NNN Options History — April 2021

In April 2021, NNN traded between $44.82 and $47.36. ATM implied volatility averaged 21.7%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.4% (HV 20d: 16.3%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2021-04-28: Highest Volume — 2,088 contracts
  • 2021-04-29: Largest IV spike — 37.7% change
  • 2021-04-29: Highest IV Rank — 12.8%
  • 2021-04-05: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.02$44.82$47.36$44.82$46.31
Max Pain$44.76$40.00$45.00$45.00$45.00
ATM IV21.7%17.1%25.0%23.3%23.7%
Expected Move6.7%5.1%7.5%6.7%6.8%
HV 20d16.3%11.4%22.2%22.2%12.4%
HV 60d23.6%21.4%24.7%24.7%21.5%
IV Rank5.5%0.0%12.8%0.5%11.7%
IV Percentile2.7%0.0%7.5%0.4%6.0%
Term Structure2.0%-0.9%11.5%3.5%0.8%
VWIV23.4%18.8%28.4%23.7%23.3%
Skew 25d4.4%0.3%20.6%9.3%0.9%
Skew 10d15.8%-0.8%38.8%14.7%-0.8%
Call IV 25d23.0%20.6%25.7%20.7%22.1%
Put IV 25d27.4%21.7%43.2%29.9%23.0%
Bid-Ask Spread %73.4834.4391.1834.4388.01
Gamma HHI0.420.360.470.390.42
Net GEX620.9K518.1K749.1K573.1K518.6K
Net DEX-11.1M-13.3M-8.6M-9.6M-9.3M
Net VEX-50.7K-58.0K-46.4K-58.0K-52.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.046.150.526.15
Total Volume396.429442,08844572
Total OI9,754.6678,68910,76610,2729,130

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$44.82$45.0023.3%6.7%22.2%0.5%23.7%9.3%3.5%573.1K-9.6M-58.0K0.5234.43N/AN/A29157,7122,560
2021-04-05$44.89$40.0022.8%7.5%22.2%0.0%28.4%4.0%0.6%617.4K-9.9M-55.0K3.3875.82N/AN/A451527,7192,557
2021-04-06$44.98$45.0021.4%7.4%21.9%0.0%25.9%2.7%0.3%628.7K-9.7M-55.4K0.2253.55N/AN/A320707,7282,682
2021-04-07$45.42$45.0019.8%7.1%21.8%0.0%24.8%3.0%0.7%623.0K-10.7M-55.9K0.8377.87N/AN/A66557,7492,707
2021-04-08$45.42$45.0019.2%6.9%21.8%0.0%24.2%2.5%0.6%651.2K-11.0M-53.6K0.9553.51N/AN/A1321267,7382,714
2021-04-09$45.24$45.0017.1%6.5%22.0%0.0%22.7%1.8%0.8%668.6K-10.0M-51.7K1.2048.68N/AN/A50607,7402,737
2021-04-12$45.48$45.0019.0%6.6%21.2%2.5%23.2%2.4%1.0%739.4K-11.2M-50.1K1.0472.61N/AN/A73767,7662,767
2021-04-13$45.03$45.0019.1%6.6%16.8%2.6%22.8%1.7%0.6%749.1K-9.5M-49.6K0.1955.78N/AN/A6601277,7842,824
2021-04-14$44.92$45.0022.4%6.4%15.6%6.8%25.3%1.0%0.9%737.4K-8.6M-47.0K0.3172.98N/AN/A177547,5762,859
2021-04-15$45.84$45.0023.3%6.7%16.7%8.0%23.3%20.6%-0.9%566.6K-12.2M-46.4K0.1591.18N/AN/A539827,5662,903
2021-04-16$45.89$45.0023.2%6.7%14.5%8.4%23.1%2.6%0.3%518.1K-12.4M-48.6K0.1084.22N/AN/A534557,8622,904
2021-04-19$45.94$45.0024.3%7.0%13.2%9.9%24.3%18.1%0.1%535.5K-10.3M-47.7K1.9073.81N/AN/A891696,3152,374
2021-04-20$46.75$45.0024.5%7.0%14.0%10.1%23.8%7.4%0.5%575.6K-11.9M-48.2K0.3585.68N/AN/A178626,3602,476
2021-04-21$47.25$45.0025.0%7.2%13.5%10.9%23.8%2.6%-0.7%626.8K-13.0M-48.7K0.3087.40N/AN/A196586,3722,457
2021-04-22$47.36$45.0024.7%7.1%13.2%12.0%22.8%1.8%-0.4%638.5K-13.3M-48.3K0.4186.55N/AN/A153636,4162,436
2021-04-23$47.31$45.0019.1%5.5%11.4%3.5%19.1%1.9%9.3%648.1K-13.2M-49.4K0.3286.09N/AN/A216706,5232,460
2021-04-26$47.25$45.0023.9%6.8%11.4%11.9%23.7%0.5%1.6%640.6K-13.1M-49.5K1.4088.73N/AN/A721016,5952,482
2021-04-27$47.16$45.0018.7%5.4%11.5%2.8%23.0%1.5%9.6%640.6K-12.8M-49.8K0.9785.95N/AN/A87846,6002,548
2021-04-28$46.82$45.0017.7%5.1%12.1%1.0%18.8%0.3%11.5%585.0K-12.1M-47.1K0.0480.52N/AN/A2,014746,6282,594
2021-04-29$46.44$45.0024.4%7.0%12.7%12.8%21.2%5.0%0.8%557.2K-9.8M-52.1K1.8559.80N/AN/A2003706,2782,650
2021-04-30$46.31$45.0023.7%6.8%12.4%11.7%23.3%0.9%0.8%518.6K-9.3M-52.4K6.1588.01N/AN/A804926,2762,854