NNN Options History — June 2021

In June 2021, NNN traded between $47.08 and $50.03. ATM implied volatility averaged 19.4%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 1.1% (HV 20d: 20.5%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2021-06-09: Highest Volume — 1,110 contracts
  • 2021-06-28: Largest IV spike — 38.6% change
  • 2021-06-29: Highest IV Rank — 21.0%
  • 2021-06-18: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.28$47.08$50.03$47.59$47.08
Max Pain$48.86$45.00$50.00$45.00$50.00
ATM IV19.4%13.6%23.8%13.6%22.2%
Expected Move5.7%3.9%6.8%3.9%6.4%
HV 20d20.5%15.5%26.9%26.9%18.0%
HV 60d20.3%19.2%21.5%21.2%20.2%
IV Rank11.6%0.0%21.0%0.0%19.3%
IV Percentile6.5%0.0%16.3%0.0%14.3%
Term Structure1.9%-1.7%3.8%1.8%-0.5%
VWIV19.7%12.2%25.0%22.1%12.2%
Skew 25d4.9%-0.5%7.9%5.0%7.6%
Skew 10d10.7%2.6%32.2%14.7%32.2%
Call IV 25d17.7%12.6%21.1%17.8%13.6%
Put IV 25d22.6%20.1%23.8%22.8%21.2%
Bid-Ask Spread %56.2824.0187.5824.0141.22
Gamma HHI0.570.430.700.540.58
Net GEX916.3K437.5K1.7M793.3K437.5K
Net DEX-11.7M-18.9M-5.5M-11.3M-5.5M
Net VEX-48.6K-55.4K-40.6K-51.9K-40.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.011.900.500.14
Total Volume331.727661,11026282
Total OI10,165.4557,91111,62711,0138,573

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$47.59$45.0013.6%3.9%26.9%0.0%22.1%5.0%1.8%793.3K-11.3M-51.9K0.5024.01N/AN/A175877,7033,310
2021-06-02$48.33$45.0016.5%4.7%26.1%5.2%19.5%5.9%2.7%976.5K-13.5M-53.5K0.1027.34N/AN/A523517,7653,305
2021-06-03$47.81$45.0017.6%5.7%24.7%7.2%23.3%2.7%1.1%891.9K-12.2M-53.3K1.6560.25N/AN/A40667,9833,269
2021-06-04$48.49$45.0016.6%6.0%24.7%5.4%20.6%6.4%2.6%1.1M-14.5M-54.4K0.0176.79N/AN/A69047,9763,315
2021-06-07$48.78$45.0019.3%5.8%23.8%10.3%20.4%5.9%2.6%1.1M-14.8M-53.2K0.4768.61N/AN/A2521187,8323,315
2021-06-08$49.42$50.0019.0%5.7%22.8%9.8%19.8%6.8%3.0%1.4M-17.0M-54.3K0.3767.56N/AN/A108407,9183,383
2021-06-09$49.64$50.0019.6%5.6%20.1%10.9%12.8%7.5%1.9%1.5M-17.9M-55.4K0.0569.09N/AN/A1,057537,9363,348
2021-06-10$50.03$50.0019.9%5.7%15.5%11.4%20.0%4.0%2.7%1.6M-18.9M-54.2K0.1370.64N/AN/A159207,8503,325
2021-06-11$49.58$50.0019.7%5.7%16.3%11.0%19.7%7.5%2.7%1.6M-17.0M-53.2K1.3653.27N/AN/A28387,9143,328
2021-06-14$49.84$50.0019.9%5.7%16.3%11.3%25.0%7.8%2.4%1.7M-17.8M-52.0K0.0261.64N/AN/A18037,9063,343
2021-06-15$49.05$50.0020.0%5.7%17.8%11.6%20.6%6.3%2.2%1.4M-14.5M-48.8K0.7861.19N/AN/A82647,9363,344
2021-06-16$48.22$50.0020.8%6.0%19.2%13.0%21.4%3.0%1.3%853.6K-12.3M-46.3K0.2077.05N/AN/A5511127,9583,385
2021-06-17$48.24$50.0019.6%5.6%18.4%11.7%20.9%4.3%2.4%757.3K-11.7M-45.3K0.1387.58N/AN/A337457,8853,496
2021-06-18$47.19$50.0023.8%6.8%20.0%19.7%22.9%2.6%2.7%494.8K-10.1M-44.3K0.2764.79N/AN/A276758,1613,466
2021-06-21$47.90$50.0018.4%5.3%20.1%10.4%20.3%3.6%2.7%569.9K-7.8M-45.9K0.1960.91N/AN/A208406,1021,809
2021-06-22$47.53$50.0019.2%5.5%19.7%12.7%22.3%2.4%1.2%529.1K-6.9M-44.8K1.9035.79N/AN/A581106,1101,829
2021-06-23$47.81$50.0018.9%5.4%19.7%11.8%20.1%2.9%1.9%546.6K-7.3M-45.4K0.3732.33N/AN/A265976,1201,945
2021-06-24$47.45$50.0022.3%6.4%20.0%19.6%17.8%3.1%1.4%519.9K-6.6M-43.0K1.6444.81N/AN/A771266,1901,958
2021-06-25$47.93$50.0015.6%4.5%20.1%4.5%17.9%5.3%3.8%558.4K-7.3M-44.1K0.3445.31N/AN/A152526,2202,082
2021-06-28$47.16$50.0021.6%6.2%21.0%18.0%16.1%7.9%1.4%475.8K-5.8M-43.1K0.6642.92N/AN/A138916,3622,126
2021-06-29$47.12$50.0022.9%6.6%19.0%21.0%17.9%-0.5%-1.7%467.1K-5.9M-43.0K0.4564.94N/AN/A3911776,3692,190
2021-06-30$47.08$50.0022.2%6.4%18.0%19.3%12.2%7.6%-0.5%437.5K-5.5M-40.6K0.1441.22N/AN/A72106,3442,229