NNN Options History — July 2021

In July 2021, NNN traded between $46.80 and $49.71. ATM implied volatility averaged 22.9%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.8% (HV 20d: 20.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2021-07-16: Highest Volume — 1,105 contracts
  • 2021-07-09: Largest IV spike — 153.4% change
  • 2021-07-09: Highest IV Rank — 62.0%
  • 2021-07-28: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.28$46.80$49.71$47.24$48.98
Max Pain$49.29$45.00$50.00$50.00$50.00
ATM IV22.9%15.3%38.9%21.6%24.5%
Expected Move6.1%4.4%8.6%6.2%7.0%
HV 20d20.1%16.3%24.2%17.7%24.2%
HV 60d21.4%20.1%23.0%20.1%22.1%
IV Rank24.8%4.4%62.0%18.0%31.6%
IV Percentile21.2%0.4%77.0%12.7%28.6%
Term Structure-0.0%-6.3%6.2%1.7%-6.3%
VWIV21.1%14.7%28.9%16.7%25.2%
Skew 25d20.5%-8.9%97.4%10.6%-0.0%
Skew 10d39.6%-35.0%134.3%12.8%-1.1%
Call IV 25d22.1%13.0%40.5%13.0%26.1%
Put IV 25d42.6%19.8%133.8%23.6%26.1%
Bid-Ask Spread %84.7645.66101.8753.0292.11
Gamma HHI0.650.560.730.560.70
Net GEX854.7K380.6K1.6M468.8K1.2M
Net DEX-10.0M-15.5M-4.7M-6.0M-13.5M
Net VEX-46.1K-58.6K-34.9K-42.2K-53.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.028.470.050.72
Total Volume241.524171,10518598
Total OI9,358.3338,63710,0198,6379,780

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$47.24$50.0021.6%6.2%17.7%18.0%16.7%10.6%1.7%468.8K-6.0M-42.2K0.0553.02N/AN/A17786,3992,238
2021-07-02$46.91$50.0020.9%6.0%17.0%16.5%21.2%5.2%0.5%440.6K-5.2M-39.8K1.8245.66N/AN/A17316,5552,242
2021-07-06$47.38$50.0017.0%6.3%17.3%7.6%21.6%0.9%0.5%478.0K-6.2M-40.4K0.9273.21N/AN/A49456,5692,270
2021-07-07$47.18$50.0034.5%6.3%16.4%51.1%20.4%3.6%-0.3%466.9K-5.6M-40.1K1.4349.79N/AN/A47676,5632,308
2021-07-08$46.80$50.0015.3%6.2%16.3%4.4%21.3%9.1%-0.4%380.6K-4.7M-37.5K4.2285.46N/AN/A9386,5772,329
2021-07-09$47.53$50.0038.9%4.4%17.2%62.0%14.7%8.8%2.0%540.9K-6.4M-39.9K0.1892.64N/AN/A90166,5792,360
2021-07-12$48.19$45.0024.3%5.7%18.0%26.2%18.3%3.9%0.5%667.6K-7.6M-36.4K2.6183.57N/AN/A1042716,5462,356
2021-07-13$47.42$45.0024.1%5.2%18.5%25.8%18.6%3.9%3.7%473.6K-5.9M-34.9K0.8884.69N/AN/A64566,5942,209
2021-07-14$48.01$50.0015.9%4.6%18.5%5.8%21.2%5.0%2.6%619.2K-7.3M-37.4K0.0388.48N/AN/A483136,5952,262
2021-07-15$48.53$50.0018.8%5.4%17.9%13.3%20.8%0.1%-2.5%732.1K-9.2M-41.3K1.0994.91N/AN/A54596,7642,272
2021-07-16$48.43$50.0019.1%5.5%17.9%15.1%19.7%1.9%-0.9%635.7K-8.2M-38.4K0.0288.43N/AN/A1,085206,7762,296
2021-07-19$47.28$50.0026.4%7.6%18.3%36.9%22.7%2.3%1.2%740.1K-9.5M-55.0K1.1299.23N/AN/A57647,6342,035
2021-07-20$49.34$50.0018.2%5.2%23.2%13.3%18.2%7.0%2.3%1.2M-14.6M-53.3K0.0795.79N/AN/A324247,6222,051
2021-07-21$49.35$45.0017.6%5.1%23.0%11.7%17.7%97.4%6.2%1.3M-14.6M-55.9K0.7186.65N/AN/A1501067,9712,048
2021-07-22$48.75$50.0027.6%7.9%23.5%40.3%25.8%93.8%-1.5%1.1M-12.6M-54.8K0.06101.87N/AN/A1617,9661,984
2021-07-23$49.52$50.0023.2%6.6%23.8%27.7%22.8%4.2%-0.4%1.2M-15.5M-58.6K0.5390.28N/AN/A34187,9761,985
2021-07-26$49.25$50.0020.0%5.7%23.8%18.6%20.0%91.5%1.0%1.3M-14.3M-53.3K0.3690.72N/AN/A47177,9761,985
2021-07-27$49.71$50.0023.0%6.6%23.0%27.2%23.1%-2.1%-3.1%1.6M-15.2M-46.5K0.4193.44N/AN/A88367,9771,981
2021-07-28$49.40$50.0029.9%8.6%23.2%47.2%28.9%93.3%-3.6%1.3M-14.0M-53.1K0.1695.31N/AN/A7671197,9631,994
2021-07-29$48.58$50.0020.8%6.0%24.1%20.8%23.8%-8.9%-3.4%1.2M-13.4M-55.1K8.4794.73N/AN/A322717,9701,968
2021-07-30$48.98$50.0024.5%7.0%24.2%31.6%25.2%-0.0%-6.3%1.2M-13.5M-53.5K0.7292.11N/AN/A57417,8631,917