NNN Options History — August 2020

In August 2020, NNN traded between $34.78 and $36.90. ATM implied volatility averaged 41.4%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 9.4% (HV 20d: 32.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.08.

Notable Days

  • 2020-08-25: Highest Volume — 1,837 contracts
  • 2020-08-10: Largest IV spike — 13.5% change
  • 2020-08-10: Highest IV Rank — 34.8%
  • 2020-08-05: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.91$34.78$36.90$34.84$35.51
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV41.4%37.7%46.8%44.7%39.3%
Expected Move11.8%10.8%13.0%12.8%11.3%
HV 20d32.0%28.9%39.9%39.9%31.6%
HV 60d47.6%38.4%56.8%56.8%38.4%
IV Rank30.0%26.6%34.8%32.9%28.1%
IV Percentile56.9%52.4%63.1%61.5%53.2%
Term Structure1.4%-1.4%3.8%1.9%2.4%
VWIV41.1%37.3%46.8%46.8%39.4%
Skew 25d7.5%5.3%12.1%6.3%8.1%
Skew 10d13.3%5.0%23.3%10.1%14.4%
Call IV 25d38.5%34.2%45.3%45.3%37.1%
Put IV 25d46.0%43.0%51.6%51.6%45.2%
Bid-Ask Spread %77.4145.6088.8473.2573.15
Gamma HHI0.410.290.760.290.37
Net GEX7.6K-797.8K128.8K7.6K96.7K
Net DEX-1.9M-3.4M60.0K-268.9K-2.2M
Net VEX-23.3K-28.2K-19.2K-23.6K-27.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.1518.941.871.30
Total Volume276.857521,837192161
Total OI7,661.5246,4048,9457,0208,945

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$34.84$35.0044.7%12.8%39.9%32.9%46.8%6.3%1.9%7.6K-268.9K-23.6K1.8773.25N/AN/A671253,0513,969
2020-08-04$36.00$35.0045.1%12.9%36.9%33.2%46.5%6.3%1.3%43.8K-1.6M-23.5K0.6774.37N/AN/A128863,0733,907
2020-08-05$36.05$35.0045.2%13.0%36.8%33.4%46.6%9.4%0.8%57.2K-1.6M-24.1K0.6066.57N/AN/A35213,1763,931
2020-08-06$35.88$35.0044.3%12.5%33.8%32.6%45.5%5.5%0.2%55.8K-1.7M-23.6K3.3387.14N/AN/A12403,1973,944
2020-08-07$36.28$35.0041.3%12.0%33.9%29.8%42.3%7.2%2.5%59.8K-2.0M-23.1K0.4579.56N/AN/A86393,2013,989
2020-08-10$36.89$35.0046.8%12.7%34.1%34.8%41.0%8.1%0.1%91.0K-2.7M-22.8K0.1581.09N/AN/A263393,2563,991
2020-08-11$36.79$35.0045.3%12.9%34.1%33.5%40.4%8.1%-1.4%117.5K-3.0M-22.8K0.4184.70N/AN/A3081263,4624,034
2020-08-12$36.90$35.0042.4%12.2%29.9%30.8%40.9%7.6%1.5%110.5K-2.8M-23.5K0.3581.22N/AN/A94333,5054,110
2020-08-13$36.03$35.0040.6%11.6%31.1%29.2%40.3%5.5%2.2%47.4K-2.0M-22.9K1.6784.80N/AN/A39653,5934,131
2020-08-14$35.83$35.0040.7%11.7%30.9%29.3%38.3%7.8%1.6%14.6K-1.7M-22.6K0.7283.71N/AN/A81583,5794,160
2020-08-17$36.48$35.0040.9%11.7%30.3%29.5%44.7%8.0%1.6%47.8K-2.6M-22.0K2.8284.05N/AN/A17483,6314,161
2020-08-18$36.12$35.0041.2%11.8%30.1%29.8%42.0%7.0%2.0%-1.4K-2.3M-21.6K2.3477.47N/AN/A35823,6304,160
2020-08-19$34.78$35.0038.5%11.0%29.8%27.3%39.2%5.7%3.8%-148.9K-218.4K-20.1K1.2669.03N/AN/A1632063,6454,207
2020-08-20$35.28$35.0040.1%11.5%28.9%28.7%37.7%5.3%3.0%-212.2K-1.2M-20.7K1.3545.60N/AN/A23313,6654,302
2020-08-21$34.90$35.0038.4%11.0%29.0%27.3%38.8%6.5%0.3%-797.8K60.0K-19.2K3.0684.76N/AN/A1133463,6734,323
2020-08-24$36.07$35.0038.6%11.1%30.9%27.4%38.5%8.2%1.1%116.9K-2.0M-21.0K0.4188.84N/AN/A3101272,9973,407
2020-08-25$35.88$35.0039.1%11.2%29.4%27.9%39.1%8.5%0.7%128.8K-2.1M-21.9K1.0575.55N/AN/A8949433,2303,525
2020-08-26$35.05$35.0037.7%10.8%30.0%26.6%40.7%9.8%2.0%102.3K-1.5M-26.4K18.9476.97N/AN/A173224,0734,421
2020-08-27$36.18$35.0039.7%11.4%30.6%28.4%37.3%12.1%1.0%101.8K-2.8M-28.2K0.2975.80N/AN/A66194,0744,713
2020-08-28$36.35$35.0039.8%11.4%30.5%28.5%37.3%7.0%1.4%121.1K-3.4M-27.9K0.6878.04N/AN/A87594,1284,723
2020-08-31$35.51$35.0039.3%11.3%31.6%28.1%39.4%8.1%2.4%96.7K-2.2M-27.2K1.3073.15N/AN/A70914,2034,742