NNN Options History — March 2021

In March 2021, NNN traded between $42.35 and $45.57. ATM implied volatility averaged 26.8%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.2% (HV 20d: 27.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.53.

Notable Days

  • 2021-03-22: Highest Volume — 1,144 contracts
  • 2021-03-05: Largest IV drop — 18.0% change
  • 2021-03-04: Highest IV Rank — 6.9%
  • 2021-03-04: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.52$42.35$45.57$43.78$44.36
Max Pain$44.35$40.00$45.00$40.00$45.00
ATM IV26.8%22.9%31.5%28.1%24.6%
Expected Move7.8%6.6%9.4%8.0%7.0%
HV 20d27.0%22.7%30.9%26.9%22.7%
HV 60d25.7%24.7%26.7%25.5%24.7%
IV Rank2.7%0.0%6.9%3.2%1.8%
IV Percentile3.7%0.0%15.5%3.2%1.2%
Term Structure2.6%0.4%4.3%1.5%3.4%
VWIV28.0%23.3%32.6%29.1%24.9%
Skew 25d3.9%1.4%8.2%8.2%7.4%
Skew 10d7.7%-5.4%32.3%14.8%11.6%
Call IV 25d26.8%21.9%30.5%25.2%22.9%
Put IV 25d30.7%25.4%33.8%33.5%30.4%
Bid-Ask Spread %45.0316.0473.3162.9444.74
Gamma HHI0.410.330.530.440.38
Net GEX506.2K295.4K892.2K562.2K532.8K
Net DEX-9.1M-16.4M-4.7M-12.0M-9.0M
Net VEX-59.8K-68.1K-51.0K-68.1K-59.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.031.710.340.28
Total Volume333.957721,144197106
Total OI11,625.2179,14713,08912,14710,242

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$43.78$40.0028.1%8.0%26.9%3.2%29.1%8.2%1.5%562.2K-12.0M-68.1K0.3462.94N/AN/A147508,5173,630
2021-03-02$42.80$40.0027.6%7.9%27.6%2.7%29.7%4.8%2.5%468.9K-9.3M-64.3K0.2473.31N/AN/A4311058,5003,658
2021-03-03$42.90$40.0028.9%8.3%27.4%4.1%31.8%2.8%0.4%484.5K-9.6M-65.0K0.5016.04N/AN/A4842418,6223,715
2021-03-04$42.35$45.0031.5%9.4%27.9%6.9%31.3%3.6%1.3%414.7K-8.1M-62.9K0.3549.63N/AN/A4221468,5873,838
2021-03-05$42.54$45.0025.9%8.3%27.7%0.8%29.9%3.8%2.1%408.7K-7.9M-61.5K0.9770.54N/AN/A67658,4403,902
2021-03-08$43.09$45.0028.4%8.4%27.6%3.6%30.4%3.2%1.9%467.5K-9.2M-62.1K0.3621.86N/AN/A53198,4683,927
2021-03-09$42.83$45.0028.2%8.3%27.7%3.4%30.4%3.4%2.3%440.0K-8.6M-61.0K1.1369.12N/AN/A1021158,4673,941
2021-03-10$42.98$45.0029.3%8.4%27.7%4.5%32.6%2.6%2.1%449.5K-8.9M-62.1K0.2437.76N/AN/A186458,5074,014
2021-03-11$43.10$45.0029.2%8.4%26.6%4.4%29.5%2.2%2.6%475.5K-9.5M-61.5K0.1962.90N/AN/A167318,5463,983
2021-03-12$43.89$45.0028.2%8.1%26.9%3.4%32.3%2.4%2.6%622.8K-11.4M-60.4K0.5236.66N/AN/A79418,6203,974
2021-03-15$45.57$45.0029.6%8.5%29.6%4.8%30.3%1.4%2.2%841.8K-16.4M-63.5K0.2745.06N/AN/A7241998,5353,973
2021-03-16$44.78$45.0026.5%7.6%29.9%1.5%26.4%3.1%3.4%892.2K-13.7M-62.1K1.2641.04N/AN/A821038,9844,078
2021-03-17$44.36$45.0026.0%7.5%30.0%1.0%28.1%3.1%3.7%867.2K-11.3M-59.2K1.7154.52N/AN/A621068,9714,118
2021-03-18$43.45$45.0026.2%7.5%30.7%1.2%26.7%1.5%3.2%456.9K-8.2M-55.8K1.1334.75N/AN/A72818,8064,087
2021-03-19$42.86$45.0024.4%7.0%30.9%0.0%25.2%2.7%3.1%312.6K-6.6M-52.9K0.8858.53N/AN/A1411248,7964,157
2021-03-22$42.91$45.0022.9%6.6%28.1%0.0%23.3%2.2%4.3%295.4K-4.9M-51.0K0.2040.74N/AN/A9531916,7922,355
2021-03-23$42.59$45.0024.3%7.0%24.7%1.5%24.6%3.2%2.4%306.9K-4.7M-51.9K0.5343.52N/AN/A99527,1672,478
2021-03-24$43.13$45.0024.9%7.1%25.2%2.1%24.9%3.4%2.6%352.8K-6.0M-55.6K0.1720.18N/AN/A495847,2142,514
2021-03-25$44.14$45.0025.9%7.4%24.5%3.2%26.0%2.8%2.7%499.9K-8.6M-60.0K0.3968.88N/AN/A137547,5322,489
2021-03-26$44.05$45.0025.6%7.4%24.5%2.9%25.6%7.6%3.1%482.9K-8.4M-59.3K0.0620.03N/AN/A11777,5462,512
2021-03-29$44.20$45.0025.7%7.4%24.3%2.9%26.9%7.3%2.8%490.2K-8.6M-58.8K0.4628.45N/AN/A68317,5662,514
2021-03-30$44.34$45.0024.8%7.1%22.7%2.0%24.8%7.7%3.2%517.4K-8.9M-58.4K0.0334.43N/AN/A577207,5662,532
2021-03-31$44.36$45.0024.6%7.0%22.7%1.8%24.9%7.4%3.4%532.8K-9.0M-59.0K0.2844.74N/AN/A83237,7122,530