded between $26.27 and $35.54. ATM implied volatility averaged 85.4%, placing in the 69.7% IV rank vs the trailing year. The 30-day expected move averaged 23.9%. IV traded below realized volatility by 58.7% (HV 20d: 144.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 18.42.

Notable Days

  • 2020-04-15: Highest Volume — 4,221 contracts
  • 2020-04-30: Largest IV spike — 27.5% change
  • 2020-04-02: Highest IV Rank — 100.0%
  • 2020-04-01: Largest Expected Move — 30.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.63$26.27$35.54$28.16$32.28
Max Pain$32.38$30.00$35.00$35.00$30.00
ATM IV85.4%57.8%119.2%106.8%73.7%
Expected Move23.9%16.6%30.6%30.6%21.1%
HV 20d144.0%82.5%195.0%182.6%82.5%
HV 60d115.6%109.2%119.0%109.2%119.0%
IV Rank69.7%44.7%100.0%92.8%59.0%
IV Percentile93.1%86.5%100.0%99.6%89.3%
Term Structure-8.8%-16.9%4.4%-15.4%-8.0%
VWIV88.7%60.5%129.0%129.0%70.2%
Skew 25d21.7%11.2%32.7%28.3%17.2%
Skew 10d51.0%33.1%69.3%56.8%44.2%
Call IV 25d74.8%55.5%96.9%96.9%61.0%
Put IV 25d96.5%69.0%125.2%125.2%78.2%
Bid-Ask Spread %71.1559.3586.5084.8678.25
Gamma HHI0.330.150.450.170.39
Net GEX-210.9K-406.1K-8.0K-21.1K-315.5K
Net DEX5.9M1.2M11.5M2.5M5.1M
Net VEX-23.9K-38.2K-8.1K-9.3K-31.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.420.36149.752.420.63
Total Volume678.238614,221263111
Total OI8,482.6672,89112,8592,89112,510

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$28.16$35.00106.8%30.6%182.6%92.8%129.0%28.3%-15.4%-21.1K2.5M-9.3K2.4284.86N/AN/A771861,1511,740
2020-04-02$26.77$30.00119.2%27.2%182.7%100.0%88.4%24.5%-15.7%-20.7K2.5M-8.1K4.2859.35N/AN/A1124791,2051,766
2020-04-03$26.27$30.00114.6%28.0%182.7%95.9%97.1%30.4%-16.9%-16.5K2.3M-8.3K0.3972.51N/AN/A51201,2841,832
2020-04-06$27.68$30.0089.1%25.3%185.0%72.9%100.1%25.2%-10.4%-14.4K2.2M-8.5K6.3164.63N/AN/A161011,3291,830
2020-04-07$30.61$35.0089.2%26.4%190.5%73.0%88.5%22.0%-16.9%-12.5K1.9M-9.9K1.1372.36N/AN/A981111,3321,912
2020-04-08$32.02$35.0084.8%24.3%191.6%69.1%76.7%22.5%-6.6%-12.8K1.8M-10.2K26.2267.00N/AN/A184721,3001,964
2020-04-09$35.54$35.0083.1%23.8%195.0%67.5%102.0%32.7%-8.9%-8.0K1.2M-12.9K68.1172.73N/AN/A352,3841,3302,337
2020-04-13$33.24$35.0093.3%26.7%193.3%76.7%102.3%24.1%-16.9%-81.4K3.5M-18.6K65.9484.37N/AN/A181,1871,3524,667
2020-04-14$34.14$35.0086.4%24.8%185.4%70.4%103.2%24.0%-15.6%-141.0K4.1M-19.6K48.1366.56N/AN/A452,1661,3415,642
2020-04-15$31.24$35.0094.0%27.0%182.9%77.4%95.7%25.1%-12.0%-253.0K7.3M-23.9K149.7568.11N/AN/A284,1931,3597,639
2020-04-16$29.75$35.0082.1%23.5%140.5%66.6%99.2%25.8%-4.5%-406.1K11.5M-38.2K1.7564.86N/AN/A48841,37311,486
2020-04-17$31.12$35.0082.9%23.8%121.3%67.4%88.4%22.3%-8.5%-307.3K9.3M-37.4K0.8561.33N/AN/A33281,37211,462
2020-04-20$30.28$35.0088.2%25.3%121.7%72.1%89.3%21.0%-11.7%-299.1K9.7M-36.3K0.5759.96N/AN/A1961111,04410,368
2020-04-21$29.58$30.0089.9%25.8%111.9%73.6%95.4%16.7%-12.6%-331.3K10.1M-37.1K2.0359.76N/AN/A601221,21710,448
2020-04-22$29.73$30.0079.8%22.9%106.8%64.6%90.3%18.0%-1.0%-346.9K10.1M-36.3K0.4964.08N/AN/A124611,23010,527
2020-04-23$29.12$30.0071.7%20.5%93.0%57.2%75.1%11.2%-0.4%-369.1K10.3M-35.4K0.7977.92N/AN/A1701341,34710,577
2020-04-24$29.66$30.0069.6%20.0%93.3%55.4%69.7%15.5%3.0%-395.3K9.7M-34.3K0.6571.63N/AN/A68441,38710,562
2020-04-27$31.21$30.0071.9%20.6%95.4%57.4%73.3%21.4%-7.4%-397.7K7.5M-29.3K4.4173.75N/AN/A964231,44010,557
2020-04-28$32.12$30.0064.4%18.5%93.3%50.7%69.1%14.5%4.4%-386.3K6.0M-28.1K0.3686.50N/AN/A100361,50610,918
2020-04-29$32.75$30.0057.8%16.6%93.2%44.7%60.5%13.5%-1.9%-293.1K5.5M-30.0K1.5183.73N/AN/A1582391,52310,970
2020-04-30$32.28$30.0073.7%21.1%82.5%59.0%70.2%17.2%-8.0%-315.5K5.1M-31.1K0.6378.25N/AN/A68431,62910,881