NNN Options History — September 2021

In September 2021, NNN traded between $43.51 and $47.50. ATM implied volatility averaged 21.3%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.7% (HV 20d: 17.5%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.47.

Notable Days

  • 2021-09-17: Highest Volume — 1,078 contracts
  • 2021-09-29: Largest IV spike — 31.3% change
  • 2021-09-29: Highest IV Rank — 46.8%
  • 2021-09-29: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.48$43.51$47.50$47.44$43.51
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV21.3%17.0%29.8%18.7%21.7%
Expected Move6.1%4.9%8.6%5.4%6.2%
HV 20d17.5%14.8%19.1%16.4%17.5%
HV 60d19.7%19.2%20.3%19.3%19.8%
IV Rank22.2%9.9%46.8%14.7%23.3%
IV Percentile23.3%4.0%64.3%7.5%28.2%
Term Structure1.4%-9.8%14.5%14.5%-0.6%
VWIV21.6%16.1%29.7%20.5%21.8%
Skew 25d8.9%0.3%68.9%4.8%6.9%
Skew 10d11.0%-20.0%120.6%4.9%10.8%
Call IV 25d18.7%13.5%26.3%17.7%21.9%
Put IV 25d27.6%20.6%83.8%22.4%28.7%
Bid-Ask Spread %86.4866.84109.1372.1486.08
Gamma HHI0.440.280.780.770.36
Net GEX31.1K-378.8K884.7K844.0K-344.7K
Net DEX269.4K-6.7M5.8M-6.3M5.8M
Net VEX-39.1K-46.3K-31.3K-41.8K-44.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.470.1615.150.703.33
Total Volume300.762501,078112411
Total OI10,144.9526,20713,49611,5537,931

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$47.44$45.0018.7%5.4%16.4%14.7%20.5%4.8%14.5%844.0K-6.3M-41.8K0.7072.14N/AN/A66468,3243,229
2021-09-02$47.50$45.0019.0%5.3%14.8%15.6%0.0%3.1%6.2%884.7K-6.7M-40.3K0.1686.75N/AN/A4378,3473,233
2021-09-03$47.46$45.0020.9%5.6%14.8%21.1%22.2%4.0%4.5%836.7K-6.2M-38.5K2.8766.84N/AN/A1193428,3723,240
2021-09-07$46.61$45.0019.3%6.5%15.9%16.4%22.0%2.2%2.8%306.3K-3.4M-34.0K0.6976.64N/AN/A54378,3823,246
2021-09-08$47.26$45.0022.6%6.5%15.6%26.0%22.3%3.4%5.3%610.0K-5.2M-37.5K3.2474.06N/AN/A331078,4363,526
2021-09-09$46.54$45.0022.1%6.3%16.3%24.5%22.1%0.3%-0.9%186.4K-3.8M-31.3K3.7177.82N/AN/A682528,4793,606
2021-09-10$45.44$45.0019.9%5.7%18.2%18.1%19.9%3.2%2.7%26.0K-466.7K-33.5K1.1479.54N/AN/A1181358,4813,694
2021-09-13$46.22$45.0022.7%6.5%18.9%26.3%22.4%4.3%0.3%3.5K-2.4M-32.3K1.1678.36N/AN/A79928,5103,937
2021-09-14$45.75$45.0025.6%7.3%19.1%34.6%23.5%9.5%-1.7%1.8K-1.6M-34.6K15.1590.12N/AN/A598948,5904,015
2021-09-15$45.49$45.0023.6%6.8%18.5%28.9%25.1%2.5%3.9%5.6K-804.2K-34.4K4.3296.59N/AN/A251088,5884,035
2021-09-16$45.41$45.0018.9%5.4%18.4%15.3%18.8%68.9%5.4%-124.9K-257.1K-41.2K5.1192.68N/AN/A532718,6274,832
2021-09-17$44.75$45.0021.8%6.3%18.9%23.8%21.8%7.2%-0.7%-40.4K4.4M-37.9K0.4889.65N/AN/A7293498,6444,852
2021-09-20$44.80$45.0018.3%5.3%18.7%13.7%16.1%9.3%13.5%-265.5K3.8M-37.7K1.36103.78N/AN/A1862532,5423,665
2021-09-21$44.87$45.0017.0%4.9%18.5%9.9%19.2%11.0%-2.7%-252.2K2.1M-41.8K0.72109.13N/AN/A130933,0633,912
2021-09-22$45.35$45.0021.9%6.3%18.9%23.9%21.9%10.2%-2.9%-264.4K2.6M-46.3K2.1486.00N/AN/A36773,1714,033
2021-09-23$44.66$45.0021.0%6.0%18.2%21.5%21.2%7.7%1.1%-367.2K4.1M-41.4K1.6483.56N/AN/A611003,2324,095
2021-09-24$44.38$45.0020.1%5.8%18.1%18.9%19.9%9.4%-3.0%-305.4K3.7M-45.9K0.54100.73N/AN/A81443,2564,111
2021-09-27$43.76$45.0019.5%5.6%17.7%17.1%19.7%6.3%-0.1%-370.2K5.7M-40.9K0.9588.69N/AN/A1141083,2464,296
2021-09-28$43.90$45.0022.7%6.5%17.8%26.4%22.7%6.5%-9.8%-378.8K5.7M-41.3K0.6185.00N/AN/A2471503,2474,325
2021-09-29$43.96$45.0029.8%8.6%17.4%46.8%29.7%5.2%-8.0%-337.7K5.0M-43.0K1.7891.81N/AN/A50893,2784,416
2021-09-30$43.51$45.0021.7%6.2%17.5%23.3%21.8%6.9%-0.6%-344.7K5.8M-44.4K3.3386.08N/AN/A953163,4534,478