NNN Options History — September 2020

In September 2020, NNN traded between $33.66 and $38.66. ATM implied volatility averaged 39.3%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 6.5% (HV 20d: 32.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.31.

Notable Days

  • 2020-09-18: Highest Volume — 1,234 contracts
  • 2020-09-10: Largest IV drop — 25.3% change
  • 2020-09-04: Highest IV Rank — 35.6%
  • 2020-09-08: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.30$33.66$38.66$35.56$34.31
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV39.3%33.4%47.7%39.6%37.9%
Expected Move11.2%9.6%13.1%11.4%10.9%
HV 20d32.7%27.8%37.7%29.2%37.6%
HV 60d34.8%33.1%38.2%38.2%34.3%
IV Rank28.0%22.7%35.6%28.4%26.8%
IV Percentile51.2%46.0%64.7%53.2%46.0%
Term Structure1.3%-3.9%3.1%3.1%2.2%
VWIV39.7%34.9%45.1%40.1%38.3%
Skew 25d6.5%2.2%10.1%8.7%3.4%
Skew 10d13.7%2.0%25.0%15.3%3.5%
Call IV 25d37.0%28.9%41.7%36.7%40.8%
Put IV 25d43.5%37.4%49.4%45.3%44.1%
Bid-Ask Spread %66.4151.9582.3182.3171.40
Gamma HHI0.500.340.760.390.41
Net GEX143.2K25.6K313.3K88.8K34.3K
Net DEX-4.2M-9.0M-118.1K-2.2M-546.6K
Net VEX-23.8K-28.1K-21.1K-27.1K-22.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.310.1015.753.872.68
Total Volume273.048441,234190390
Total OI7,901.5245,2469,4599,0285,975

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$35.56$35.0039.6%11.4%29.2%28.4%40.1%8.7%3.1%88.8K-2.2M-27.1K3.8782.31N/AN/A391514,2134,815
2020-09-02$36.20$35.0042.2%12.1%30.0%30.6%41.6%9.8%1.5%100.6K-3.0M-28.0K1.1481.05N/AN/A22254,1984,923
2020-09-03$36.92$35.0044.8%12.3%30.7%33.0%41.7%6.2%1.6%128.7K-4.5M-27.6K0.5061.91N/AN/A144724,2464,945
2020-09-04$37.47$35.0047.7%12.8%30.9%35.6%43.4%7.5%0.1%161.2K-5.5M-28.1K1.4056.37N/AN/A58814,3814,985
2020-09-08$37.16$35.0045.2%13.1%30.5%33.4%45.1%8.0%-1.8%146.8K-5.4M-26.1K3.0357.54N/AN/A331004,4065,033
2020-09-09$37.44$35.0044.8%12.8%30.6%33.0%38.2%8.0%-2.0%166.7K-5.6M-25.7K5.7360.73N/AN/A1619224,4095,050
2020-09-10$37.46$35.0033.4%9.6%30.6%22.7%38.2%6.0%-3.9%254.4K-6.9M-23.7K2.0975.89N/AN/A581214,5384,424
2020-09-11$36.99$35.0041.5%11.9%29.6%30.0%41.8%7.4%1.2%234.2K-6.0M-23.8K15.7557.42N/AN/A4634,5364,497
2020-09-14$38.38$35.0035.8%10.3%32.1%24.9%36.3%10.1%2.4%270.1K-8.3M-22.0K0.2960.34N/AN/A148434,5364,528
2020-09-15$38.50$35.0034.4%9.9%31.6%23.7%34.9%3.6%2.5%305.5K-8.5M-21.8K0.1671.35N/AN/A195324,6184,532
2020-09-16$38.66$35.0034.4%9.9%31.2%23.6%35.3%10.0%2.9%313.3K-9.0M-22.4K0.6972.02N/AN/A26184,7314,536
2020-09-17$38.24$35.0035.1%10.1%27.8%24.3%40.0%9.0%2.2%223.4K-8.4M-21.5K0.3958.26N/AN/A132514,7444,535
2020-09-18$37.40$35.0037.4%10.7%29.1%26.3%35.8%5.0%2.6%137.5K-7.5M-21.1K0.1081.06N/AN/A1,1171174,8494,567
2020-09-21$35.06$35.0038.9%11.2%37.5%27.7%39.5%5.2%1.5%132.3K-2.2M-22.3K5.3973.05N/AN/A663563,4951,751
2020-09-22$34.68$35.0039.1%11.2%35.6%27.9%39.6%4.0%0.9%90.3K-1.3M-22.8K0.9077.68N/AN/A1401263,5202,103
2020-09-23$33.66$35.0038.7%11.1%37.0%27.5%41.7%3.4%1.8%35.2K-118.1K-22.9K0.2660.03N/AN/A184483,5612,316
2020-09-24$33.91$35.0038.6%11.1%36.4%27.4%41.9%2.2%2.2%34.8K-197.2K-22.7K0.5063.97N/AN/A109553,4742,354
2020-09-25$34.00$35.0037.7%10.8%34.2%26.6%43.9%4.2%2.7%25.6K-281.1K-22.9K0.4451.95N/AN/A39173,4542,364
2020-09-28$35.44$35.0038.8%11.1%37.7%27.6%37.7%8.6%1.9%70.5K-1.7M-23.4K0.1665.06N/AN/A148233,4642,380
2020-09-29$34.77$35.0038.1%10.9%37.4%27.0%38.3%7.0%1.2%52.7K-986.8K-22.7K3.0055.16N/AN/A25753,5742,372
2020-09-30$34.31$35.0037.9%10.9%37.6%26.8%38.3%3.4%2.2%34.3K-546.6K-22.0K2.6871.40N/AN/A1062843,5632,412