NNN Options History — July 2020

In July 2020, NNN traded between $33.17 and $36.76. ATM implied volatility averaged 48.9%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 7.3% (HV 20d: 41.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.68.

Notable Days

  • 2020-07-15: Highest Volume — 582 contracts
  • 2020-07-14: Largest IV spike — 15.1% change
  • 2020-07-06: Highest IV Rank — 45.0%
  • 2020-07-01: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.05$33.17$36.76$36.72$35.19
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV48.9%42.8%58.2%56.0%45.7%
Expected Move13.8%12.3%16.0%16.0%13.1%
HV 20d41.6%35.2%49.5%49.5%39.9%
HV 60d59.4%56.5%69.1%69.1%56.9%
IV Rank36.7%31.2%45.0%43.1%33.8%
IV Percentile67.2%61.9%80.6%75.0%62.7%
Term Structure0.0%-3.8%3.3%-2.3%-0.3%
VWIV50.1%43.0%57.2%56.8%48.0%
Skew 25d8.3%3.3%14.9%14.9%5.5%
Skew 10d17.1%8.1%30.8%29.2%11.8%
Call IV 25d45.8%40.3%51.0%44.8%47.7%
Put IV 25d54.0%48.5%59.8%59.8%53.3%
Bid-Ask Spread %65.2028.2781.4365.8028.27
Gamma HHI0.300.230.460.440.32
Net GEX772-63.4K112.4K99.8K20.6K
Net DEX-104.0K-1.7M1.6M-1.6M-570.0K
Net VEX-22.7K-27.5K-19.6K-27.4K-24.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.065.542.330.45
Total Volume227.1826458270298
Total OI7,161.6365,6848,0677,5026,999

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$36.72$35.0056.0%16.0%49.5%43.1%56.8%14.9%-2.3%99.8K-1.6M-27.4K2.3365.80N/AN/A21493,4174,085
2020-07-02$36.76$35.0054.1%15.5%48.3%41.3%54.5%10.8%-2.2%112.4K-1.7M-27.5K2.5867.27N/AN/A481243,4204,082
2020-07-06$36.53$35.0058.2%14.7%44.1%45.0%52.7%8.0%0.5%102.9K-1.5M-26.3K1.6149.37N/AN/A2113393,4524,116
2020-07-07$34.62$35.0052.3%14.3%46.8%39.7%57.2%8.2%-1.4%1382.9K-23.4K2.2648.95N/AN/A461043,4624,162
2020-07-08$34.43$35.0053.3%14.6%44.2%40.6%53.4%4.4%0.8%-11.6K670.1K-23.4K0.6759.29N/AN/A42283,4764,250
2020-07-09$33.17$35.0050.1%13.9%43.6%37.8%56.0%12.9%3.3%-48.6K1.6M-22.1K3.1267.88N/AN/A411283,4864,270
2020-07-10$33.42$35.0050.1%13.6%38.7%37.8%49.5%10.8%2.1%-63.4K1.5M-21.9K0.3973.40N/AN/A46183,4974,341
2020-07-13$33.81$35.0047.3%14.5%38.0%35.2%55.5%11.8%0.2%-50.2K1.2M-22.0K5.5472.07N/AN/A372053,5324,343
2020-07-14$33.72$35.0054.4%14.0%35.2%41.7%49.3%7.0%1.6%-58.9K1.5M-21.8K0.8563.86N/AN/A81693,5424,449
2020-07-15$35.39$35.0052.4%15.0%39.4%39.9%53.9%8.0%-1.2%-29.8K132.2K-23.1K1.5162.65N/AN/A2323503,6124,455
2020-07-16$35.10$35.0049.8%14.3%39.3%37.5%54.9%9.0%0.2%-53.4K40.3K-21.7K2.6967.58N/AN/A26703,6234,408
2020-07-17$35.49$35.0047.1%13.5%39.5%35.1%48.1%9.1%0.4%-60.0K-667.6K-21.6K0.7257.16N/AN/A135973,6254,422
2020-07-20$34.72$35.0045.6%13.1%40.0%33.7%46.1%6.8%0.3%-4.9K196.9K-19.6K0.4070.87N/AN/A3351352,1793,505
2020-07-21$34.26$35.0044.9%12.9%40.1%33.1%44.8%4.7%0.3%13.2K-145.3K-20.1K2.4071.17N/AN/A751802,5033,490
2020-07-22$35.70$35.0046.8%13.4%42.6%34.8%48.1%10.0%-0.8%20.0K-790.4K-21.4K0.9965.66N/AN/A1671652,5363,667
2020-07-23$34.83$35.0043.0%12.3%41.9%31.3%46.0%7.2%1.6%7.1K-26.1K-21.5K1.2768.55N/AN/A37472,5903,712
2020-07-24$34.49$35.0042.9%12.3%42.0%31.3%44.4%5.9%0.0%-1.4K-4.1K-20.8K2.6671.79N/AN/A29772,5953,752
2020-07-27$34.95$35.0042.8%12.3%41.0%31.2%43.0%7.7%2.9%-5.2K-96.1K-21.0K3.5171.23N/AN/A632212,6163,782
2020-07-28$35.92$35.0044.7%12.8%40.8%32.9%44.0%6.3%-1.0%-5.1K-702.1K-21.1K0.6378.16N/AN/A62392,6463,996
2020-07-29$36.43$35.0048.1%13.8%40.9%35.9%46.1%9.3%-3.8%22.7K-1.2M-22.1K0.2481.43N/AN/A117282,6894,013
2020-07-30$35.43$35.0046.8%13.4%39.8%34.8%50.4%3.3%-1.1%10.9K-497.1K-24.9K0.0671.98N/AN/A355212,7414,018
2020-07-31$35.19$35.0045.7%13.1%39.9%33.8%48.0%5.5%-0.3%20.6K-570.0K-24.2K0.4528.27N/AN/A206922,9724,027