NNN Options History — August 2021

In August 2021, NNN traded between $46.20 and $48.83. ATM implied volatility averaged 20.8%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.2% (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 18 of 22 days. Put/call ratio averaged 1.81.

Notable Days

  • 2021-08-17: Highest Volume — 636 contracts
  • 2021-08-10: Largest IV spike — 69.2% change
  • 2021-08-10: Highest IV Rank — 43.4%
  • 2021-08-19: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.45$46.20$48.83$48.83$47.49
Max Pain$45.68$45.00$50.00$50.00$45.00
ATM IV20.8%14.7%28.7%19.8%21.3%
Expected Move5.8%4.2%7.3%5.7%6.1%
HV 20d20.5%15.5%25.3%24.1%17.1%
HV 60d20.3%19.5%21.9%21.9%19.5%
IV Rank20.7%3.2%43.4%17.9%22.4%
IV Percentile17.0%0.4%45.2%11.5%20.6%
Term Structure2.7%-7.1%10.9%1.2%-2.5%
VWIV20.8%15.5%23.9%21.7%18.7%
Skew 25d4.0%0.6%7.5%4.3%3.3%
Skew 10d13.1%-2.2%67.2%7.8%5.0%
Call IV 25d18.6%16.0%21.6%21.6%18.8%
Put IV 25d22.6%19.0%26.2%25.8%22.1%
Bid-Ask Spread %57.9523.45118.4194.0551.62
Gamma HHI0.740.600.830.680.79
Net GEX902.2K462.3K1.3M1.2M874.7K
Net DEX-7.6M-13.4M-3.2M-13.4M-6.4M
Net VEX-43.4K-56.0K-35.7K-56.0K-40.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.0712.250.190.22
Total Volume175.7733263612639
Total OI10,752.8189,96311,8989,96311,468

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$48.83$50.0019.8%5.7%24.1%17.9%21.7%4.3%1.2%1.2M-13.4M-56.0K0.1994.05N/AN/A106207,8652,098
2021-08-03$48.38$50.0021.4%6.1%24.2%22.4%15.5%2.8%4.0%1.2M-11.8M-52.3K1.43118.41N/AN/A49707,8932,113
2021-08-04$47.73$50.0018.9%5.4%24.7%15.5%19.4%6.3%2.1%1.1M-9.0M-46.5K0.5491.26N/AN/A56307,9722,113
2021-08-05$48.64$45.0020.9%5.5%25.3%21.1%20.8%5.9%2.2%1.3M-12.3M-50.4K0.5336.60N/AN/A49267,9762,136
2021-08-06$48.43$45.0022.1%5.5%24.8%24.5%20.7%4.3%1.3%1.3M-11.6M-48.7K4.7041.10N/AN/A462167,9772,157
2021-08-09$48.15$45.0016.9%5.3%24.5%9.7%21.9%4.5%2.9%1.2M-9.4M-42.9K2.8923.45N/AN/A371077,9772,222
2021-08-10$47.30$45.0028.7%6.4%24.6%43.4%22.7%2.6%2.4%909.3K-7.4M-45.3K1.3045.63N/AN/A40528,0072,409
2021-08-11$47.61$45.0014.7%4.2%24.3%3.2%23.1%6.0%5.1%1.1M-8.8M-45.2K2.0544.90N/AN/A591218,0182,490
2021-08-12$47.42$45.0023.4%6.7%24.0%28.3%22.8%7.5%1.6%989.5K-8.4M-45.6K1.7338.08N/AN/A45788,0322,524
2021-08-13$47.91$45.0018.9%5.4%24.3%15.2%18.5%3.9%3.2%1.1M-8.7M-45.0K0.3948.15N/AN/A2398,0612,635
2021-08-16$47.67$45.0018.0%5.2%22.8%12.7%20.0%3.5%2.3%997.9K-7.8M-41.3K0.4745.94N/AN/A68328,0732,694
2021-08-17$46.91$45.0024.6%7.1%17.2%31.7%23.8%5.3%-0.1%743.6K-6.3M-41.1K12.2569.65N/AN/A485888,0872,698
2021-08-18$47.03$45.0024.3%7.0%17.2%30.8%23.2%6.0%2.4%818.6K-6.6M-39.3K0.0742.99N/AN/A573438,1062,768
2021-08-19$46.74$45.0025.5%7.3%16.9%34.4%23.9%5.5%10.9%601.6K-5.2M-42.8K0.6577.64N/AN/A46308,1163,249
2021-08-20$47.04$45.0017.8%5.1%15.9%12.2%20.6%0.6%7.7%703.3K-5.5M-42.3K1.1759.84N/AN/A36428,6163,282
2021-08-23$46.57$45.0021.6%6.2%16.1%23.1%21.1%1.3%1.9%659.3K-4.8M-40.3K1.6051.68N/AN/A671078,1262,835
2021-08-24$46.20$45.0016.4%4.7%15.5%8.2%20.2%2.0%9.3%462.3K-3.2M-35.7K1.4253.71N/AN/A48688,1332,858
2021-08-25$47.02$45.0017.8%5.1%17.2%12.2%18.6%3.8%8.2%683.0K-5.2M-39.2K0.4276.95N/AN/A80348,1732,896
2021-08-26$46.61$45.0020.3%5.8%16.6%19.2%19.0%1.3%1.0%536.2K-4.0M-36.9K4.6067.04N/AN/A452078,1752,949
2021-08-27$47.19$45.0020.8%6.0%17.0%20.8%19.3%3.9%-7.1%729.6K-5.5M-37.7K0.3649.60N/AN/A188688,2232,953
2021-08-30$47.10$45.0022.7%6.5%17.0%26.1%22.2%3.4%-1.0%704.4K-5.1M-39.0K0.9046.58N/AN/A90818,2593,150
2021-08-31$47.49$45.0021.3%6.1%17.1%22.4%18.7%3.3%-2.5%874.7K-6.4M-40.4K0.2251.62N/AN/A3278,3113,157