NNN Options History — October 2021

In October 2021, NNN traded between $44.26 and $47.15. ATM implied volatility averaged 24.1%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 7.5% (HV 20d: 16.6%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 2.01.

Notable Days

  • 2021-10-26: Highest Volume — 745 contracts
  • 2021-10-11: Largest IV spike — 331.8% change
  • 2021-10-11: Highest IV Rank — 100.0%
  • 2021-10-27: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.56$44.26$47.15$44.59$45.76
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV24.1%15.7%80.5%21.6%21.9%
Expected Move6.0%4.5%7.8%6.2%6.3%
HV 20d16.6%14.0%20.3%20.2%14.8%
HV 60d18.0%16.6%20.5%20.5%16.8%
IV Rank18.8%3.1%100.0%23.2%12.5%
IV Percentile30.9%1.6%100.0%28.2%34.1%
Term Structure-1.8%-11.8%5.5%0.1%-2.6%
VWIV20.9%17.0%24.9%21.6%22.0%
Skew 25d26.5%1.7%82.0%10.0%11.1%
Skew 10d58.3%2.8%133.3%15.4%19.0%
Call IV 25d16.5%12.3%22.8%19.6%14.8%
Put IV 25d43.0%18.5%98.3%29.6%25.9%
Bid-Ask Spread %88.5671.33100.2187.3596.93
Gamma HHI0.400.330.450.390.38
Net GEX-317.9K-542.8K-190.6K-365.8K-249.3K
Net DEX1.5M-1.6M4.9M3.7M1.2M
Net VEX-41.9K-47.0K-36.7K-47.0K-43.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.328.450.491.19
Total Volume243.76265745118294
Total OI8,397.817,9968,6707,9968,573

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$44.59$45.0021.6%6.2%20.2%23.2%21.6%10.0%0.1%-365.8K3.7M-47.0K0.4987.35N/AN/A79393,4844,512
2021-10-04$44.66$45.0019.9%5.7%20.3%18.1%22.9%4.8%0.4%-455.2K4.1M-45.6K0.5984.61N/AN/A46273,5174,791
2021-10-05$44.42$45.0023.4%6.9%19.5%28.4%24.6%8.2%-2.0%-425.2K4.6M-45.3K1.4189.00N/AN/A27383,5614,781
2021-10-06$44.67$45.0024.3%5.9%18.8%30.9%20.3%2.3%-1.1%-481.6K4.0M-43.6K4.3692.58N/AN/A281223,5924,799
2021-10-07$44.51$45.0020.5%6.0%18.2%20.0%20.1%8.6%-2.2%-542.8K4.4M-41.1K2.3393.46N/AN/A21493,5964,828
2021-10-08$44.26$45.0018.6%5.7%16.4%14.6%19.9%10.6%2.7%-446.2K4.9M-44.6K0.3398.96N/AN/A63213,6144,742
2021-10-11$44.83$45.0080.5%5.6%15.8%100.0%19.5%82.0%5.5%-274.7K3.2M-44.9K0.3299.24N/AN/A238753,6174,730
2021-10-12$45.30$45.0022.5%6.2%16.0%13.4%22.0%1.7%-1.7%-510.7K1.9M-44.0K1.0374.41N/AN/A1001033,6464,746
2021-10-13$45.81$45.0021.2%6.1%16.4%11.4%21.1%57.9%3.3%-293.5K-135.4K-46.0K1.9599.17N/AN/A881723,8294,713
2021-10-14$45.86$45.0021.9%6.3%16.4%12.4%21.9%63.4%0.1%-288.4K-356.0K-44.3K8.4595.94N/AN/A473973,8764,735
2021-10-15$45.98$45.0015.7%4.5%15.4%3.1%17.9%57.1%-2.8%-222.4K-828.0K-36.7K0.7578.32N/AN/A116873,9114,759
2021-10-18$46.15$45.0022.1%6.3%15.4%12.8%22.3%11.2%-1.9%-190.6K-75.9K-37.7K6.05100.01N/AN/A211273,6424,371
2021-10-19$45.61$45.0020.3%5.8%16.1%10.1%20.5%73.1%-4.9%-263.9K1.3M-37.6K6.0571.33N/AN/A211273,7014,385
2021-10-20$46.25$45.0019.2%5.5%16.4%8.4%19.3%36.7%-7.4%-277.6K-77.1K-38.9K1.3479.63N/AN/A1121503,7264,552
2021-10-21$45.99$45.0023.6%6.8%15.5%14.9%24.9%13.4%-11.8%-281.7K644.5K-37.1K0.7880.75N/AN/A93733,7314,642
2021-10-22$46.10$45.0019.3%5.5%15.2%8.6%19.3%46.2%2.8%-192.7K-19.0K-44.5K0.8575.71N/AN/A1291103,7384,666
2021-10-25$46.27$45.0021.2%6.1%14.0%11.4%21.3%29.5%-1.3%-272.4K-84.8K-38.3K0.8685.26N/AN/A2672293,7004,703
2021-10-26$47.15$45.0018.3%5.2%15.1%7.0%19.3%4.5%-1.9%-221.0K-1.6M-40.4K1.0485.45N/AN/A3663793,7404,900
2021-10-27$46.66$45.0027.1%7.8%15.9%20.2%17.0%14.3%-7.0%-198.2K-965.4K-37.0K1.0491.37N/AN/A1811883,8164,824
2021-10-28$45.85$45.0022.4%6.4%16.9%13.2%21.3%9.3%-3.3%-221.3K1.2M-42.0K0.96100.21N/AN/A1371323,7284,837
2021-10-29$45.76$45.0021.9%6.3%14.8%12.5%22.0%11.1%-2.6%-249.3K1.2M-43.1K1.1996.93N/AN/A1341603,7314,842