NNN Options History — December 2021

In December 2021, NNN traded between $43.68 and $48.49. ATM implied volatility averaged 22.7%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.0% (HV 20d: 26.7%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.26.

Notable Days

  • 2021-12-02: Highest Volume — 687 contracts
  • 2021-12-27: Largest IV spike — 66.5% change
  • 2021-12-14: Highest IV Rank — 26.5%
  • 2021-12-27: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.98$43.68$48.49$43.70$48.49
Max Pain$45.23$45.00$50.00$50.00$45.00
ATM IV22.7%12.2%31.3%27.8%12.2%
Expected Move6.1%3.5%8.2%8.0%3.5%
HV 20d26.7%16.8%31.2%16.8%27.4%
HV 60d20.0%17.2%21.3%17.2%20.9%
IV Rank13.8%0.0%26.5%21.3%0.0%
IV Percentile45.3%0.0%88.5%71.8%0.0%
Term Structure1.3%-6.0%9.8%-6.0%4.3%
VWIV22.3%16.3%33.6%29.0%20.1%
Skew 25d7.8%-0.8%15.9%12.1%6.1%
Skew 10d14.4%-12.1%89.2%20.5%7.6%
Call IV 25d18.0%13.3%24.7%24.7%14.2%
Put IV 25d25.8%18.8%36.8%36.8%20.3%
Bid-Ask Spread %85.5235.69107.7495.1435.69
Gamma HHI0.490.340.700.400.70
Net GEX-174.0K-733.6K344.4K-306.2K344.4K
Net DEX-1.1M-5.7M4.8M4.8M-5.7M
Net VEX-27.4K-34.1K-21.8K-34.1K-23.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.464.681.960.83
Total Volume316.273140687332168
Total OI6,948.7274,3258,5588,5005,104

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$43.70$50.0027.8%8.0%16.8%21.3%29.0%12.1%-6.0%-306.2K4.8M-34.1K1.9695.14N/AN/A1122203,9804,520
2021-12-02$44.47$45.0022.8%6.5%18.0%13.7%33.6%12.6%-3.4%-416.4K3.1M-31.4K4.68102.26N/AN/A1215664,0004,497
2021-12-03$43.68$45.0018.9%5.4%18.8%7.9%20.1%15.7%5.4%-456.1K3.9M-30.9K1.51107.74N/AN/A991494,0054,267
2021-12-06$45.81$45.0020.7%7.4%25.5%10.6%24.8%7.8%-2.9%-468.9K501.9K-31.5K1.1296.44N/AN/A2162414,0144,307
2021-12-07$45.85$45.0025.2%6.5%24.7%17.4%22.3%7.8%0.9%-289.5K63.1K-29.7K1.05102.20N/AN/A1841944,0794,213
2021-12-08$46.70$45.0025.8%6.6%25.5%18.3%22.5%7.1%0.8%-53.4K-2.1M-27.9K1.5486.02N/AN/A981514,0894,216
2021-12-09$45.80$45.0029.4%6.1%26.5%23.6%20.9%10.9%8.1%-222.0K-618.5K-31.8K1.4693.55N/AN/A1161694,0964,239
2021-12-10$45.34$45.0027.2%6.3%26.5%20.4%21.8%5.5%0.7%-372.8K716.6K-28.4K0.5485.22N/AN/A3191714,1214,281
2021-12-13$46.21$45.0029.1%5.0%27.3%23.3%18.9%-0.8%3.1%-292.1K-1.0M-27.1K0.9397.52N/AN/A1811694,2134,322
2021-12-14$45.64$45.0031.3%6.7%27.7%26.5%21.8%5.6%2.5%-490.3K95.2K-30.9K0.6590.17N/AN/A1851204,2364,322
2021-12-15$45.54$45.0021.5%6.2%27.7%11.8%20.5%5.2%1.9%-733.6K-569.0K-27.3K0.6181.31N/AN/A1921174,2464,188
2021-12-16$45.69$45.0021.7%6.2%27.5%12.2%21.5%9.9%2.1%-689.6K-1.5M-22.2K0.9283.94N/AN/A1161074,2544,206
2021-12-17$45.74$45.0023.5%6.7%27.5%14.8%23.4%11.8%9.8%29.2K-2.5M-29.0K0.9782.25N/AN/A1451404,2774,186
2021-12-20$44.43$45.0024.1%6.9%29.2%15.7%24.3%10.9%-2.5%4.4K-353.0K-27.4K3.4879.70N/AN/A1113862,3701,955
2021-12-21$45.59$45.0021.2%6.1%30.8%11.4%21.1%4.5%-3.1%-45.9K-1.2M-25.5K1.1381.99N/AN/A1751982,4092,224
2021-12-22$46.09$45.0019.0%5.4%31.1%8.1%19.6%4.4%-4.3%-3.2K-1.9M-21.8K0.4649.37N/AN/A178812,5172,231
2021-12-23$46.41$45.0017.1%4.9%31.2%5.3%18.5%1.3%0.7%-73.7K-2.3M-28.1K0.8987.47N/AN/A74662,5982,254
2021-12-27$47.02$45.0028.5%8.2%30.3%22.4%28.2%15.9%1.3%116.6K-3.6M-22.9K1.3785.75N/AN/A921262,6042,259
2021-12-28$47.40$45.0022.6%6.5%30.4%13.4%20.7%4.8%1.7%130.9K-3.7M-25.3K0.5280.16N/AN/A154802,6652,279
2021-12-29$47.88$45.0012.4%3.6%29.1%0.0%16.3%7.6%4.3%196.9K-4.7M-24.0K0.6689.86N/AN/A119782,7192,283
2021-12-30$48.13$45.0016.4%4.7%27.8%5.9%20.8%5.1%3.3%263.7K-5.2M-22.9K0.5387.68N/AN/A179952,7492,278
2021-12-31$48.49$45.0012.2%3.5%27.4%0.0%20.1%6.1%4.3%344.4K-5.7M-23.2K0.8335.69N/AN/A92762,8562,248