NNN Options History — November 2020

In November 2020, NNN traded between $33.15 and $41.65. ATM implied volatility averaged 35.6%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 21.6% (HV 20d: 57.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.18.

Notable Days

  • 2020-11-20: Highest Volume — 1,641 contracts
  • 2020-11-09: Largest IV spike — 28.0% change
  • 2020-11-03: Highest IV Rank — 29.6%
  • 2020-11-03: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.18$33.15$41.65$33.15$37.94
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV35.6%31.3%41.0%40.8%31.8%
Expected Move10.1%9.1%11.8%11.7%9.1%
HV 20d57.2%27.8%69.2%27.8%67.6%
HV 60d43.6%32.8%48.0%32.9%47.6%
IV Rank24.7%20.8%29.6%29.4%21.3%
IV Percentile35.0%25.8%51.2%50.8%25.8%
Term Structure0.3%-2.2%3.7%-0.1%0.5%
VWIV37.2%30.7%43.7%43.4%34.9%
Skew 25d7.0%4.2%12.6%11.2%5.5%
Skew 10d15.8%3.2%32.0%23.0%18.5%
Call IV 25d33.5%24.0%38.9%38.9%32.2%
Put IV 25d40.5%36.6%50.1%50.1%37.7%
Bid-Ask Spread %49.6025.6977.3760.0648.20
Gamma HHI0.500.320.800.320.38
Net GEX291.1K56.9K647.7K56.9K244.2K
Net DEX-6.4M-12.3M574.3K494.7K-4.5M
Net VEX-19.1K-23.2K-15.9K-18.4K-22.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.044.381.361.02
Total Volume365.75861,641111283
Total OI6,825.555,8867,7426,2276,908

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$33.15$35.0040.8%11.7%27.8%29.4%43.4%11.2%-0.1%56.9K494.7K-18.4K1.3660.06N/AN/A47643,2822,945
2020-11-03$33.69$35.0041.0%11.8%28.7%29.6%43.7%11.6%-0.7%82.0K-73.7K-18.3K0.8174.81N/AN/A48393,2822,945
2020-11-04$33.17$35.0037.7%10.8%28.7%26.6%42.5%7.4%-2.2%64.1K574.3K-16.9K4.3877.37N/AN/A16703,3402,978
2020-11-05$33.55$35.0033.5%9.9%28.6%22.8%37.1%6.7%1.3%97.6K263.6K-16.4K0.6749.69N/AN/A146983,3342,983
2020-11-06$33.37$35.0031.3%9.5%28.5%20.8%33.2%4.2%3.7%98.3K472.3K-15.9K0.7943.75N/AN/A62493,3853,006
2020-11-09$38.91$35.0040.0%9.8%62.7%28.7%35.5%5.6%0.8%214.6K-7.3M-17.2K0.2459.21N/AN/A1,0292523,4173,016
2020-11-10$40.84$35.0039.4%10.4%63.9%28.2%36.1%7.6%-0.1%311.8K-10.7M-18.1K0.1648.73N/AN/A419664,0052,912
2020-11-11$39.67$35.0035.5%10.2%64.5%24.6%38.8%7.5%0.4%348.7K-9.3M-19.2K1.7447.51N/AN/A1011764,1862,897
2020-11-12$38.42$35.0035.4%10.2%66.0%24.6%39.8%7.3%0.5%328.2K-7.7M-19.6K0.5170.92N/AN/A101514,1943,016
2020-11-13$39.79$35.0034.9%10.0%66.5%24.1%37.6%5.3%2.5%360.0K-9.6M-18.7K0.6248.84N/AN/A90564,2523,010
2020-11-16$41.65$35.0037.1%10.6%67.0%26.1%33.5%5.1%0.3%326.2K-12.3M-17.4K0.1747.65N/AN/A556964,3213,029
2020-11-17$41.08$35.0036.2%10.4%67.6%25.2%37.4%4.8%0.6%382.1K-11.5M-19.8K2.6728.14N/AN/A36964,5243,016
2020-11-18$39.87$35.0035.2%10.1%69.0%24.4%38.3%4.4%0.6%493.5K-9.6M-20.3K1.9345.15N/AN/A581124,5353,079
2020-11-19$40.01$35.0036.6%10.5%69.0%25.6%39.6%7.6%-1.4%634.3K-9.5M-20.4K2.2125.69N/AN/A42934,5263,133
2020-11-20$39.64$35.0035.1%10.1%69.2%24.2%40.7%4.3%-1.0%647.7K-8.5M-19.1K0.0431.56N/AN/A1,581604,5343,208
2020-11-23$40.03$35.0034.1%9.8%68.3%23.3%35.1%4.9%0.2%265.0K-7.5M-19.6K0.1547.82N/AN/A355543,6592,227
2020-11-24$40.26$35.0033.1%9.5%66.9%22.4%30.7%7.8%0.1%287.0K-7.9M-20.6K0.1149.32N/AN/A413443,9002,249
2020-11-25$39.90$35.0031.8%9.1%66.0%21.3%32.4%12.6%0.6%314.8K-7.6M-20.9K2.8542.74N/AN/A591684,1782,291
2020-11-27$38.60$35.0031.9%9.1%67.8%21.4%33.6%8.5%0.7%265.1K-5.6M-23.2K1.0844.75N/AN/A1101194,2002,609
2020-11-30$37.94$35.0031.8%9.1%67.6%21.3%34.9%5.5%0.5%244.2K-4.5M-22.1K1.0248.20N/AN/A1401434,2072,701