NNN Options History — May 2020

In May 2020, NNN traded between $27.51 and $33.05. ATM implied volatility averaged 57.5%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 9.6% (HV 20d: 67.1%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 10.53.

Notable Days

  • 2020-05-18: Highest Volume — 4,085 contracts
  • 2020-05-11: Largest IV spike — 41.3% change
  • 2020-05-01: Highest IV Rank — 56.9%
  • 2020-05-01: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.73$27.51$33.05$31.61$31.35
Max Pain$33.00$30.00$40.00$30.00$30.00
ATM IV57.5%42.1%71.3%71.3%54.7%
Expected Move16.1%13.2%20.4%20.4%15.7%
HV 20d67.1%55.3%82.0%80.4%67.6%
HV 60d121.6%119.0%123.7%119.0%123.2%
IV Rank44.4%30.6%56.9%56.9%41.9%
IV Percentile83.2%78.6%88.1%88.1%80.6%
Term Structure0.1%-14.1%9.7%-7.0%-1.8%
VWIV67.0%47.4%82.6%78.6%73.0%
Skew 25d18.3%12.6%24.7%21.2%15.6%
Skew 10d41.5%29.9%65.3%48.7%41.3%
Call IV 25d49.7%39.0%60.1%60.1%51.4%
Put IV 25d68.0%55.5%81.3%81.3%67.0%
Bid-Ask Spread %74.8845.6299.3945.6285.07
Gamma HHI0.400.210.670.390.24
Net GEX-218.4K-542.0K1.6K-328.3K-32.9K
Net DEX4.3M49.8K10.5M5.6M1.0M
Net VEX-21.7K-31.6K-14.7K-31.6K-16.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.530.2089.711.178.90
Total Volume575.55454,08513999
Total OI9,799.755,96512,58612,5496,605

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$31.61$30.0071.3%20.4%80.4%56.9%78.6%21.2%-7.0%-328.3K5.6M-31.6K1.1745.62N/AN/A64751,68310,866
2020-05-04$30.27$40.0070.5%18.1%82.0%56.1%82.6%21.2%-3.3%-404.6K7.6M-30.5K5.8962.74N/AN/A372181,67410,912
2020-05-05$30.57$40.0062.5%17.4%80.2%49.0%65.9%14.8%-2.1%-416.4K6.5M-28.3K33.9763.20N/AN/A652,2081,67410,889
2020-05-06$30.47$40.0067.3%17.9%71.8%53.3%61.7%20.9%-1.8%-425.6K7.0M-28.9K1.5465.15N/AN/A1101691,66610,813
2020-05-07$31.06$40.0058.8%17.3%70.2%45.6%57.9%20.7%-0.4%-414.8K5.3M-26.7K1.1782.84N/AN/A30351,72010,741
2020-05-08$32.94$40.0042.1%13.9%62.6%30.6%59.4%20.8%7.8%-261.7K3.1M-23.6K2.5686.80N/AN/A27691,71810,737
2020-05-11$31.25$35.0059.5%16.0%60.9%46.2%68.5%13.6%3.1%-417.6K4.1M-22.3K4.3559.28N/AN/A843651,73310,724
2020-05-12$29.63$35.0068.1%15.7%62.3%54.0%67.5%16.9%3.3%-542.0K7.0M-23.2K2.6180.76N/AN/A661721,79610,708
2020-05-13$27.51$30.0057.2%16.4%59.9%44.2%74.9%18.7%0.4%-454.2K10.4M-24.4K12.5576.71N/AN/A111381,79510,676
2020-05-14$27.90$30.0060.5%17.3%58.1%47.1%75.3%21.5%4.7%-173.8K10.5M-22.4K3.5371.86N/AN/A762681,78910,693
2020-05-15$27.97$30.0061.6%17.6%55.3%48.1%65.6%19.0%-2.9%-176.0K10.4M-22.3K89.7175.59N/AN/A211,8841,79010,660
2020-05-18$30.85$30.0052.7%15.1%65.7%40.1%81.7%24.7%-14.1%-111.2K2.1M-14.7K6.1399.39N/AN/A5733,5121,4796,443
2020-05-19$31.20$30.0049.1%14.1%65.1%36.8%47.4%19.9%9.7%-35.8K900.1K-15.8K0.2082.24N/AN/A119241,9943,971
2020-05-20$30.25$30.0054.4%15.6%66.2%41.6%60.9%17.8%0.8%-49.9K1.4M-17.4K2.8976.18N/AN/A381102,0923,988
2020-05-21$30.66$30.0056.2%16.1%65.8%43.2%63.5%19.0%0.3%-47.1K1.3M-17.2K15.6575.52N/AN/A172662,1004,046
2020-05-22$30.84$30.0054.6%15.7%65.6%41.8%72.6%18.7%2.9%-51.5K1.3M-17.4K13.8072.46N/AN/A101382,1064,245
2020-05-26$33.05$30.0047.8%13.7%67.7%35.6%52.6%15.4%2.5%-21.2K476.3K-16.9K0.4873.84N/AN/A195942,1134,235
2020-05-27$32.92$30.0045.9%13.2%67.0%34.0%53.8%13.2%3.3%1.6K49.8K-16.8K2.7682.55N/AN/A21582,2714,265
2020-05-28$32.26$30.0055.4%15.9%67.0%42.6%76.4%12.6%-2.5%-5.3K325.6K-16.7K0.6779.71N/AN/A27182,2914,294
2020-05-29$31.35$30.0054.7%15.7%67.6%41.9%73.0%15.6%-1.8%-32.9K1.0M-16.9K8.9085.07N/AN/A10892,3104,295