NNN Options History — May 2021

In May 2021, NNN traded between $44.57 and $48.52. ATM implied volatility averaged 23.1%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.3% (HV 20d: 22.8%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2021-05-21: Highest Volume — 1,310 contracts
  • 2021-05-11: Largest IV spike — 50.9% change
  • 2021-05-11: Highest IV Rank — 22.4%
  • 2021-05-12: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.14$44.57$48.52$47.00$46.42
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV23.1%19.1%28.8%25.4%21.6%
Expected Move6.6%5.9%7.5%7.3%6.2%
HV 20d22.8%13.3%26.0%13.3%25.9%
HV 60d22.3%20.7%24.3%21.5%20.7%
IV Rank11.5%3.7%22.4%15.2%8.6%
IV Percentile8.1%1.6%22.6%11.1%6.0%
Term Structure1.3%-1.0%3.5%-0.8%0.6%
VWIV23.0%15.5%26.2%22.7%21.6%
Skew 25d4.4%1.8%9.8%1.8%8.5%
Skew 10d7.0%-31.7%19.7%-17.3%19.7%
Call IV 25d22.0%14.0%25.5%22.8%14.0%
Put IV 25d26.4%22.5%30.1%24.6%22.5%
Bid-Ask Spread %43.1921.6487.2484.1029.57
Gamma HHI0.470.350.830.440.47
Net GEX203.7K-2.7M762.2K566.7K586.7K
Net DEX-6.9M-13.5M-1.2M-10.2M-8.2M
Net VEX-50.4K-57.3K-43.0K-55.6K-50.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.133.840.360.62
Total Volume359.35911,310319141
Total OI10,353.39,59310,9209,59310,916

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$47.00$45.0025.4%7.3%13.3%15.2%22.7%1.8%-0.8%566.7K-10.2M-55.6K0.3684.10N/AN/A234856,2873,306
2021-05-04$48.10$45.0022.0%6.3%15.2%9.2%22.8%5.1%-0.1%697.6K-12.9M-57.3K0.1387.24N/AN/A613806,4003,349
2021-05-05$46.89$45.0025.8%7.4%18.1%16.6%24.6%1.8%-1.0%541.3K-9.7M-54.3K1.7977.47N/AN/A1051886,3243,322
2021-05-06$47.59$45.0022.3%6.2%18.7%10.0%23.5%4.2%2.9%604.5K-11.2M-55.7K0.1321.64N/AN/A181236,3323,305
2021-05-07$48.52$45.0019.7%5.9%19.5%5.0%22.5%6.3%3.5%762.2K-13.5M-55.9K0.4122.33N/AN/A3121286,4373,309
2021-05-10$47.53$45.0019.1%6.4%21.2%3.7%24.4%2.6%2.2%608.6K-10.9M-55.5K0.7026.53N/AN/A3112196,4773,423
2021-05-11$46.25$45.0028.8%7.3%23.3%22.4%24.7%3.9%1.5%414.4K-7.4M-53.1K0.2135.43N/AN/A299636,5263,573
2021-05-12$44.85$45.0026.2%7.5%26.0%17.5%26.2%4.5%0.7%248.1K-4.0M-49.8K0.8527.70N/AN/A1841576,6343,620
2021-05-13$45.01$45.0025.5%7.3%24.9%16.0%25.6%5.7%1.2%217.4K-4.0M-49.8K1.7939.48N/AN/A33596,5783,722
2021-05-14$45.25$45.0024.3%7.0%25.0%13.9%24.5%5.1%1.3%184.0K-4.3M-48.6K3.8466.07N/AN/A511966,5783,768
2021-05-17$45.21$45.0024.6%7.0%25.0%14.3%24.6%4.3%1.6%41.1K-3.8M-47.1K2.8735.63N/AN/A531526,5873,960
2021-05-18$45.11$45.0023.8%6.8%24.0%12.7%23.5%3.5%2.1%-83.6K-3.2M-46.2K1.0236.33N/AN/A50516,5914,106
2021-05-19$44.57$45.0024.7%7.1%23.8%14.5%24.8%3.9%1.4%-230.3K-1.2M-43.9K0.9060.83N/AN/A1461326,6094,140
2021-05-20$45.30$45.0023.2%6.7%24.7%11.7%23.3%4.2%0.5%-380.3K-3.9M-45.2K0.6041.49N/AN/A57346,6474,215
2021-05-21$44.97$45.0022.1%6.3%24.8%9.6%21.9%3.9%1.8%-2.7M-2.2M-43.0K0.1335.64N/AN/A1,1581526,6544,216
2021-05-24$45.77$45.0020.6%5.9%25.8%6.7%20.6%3.2%1.9%382.1K-5.9M-48.6K0.1330.18N/AN/A567767,2153,297
2021-05-25$46.08$45.0021.4%6.1%26.0%8.2%15.5%9.8%1.4%515.0K-7.2M-49.9K0.3032.54N/AN/A108327,5083,351
2021-05-26$46.23$45.0021.3%6.1%25.9%8.0%21.2%2.8%1.0%532.7K-7.6M-49.7K0.4722.01N/AN/A4251987,5413,379
2021-05-27$46.08$45.0020.6%5.9%25.8%6.8%20.8%2.2%1.8%529.7K-7.4M-49.2K0.1851.59N/AN/A114207,5773,287
2021-05-28$46.42$45.0021.6%6.2%25.9%8.6%21.6%8.5%0.6%586.7K-8.2M-50.3K0.6229.57N/AN/A87547,6253,291