NNN Options History — December 2020

In December 2020, NNN traded between $38.24 and $41.94. ATM implied volatility averaged 31.8%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 4.3% (HV 20d: 36.0%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2020-12-17: Highest Volume — 503 contracts
  • 2020-12-30: Largest IV drop — 7.9% change
  • 2020-12-11: Highest IV Rank — 22.9%
  • 2020-12-08: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.17$38.24$41.94$38.24$41.02
Max Pain$39.55$35.00$40.00$35.00$40.00
ATM IV31.8%28.8%33.6%31.1%29.8%
Expected Move9.2%8.3%9.8%8.9%8.5%
HV 20d36.0%22.1%67.4%66.8%22.6%
HV 60d45.9%43.7%48.1%47.5%43.7%
IV Rank21.2%18.6%22.9%20.6%19.5%
IV Percentile23.1%16.3%27.8%24.2%16.7%
Term Structure1.4%0.6%2.6%1.4%1.7%
VWIV32.6%27.5%37.5%37.5%29.9%
Skew 25d6.1%2.5%13.1%6.0%12.3%
Skew 10d12.3%4.2%23.7%14.0%23.5%
Call IV 25d29.8%20.1%32.2%30.9%21.7%
Put IV 25d35.9%31.3%38.7%36.8%34.0%
Bid-Ask Spread %70.7442.7482.7355.3149.17
Gamma HHI0.540.350.800.400.42
Net GEX274.4K62.2K1.1M245.5K82.3K
Net DEX-5.4M-9.2M-1.4M-4.8M-2.7M
Net VEX-24.2K-27.2K-22.4K-22.7K-27.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.093.111.981.59
Total Volume234.77357503131150
Total OI6,637.1364,1978,1677,0845,481

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$38.24$35.0031.1%8.9%66.8%20.6%37.5%6.0%1.4%245.5K-4.8M-22.7K1.9855.31N/AN/A44874,2602,824
2020-12-02$38.31$35.0031.9%9.2%66.7%21.4%32.9%7.3%0.6%251.2K-4.8M-22.6K0.4142.74N/AN/A134554,2812,862
2020-12-03$38.91$40.0029.7%9.5%66.3%19.4%34.3%5.3%1.5%276.1K-5.7M-22.9K0.1476.42N/AN/A224324,3612,914
2020-12-04$40.16$40.0031.4%9.5%66.8%20.9%33.4%5.8%0.8%307.2K-7.8M-23.9K3.1174.97N/AN/A371154,4562,946
2020-12-07$39.37$40.0031.1%9.7%67.4%20.6%34.0%4.2%0.8%288.1K-6.5M-23.5K0.8278.82N/AN/A55454,4963,041
2020-12-08$39.18$40.0032.0%9.8%40.0%21.5%34.7%5.3%0.7%279.5K-6.2M-23.0K0.8273.96N/AN/A57474,5143,079
2020-12-09$39.45$40.0033.4%9.6%35.8%22.7%32.9%5.4%1.3%285.0K-6.4M-23.0K1.8682.42N/AN/A50934,5063,116
2020-12-10$39.47$40.0033.3%9.6%34.4%22.7%37.1%6.1%1.2%291.1K-6.5M-23.3K2.1171.62N/AN/A19404,5363,199
2020-12-11$40.01$40.0033.6%9.6%32.5%22.9%33.7%6.9%1.0%315.6K-7.4M-23.5K0.3074.38N/AN/A44134,5463,233
2020-12-14$39.89$40.0033.3%9.6%30.1%22.7%33.9%6.5%1.2%365.8K-7.2M-22.5K0.7775.54N/AN/A1621244,5653,243
2020-12-15$40.27$40.0033.1%9.5%25.2%22.5%33.1%6.5%1.8%395.0K-7.8M-22.7K0.2478.94N/AN/A103254,5623,301
2020-12-16$40.26$40.0032.5%9.3%24.8%21.9%32.0%5.7%1.4%469.9K-7.9M-22.4K0.0980.51N/AN/A226204,5683,316
2020-12-17$40.78$40.0032.3%9.2%22.7%21.7%31.6%4.9%1.8%425.4K-9.2M-22.9K0.2774.40N/AN/A3961074,6593,310
2020-12-18$40.21$40.0031.2%8.9%23.3%20.7%29.7%5.6%1.4%1.1M-8.5M-23.4K0.1572.08N/AN/A424634,7833,384
2020-12-21$39.88$40.0032.0%9.2%23.3%21.5%32.2%5.1%1.8%62.2K-1.4M-23.8K1.2170.10N/AN/A1551882,3701,827
2020-12-22$41.15$40.0032.0%9.2%25.6%21.5%32.1%6.3%1.6%84.3K-2.5M-25.3K0.3957.98N/AN/A3431352,4741,992
2020-12-23$41.67$40.0032.8%9.4%25.9%22.2%31.9%5.4%1.8%112.4K-3.2M-26.4K0.4082.73N/AN/A210852,6891,986
2020-12-24$41.94$40.0031.3%9.0%25.6%20.8%31.3%4.4%1.3%125.6K-3.4M-27.0K0.2680.51N/AN/A110292,8002,050
2020-12-28$41.74$40.0030.7%8.8%22.1%20.3%29.8%2.5%2.4%129.6K-3.4M-26.0K1.3663.76N/AN/A1371862,9062,052
2020-12-29$40.86$40.0031.3%9.0%22.7%20.8%31.8%3.9%1.3%74.1K-2.3M-26.6K1.7771.20N/AN/A931653,0282,169
2020-12-30$40.97$40.0028.8%8.3%22.6%18.6%27.5%13.1%2.6%65.2K-2.3M-27.2K0.3768.69N/AN/A247913,0402,292
2020-12-31$41.02$40.0029.8%8.5%22.6%19.5%29.9%12.3%1.7%82.3K-2.7M-27.2K1.5949.17N/AN/A58923,1572,324