NNN Options History — February 2021

In February 2021, NNN traded between $39.93 and $45.51. ATM implied volatility averaged 30.5%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.5% (HV 20d: 26.1%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.57.

Notable Days

  • 2021-02-24: Highest Volume — 2,182 contracts
  • 2021-02-12: Largest IV spike — 24.8% change
  • 2021-02-01: Highest IV Rank — 19.1%
  • 2021-02-01: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.20$39.93$45.51$39.93$44.20
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV30.5%25.1%34.1%34.1%30.6%
Expected Move8.7%7.2%9.8%9.8%8.8%
HV 20d26.1%23.0%30.0%28.0%30.0%
HV 60d29.5%23.9%43.3%43.3%25.4%
IV Rank14.1%5.9%19.1%19.1%5.9%
IV Percentile13.9%2.8%27.8%27.8%8.7%
Term Structure0.7%-1.1%4.0%0.0%0.9%
VWIV30.3%25.9%34.4%34.4%30.8%
Skew 25d7.4%3.4%14.6%13.0%9.1%
Skew 10d16.8%7.7%23.6%20.9%23.1%
Call IV 25d26.6%20.1%32.0%25.5%26.0%
Put IV 25d34.0%28.9%38.6%38.5%35.1%
Bid-Ask Spread %58.4528.3585.2585.2581.21
Gamma HHI0.440.310.660.310.43
Net GEX331.6K106.7K595.8K106.7K580.4K
Net DEX-7.6M-15.0M-1.6M-1.6M-13.2M
Net VEX-41.8K-73.2K-29.2K-29.2K-71.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.093.763.760.15
Total Volume710.6841032,182424313
Total OI8,945.4746,62612,1486,62612,148

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$39.93$40.0034.1%9.8%28.0%19.1%34.4%13.0%0.0%106.7K-1.6M-29.2K3.7685.25N/AN/A893353,7532,873
2021-02-02$40.44$40.0032.8%9.4%24.9%17.9%33.2%14.6%-1.1%161.6K-2.4M-30.1K0.1383.37N/AN/A91123,8482,927
2021-02-03$40.40$40.0031.2%8.9%24.8%16.3%31.2%12.5%0.6%174.8K-2.5M-29.6K0.9480.51N/AN/A6395983,8882,906
2021-02-04$40.88$40.0029.0%8.7%24.8%14.2%30.5%6.1%1.1%199.7K-3.5M-34.0K0.1354.60N/AN/A240314,3293,398
2021-02-05$40.45$40.0028.2%8.8%25.2%13.5%31.0%7.2%0.8%195.8K-3.1M-33.8K0.4459.27N/AN/A151664,4943,388
2021-02-08$40.76$40.0033.8%8.9%25.1%18.8%30.9%6.8%0.8%208.5K-3.5M-32.9K0.2060.25N/AN/A345704,5143,412
2021-02-09$41.02$40.0033.4%8.7%23.0%18.4%32.8%7.5%1.0%232.9K-4.1M-34.3K0.4628.35N/AN/A112524,7413,458
2021-02-10$41.97$40.0031.0%8.9%23.6%16.1%29.4%4.2%0.9%320.3K-6.6M-34.7K0.0958.81N/AN/A486454,8253,437
2021-02-11$42.58$40.0025.1%7.2%23.9%10.5%28.0%5.0%4.0%403.7K-8.3M-33.7K0.9170.06N/AN/A1731585,2283,435
2021-02-12$42.34$40.0031.3%9.0%24.2%16.4%28.4%3.4%-0.0%373.8K-8.1M-36.3K0.3054.19N/AN/A3811155,3683,433
2021-02-16$41.77$40.0030.7%8.8%24.9%15.9%30.0%4.5%1.9%303.3K-7.2M-35.5K0.2430.15N/AN/A7301735,6753,531
2021-02-17$42.33$40.0032.1%9.2%25.2%17.1%27.4%5.3%0.5%339.1K-9.1M-42.0K0.2344.42N/AN/A249576,2563,632
2021-02-18$41.78$40.0031.5%9.0%25.1%15.9%33.2%6.1%0.2%255.9K-8.1M-42.1K1.4034.26N/AN/A2203076,3353,637
2021-02-19$42.24$40.0031.7%9.1%25.3%16.0%30.7%5.3%-0.2%293.6K-9.5M-43.1K0.8170.07N/AN/A4933996,5133,803
2021-02-22$43.76$40.0026.4%7.6%27.8%9.9%26.6%8.8%0.9%410.9K-9.9M-48.9K0.1056.71N/AN/A1,0461095,3993,403
2021-02-23$45.33$40.0026.7%7.7%29.6%9.2%25.9%11.7%1.0%588.8K-14.7M-51.6K0.2735.70N/AN/A1,6844506,1103,404
2021-02-24$45.51$40.0029.1%8.4%29.6%6.8%29.0%4.3%-0.7%595.8K-15.0M-58.0K0.1457.93N/AN/A1,9182646,9873,489
2021-02-25$44.13$40.0031.7%9.1%30.0%9.4%32.2%5.2%0.8%554.5K-13.2M-73.2K0.2065.44N/AN/A7541488,4243,563
2021-02-26$44.20$40.0030.6%8.8%30.0%5.9%30.8%9.1%0.9%580.4K-13.2M-71.8K0.1581.21N/AN/A273408,5353,613