NNN Options History — October 2020

In October 2020, NNN traded between $31.94 and $36.68. ATM implied volatility averaged 39.0%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 4.7% (HV 20d: 34.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 3.09.

Notable Days

  • 2020-10-16: Highest Volume — 539 contracts
  • 2020-10-30: Largest IV spike — 17.0% change
  • 2020-10-30: Highest IV Rank — 36.1%
  • 2020-10-30: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.74$31.94$36.68$35.40$31.94
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV39.0%35.1%48.3%38.6%48.3%
Expected Move11.3%10.1%13.8%11.1%13.8%
HV 20d34.3%23.2%40.2%38.8%23.2%
HV 60d32.9%31.3%34.8%34.8%32.0%
IV Rank27.8%24.3%36.1%27.4%36.1%
IV Percentile46.7%37.3%65.5%47.2%65.5%
Term Structure1.2%-1.6%17.4%3.9%-0.5%
VWIV40.2%34.3%45.7%38.6%41.4%
Skew 25d6.0%3.1%8.9%8.9%7.0%
Skew 10d13.0%1.4%28.8%16.5%20.9%
Call IV 25d37.9%35.0%43.0%38.3%43.0%
Put IV 25d43.9%39.9%50.0%47.2%50.0%
Bid-Ask Spread %69.5852.2479.4654.4352.24
Gamma HHI0.360.310.530.430.33
Net GEX29.5K-232.8K114.1K56.0K819
Net DEX-817.4K-3.0M1.7M-1.6M1.7M
Net VEX-19.8K-24.7K-16.7K-23.6K-17.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.090.3017.892.890.31
Total Volume161.557539140113
Total OI6,251.3645,5166,7376,2196,274

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$35.40$35.0038.6%11.1%38.8%27.4%38.6%8.9%3.9%56.0K-1.6M-23.6K2.8954.43N/AN/A361043,5632,656
2020-10-02$36.58$35.0039.7%11.4%40.0%28.4%40.1%5.7%2.7%109.3K-3.0M-24.7K2.4373.09N/AN/A23563,5422,677
2020-10-05$36.68$35.0042.6%12.4%39.6%31.0%40.2%7.0%-0.7%109.3K-2.9M-22.7K0.3072.66N/AN/A61183,5602,656
2020-10-06$36.34$35.0042.3%12.4%39.6%30.7%44.0%6.6%-0.1%86.2K-2.8M-23.1K1.6868.75N/AN/A44743,5682,675
2020-10-07$35.76$35.0039.0%12.0%39.8%27.8%45.7%7.1%-0.5%36.3K-2.1M-22.4K0.3973.66N/AN/A173673,5932,754
2020-10-08$36.22$35.0039.0%12.0%40.2%27.7%42.1%7.7%-0.9%48.5K-2.5M-21.9K1.0076.84N/AN/A53533,5412,817
2020-10-09$35.83$35.0036.8%11.5%40.1%25.7%40.6%6.0%-0.6%13.8K-2.1M-21.3K2.1775.54N/AN/A18393,5532,854
2020-10-12$36.08$35.0042.3%11.4%37.7%30.7%41.0%7.8%-0.6%22.2K-2.5M-20.4K12.3379.46N/AN/A91113,5662,852
2020-10-13$35.33$35.0041.7%11.2%38.1%30.2%41.3%5.6%-0.0%-71.6K-1.3M-20.0K17.8967.96N/AN/A91613,5692,941
2020-10-14$34.68$35.0039.8%11.4%38.3%28.4%42.9%5.9%-0.6%-118.1K-141.6K-19.4K4.5666.90N/AN/A18823,5733,073
2020-10-15$34.82$35.0038.3%11.0%38.4%27.1%41.6%6.7%2.5%-232.8K-241.4K-18.7K2.3071.03N/AN/A40923,5793,101
2020-10-16$34.36$35.0037.1%10.6%38.0%26.0%37.3%5.1%0.0%90.1K1.3M-17.3K4.8074.27N/AN/A934463,5853,152
2020-10-19$33.72$35.0036.5%10.5%31.2%25.5%36.2%3.3%1.1%47.0K16.7K-16.7K1.2962.90N/AN/A2012592,9622,554
2020-10-20$33.90$35.0035.2%10.1%31.1%24.4%35.4%5.2%1.3%49.7K86.8K-17.8K0.8574.00N/AN/A95813,1142,776
2020-10-21$34.25$35.0035.1%10.1%29.4%24.3%35.5%5.2%1.5%67.9K-279.3K-18.6K1.0571.54N/AN/A43453,1612,837
2020-10-22$34.67$35.0035.4%10.1%29.6%24.5%34.3%5.7%2.4%87.4K-758.3K-18.9K1.6663.21N/AN/A671113,1782,864
2020-10-23$35.12$35.0035.9%10.3%29.9%24.9%37.0%5.3%0.8%114.1K-1.5M-19.1K1.8773.52N/AN/A46863,1992,810
2020-10-26$34.27$35.0038.5%11.0%27.3%27.3%43.2%6.2%-0.4%75.8K-498.6K-18.1K3.0971.64N/AN/A341053,2382,820
2020-10-27$33.31$35.0039.6%11.4%28.2%28.3%40.6%3.3%-1.6%32.4K611.4K-17.6K0.3472.97N/AN/A125423,2732,912
2020-10-28$32.46$35.0035.7%10.2%29.2%24.8%41.5%3.1%17.4%-5.5K1.5M-16.7K1.7173.20N/AN/A41703,3322,943
2020-10-29$32.59$35.0041.3%11.8%26.5%29.8%44.1%8.3%-1.1%31.1K960.4K-18.6K3.0460.88N/AN/A27823,3352,948
2020-10-30$31.94$35.0048.3%13.8%23.2%36.1%41.4%7.0%-0.5%8191.7M-17.4K0.3152.24N/AN/A86273,3362,938