NNN Options History — January 2021

In January 2021, NNN traded between $38.66 and $40.93. ATM implied volatility averaged 30.3%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 6.2% (HV 20d: 24.0%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.19.

Notable Days

  • 2021-01-25: Highest Volume — 1,102 contracts
  • 2021-01-11: Largest IV spike — 21.8% change
  • 2021-01-04: Highest IV Rank — 21.3%
  • 2021-01-27: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.66$38.66$40.93$39.51$38.90
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV30.3%27.0%35.5%31.8%33.9%
Expected Move8.8%7.9%10.2%9.2%9.7%
HV 20d24.0%21.8%26.4%26.4%26.1%
HV 60d43.8%42.8%44.3%44.3%43.1%
IV Rank16.8%12.8%21.3%21.3%18.9%
IV Percentile17.9%11.1%32.9%21.0%27.4%
Term Structure0.5%-2.7%2.2%0.5%-0.5%
VWIV31.4%27.3%36.1%35.8%34.1%
Skew 25d10.0%3.5%45.9%5.7%4.0%
Skew 10d20.1%4.4%88.0%14.8%4.4%
Call IV 25d29.0%20.9%35.6%30.2%35.6%
Put IV 25d39.0%32.0%77.2%35.9%39.6%
Bid-Ask Spread %68.8131.5788.6657.5781.59
Gamma HHI0.300.270.360.300.28
Net GEX24.5K-62.8K176.6K-6.4K78.2K
Net DEX-768.6K-3.3M1.4M-457.6K-654.2K
Net VEX-24.5K-29.8K-22.4K-24.9K-29.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.044.102.130.75
Total Volume272.526851,102172222
Total OI5,873.2635,3086,5205,5326,520

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$39.51$40.0031.8%9.2%26.4%21.3%35.8%5.7%0.5%-6.4K-457.6K-24.9K2.1357.57N/AN/A551173,1632,369
2021-01-05$39.25$40.0029.9%8.9%23.8%19.6%33.2%4.7%1.3%-26.8K-32.8K-24.5K0.2963.09N/AN/A160473,1912,428
2021-01-06$39.66$40.0028.4%8.8%23.1%17.1%31.3%4.7%0.7%-37.3K-373.1K-24.2K1.3674.90N/AN/A36493,1652,469
2021-01-07$39.65$40.0028.0%8.7%23.0%16.7%33.2%5.9%1.1%-45.4K-378.0K-23.7K1.5359.18N/AN/A1051613,1762,473
2021-01-08$40.07$40.0027.0%8.6%23.1%15.5%30.5%5.1%0.9%-50.9K-1.2M-24.9K1.1466.78N/AN/A1041193,2072,514
2021-01-11$39.03$40.0032.9%8.9%25.1%20.1%32.8%4.6%0.9%-62.8K359.3K-23.4K0.8564.76N/AN/A2041733,2442,559
2021-01-12$38.66$40.0028.7%8.9%24.7%16.3%33.2%3.7%1.2%-57.2K1.0M-22.8K4.1071.14N/AN/A421723,2852,677
2021-01-13$38.86$40.0029.9%8.6%24.8%17.3%30.5%4.2%0.8%-41.6K1.4M-22.9K3.1249.62N/AN/A1043243,3002,822
2021-01-14$39.10$40.0030.9%8.9%24.6%16.4%31.2%9.7%-0.1%-44.8K1.1M-23.4K1.0131.57N/AN/A72733,3292,933
2021-01-15$39.32$40.0028.7%8.2%24.7%14.2%28.8%9.7%2.0%9.1K963.1K-23.3K0.8079.70N/AN/A1601283,3752,948
2021-01-19$39.34$40.0029.1%8.3%24.2%14.4%29.3%9.3%1.2%-1.2K-596.8K-22.4K0.3533.81N/AN/A172612,8542,454
2021-01-20$40.11$40.0028.1%8.1%24.9%13.4%28.4%3.5%1.7%46.0K-1.6M-23.3K0.4284.27N/AN/A138582,9382,495
2021-01-21$40.06$40.0027.5%7.9%24.7%12.8%27.3%11.5%2.2%74.4K-1.7M-23.7K0.2582.82N/AN/A135343,0392,519
2021-01-22$40.16$40.0027.5%7.9%21.8%12.8%27.5%24.8%1.5%88.1K-1.9M-23.1K0.2677.26N/AN/A81213,1262,534
2021-01-25$40.87$40.0032.0%9.2%22.3%17.1%31.6%45.9%-1.1%129.2K-2.9M-24.7K0.1274.87N/AN/A9881143,1682,551
2021-01-26$40.93$40.0031.6%9.1%22.1%16.7%31.4%21.0%-0.9%176.6K-3.3M-25.3K0.3683.44N/AN/A131473,5672,559
2021-01-27$39.81$40.0035.5%10.2%24.1%20.4%36.1%5.0%-2.7%96.8K-1.9M-26.3K3.7588.66N/AN/A652443,6432,584
2021-01-28$40.24$40.0033.5%9.6%23.4%18.5%30.7%8.0%-1.1%140.8K-2.5M-29.8K0.0482.33N/AN/A251113,6252,789
2021-01-29$38.90$40.0033.9%9.7%26.1%18.9%34.1%4.0%-0.5%78.2K-654.2K-29.1K0.7581.59N/AN/A127953,7272,793