NNN Options History — June 2020

In June 2020, NNN traded between $33.55 and $40.45. ATM implied volatility averaged 57.4%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded below realized volatility by 11.0% (HV 20d: 68.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.46.

Notable Days

  • 2020-06-10: Highest Volume — 1,030 contracts
  • 2020-06-08: Largest IV spike — 16.0% change
  • 2020-06-16: Highest IV Rank — 55.0%
  • 2020-06-16: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.52$33.55$40.45$33.63$35.36
Max Pain$34.32$30.00$35.00$30.00$35.00
ATM IV57.4%48.6%69.2%50.8%56.8%
Expected Move16.4%13.9%19.8%14.6%16.3%
HV 20d68.4%58.0%77.7%71.7%58.1%
HV 60d96.7%69.4%125.6%124.2%69.4%
IV Rank44.3%36.4%55.0%38.4%43.8%
IV Percentile80.5%76.6%86.1%78.6%76.6%
Term Structure-3.0%-13.7%0.4%-1.1%-3.1%
VWIV57.2%49.3%65.3%55.1%49.4%
Skew 25d11.8%7.0%22.5%22.5%13.1%
Skew 10d27.7%15.4%50.1%50.1%21.9%
Call IV 25d52.1%41.3%58.8%41.3%51.0%
Put IV 25d63.9%56.2%71.0%63.8%64.1%
Bid-Ask Spread %66.9845.0384.3379.0662.82
Gamma HHI0.380.220.560.220.36
Net GEX87.5K19.6K149.1K19.6K49.7K
Net DEX-2.0M-5.1M100.3K-409.1K-409.6K
Net VEX-24.4K-28.3K-17.0K-17.0K-26.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.460.1519.360.150.43
Total Volume380.091531,03035480
Total OI7,8246,0259,4416,6787,494

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$33.63$30.0050.8%14.6%71.7%38.4%55.1%22.5%-1.1%19.6K-409.1K-17.0K0.1579.06N/AN/A309452,3274,351
2020-06-02$33.55$30.0048.6%13.9%69.7%36.4%50.2%18.6%0.4%33.9K-459.4K-17.4K0.1679.94N/AN/A85142,6174,364
2020-06-03$36.80$30.0055.9%16.0%76.3%43.0%54.2%9.6%-1.6%107.5K-2.3M-18.6K0.3184.33N/AN/A6682102,6914,371
2020-06-04$37.85$35.0049.3%14.1%76.4%37.0%51.2%7.8%-1.3%134.4K-3.1M-22.8K0.7957.28N/AN/A3983153,0264,501
2020-06-05$39.86$35.0050.8%14.4%77.7%38.4%50.6%8.1%-2.5%149.1K-4.9M-23.5K0.4462.78N/AN/A3171393,1494,558
2020-06-08$40.45$35.0058.9%15.1%75.8%45.7%49.3%11.9%0.1%131.1K-5.1M-23.6K0.4267.85N/AN/A3221353,1144,656
2020-06-09$38.52$35.0054.4%15.8%75.4%41.6%57.7%7.0%-2.9%139.1K-3.9M-23.6K8.1166.56N/AN/A373003,2974,711
2020-06-10$36.90$35.0056.6%16.2%74.3%43.7%56.0%13.2%-2.4%117.2K-2.5M-24.3K10.3269.95N/AN/A919393,3384,937
2020-06-11$34.77$35.0057.5%16.5%72.2%44.4%63.1%15.0%-2.2%51.1K-530.0K-26.1K19.3682.00N/AN/A112133,3696,072
2020-06-12$35.58$35.0058.1%16.7%72.3%45.0%57.6%10.6%-1.9%76.7K-1.4M-24.0K1.0270.54N/AN/A55563,3685,422
2020-06-15$36.86$35.0061.9%17.7%72.7%48.4%64.2%13.5%-4.4%107.7K-2.3M-24.5K1.2967.67N/AN/A1281653,3575,398
2020-06-16$37.44$35.0069.2%19.8%65.6%55.0%59.9%13.2%-13.7%116.2K-2.7M-25.4K0.4761.91N/AN/A3891823,4355,487
2020-06-17$37.01$35.0064.7%18.6%66.0%50.9%65.3%11.5%-9.8%108.3K-2.6M-26.4K1.0273.87N/AN/A52533,6635,590
2020-06-18$37.16$35.0065.2%18.7%64.4%51.4%65.2%10.7%-4.7%119.9K-2.7M-27.1K0.6167.12N/AN/A33203,7025,609
2020-06-19$36.66$35.0060.4%17.3%64.9%47.1%58.9%7.6%-2.7%85.6K-2.6M-26.5K0.1670.00N/AN/A177283,7235,623
2020-06-22$36.41$35.0057.9%16.6%65.1%44.8%59.9%10.2%-3.0%84.9K-1.6M-23.6K0.6267.79N/AN/A126782,7913,234
2020-06-23$37.00$35.0057.0%16.3%61.2%44.0%58.4%13.0%-2.0%108.2K-1.9M-26.0K2.4745.03N/AN/A2796892,9063,229
2020-06-24$35.81$35.0057.2%16.4%62.6%44.2%57.3%7.6%-1.8%55.2K-773.0K-26.7K2.4258.65N/AN/A1724163,0303,719
2020-06-25$35.60$35.0056.6%16.2%62.1%43.6%51.9%14.6%-0.3%43.9K-513.1K-28.3K0.6357.63N/AN/A2361493,1253,974
2020-06-26$34.59$35.0056.9%16.3%62.1%43.9%60.4%9.7%-2.3%32.3K100.3K-27.1K2.4375.20N/AN/A30733,3504,019
2020-06-29$35.65$35.0058.1%16.6%58.0%45.0%62.5%9.8%-2.5%54.0K-450.2K-27.7K0.4445.55N/AN/A103453,3724,059
2020-06-30$35.36$35.0056.8%16.3%58.1%43.8%49.4%13.1%-3.1%49.7K-409.6K-26.9K0.4362.82N/AN/A56243,4274,067