NNN Options History — January 2022

In January 2022, NNN traded between $42.85 and $48.44. ATM implied volatility averaged 23.2%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 1.8% (HV 20d: 21.4%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.60.

Notable Days

  • 2022-01-24: Highest Volume — 658 contracts
  • 2022-01-05: Largest IV spike — 174.7% change
  • 2022-01-24: Highest IV Rank — 41.0%
  • 2022-01-24: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.74$42.85$48.44$47.83$44.07
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV23.2%12.0%40.0%27.9%24.9%
Expected Move6.8%3.4%11.5%8.0%7.1%
HV 20d21.4%18.7%27.0%27.0%21.8%
HV 60d22.0%21.1%23.1%21.1%23.1%
IV Rank16.4%0.0%41.0%22.9%18.9%
IV Percentile51.5%0.0%99.6%79.0%72.6%
Term Structure-0.4%-16.1%13.6%4.1%-0.9%
VWIV24.2%12.1%39.6%21.3%26.2%
Skew 25d16.9%1.1%138.1%7.4%10.3%
Skew 10d40.9%2.4%187.1%5.3%17.0%
Call IV 25d22.2%17.2%31.4%17.5%22.2%
Put IV 25d39.1%20.9%163.6%24.9%32.5%
Bid-Ask Spread %89.3171.12108.61103.4689.69
Gamma HHI0.430.330.650.640.33
Net GEX-35.1K-401.5K335.6K274.3K-131.2K
Net DEX-908.5K-5.2M4.7M-4.9M1.5M
Net VEX-26.5K-31.4K-18.0K-22.0K-31.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.538.582.461.17
Total Volume364.65153658419221
Total OI6,073.655,0786,7715,0786,771

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$47.83$45.0027.9%8.0%27.0%22.9%21.3%7.4%4.1%274.3K-4.9M-22.0K2.46103.46N/AN/A1212982,8532,225
2022-01-04$48.44$45.0012.0%3.4%22.0%0.0%12.1%138.1%2.8%335.6K-5.2M-24.0K1.6992.91N/AN/A1001692,8912,326
2022-01-05$47.55$45.0032.9%9.4%23.2%30.5%29.1%1.1%-3.2%174.2K-4.2M-24.8K8.58101.75N/AN/A574892,8802,325
2022-01-06$48.25$45.0015.0%5.2%22.9%4.5%21.1%1.6%-0.2%266.4K-5.2M-23.5K7.9383.31N/AN/A604762,8872,636
2022-01-07$47.96$45.0018.9%5.7%21.7%10.1%21.7%3.8%0.8%194.0K-4.6M-25.5K3.1371.12N/AN/A1193722,8962,665
2022-01-10$47.33$45.0020.8%8.0%22.0%13.0%25.0%1.8%-8.8%101.7K-3.6M-27.0K2.7974.04N/AN/A812262,9272,884
2022-01-11$47.05$45.0025.5%6.4%21.2%19.7%22.3%4.4%6.3%58.7K-3.2M-29.1K3.2385.22N/AN/A642072,9693,032
2022-01-12$46.93$45.0016.7%4.8%20.7%6.9%19.4%9.8%5.4%95.8K-3.1M-18.0K1.5782.63N/AN/A1001572,9653,076
2022-01-13$47.27$45.0016.9%4.9%20.8%7.3%21.0%3.0%13.6%57.3K-3.4M-27.7K1.2593.56N/AN/A1101372,9773,107
2022-01-14$46.85$45.0023.5%6.7%21.1%16.8%23.3%5.1%-2.6%-667-2.8M-24.9K0.9684.39N/AN/A1181132,9943,117
2022-01-18$45.98$45.0023.8%6.8%22.3%17.2%23.9%5.2%0.8%-133.1K-1.6M-29.7K6.8580.20N/AN/A533633,0423,190
2022-01-19$45.39$45.0022.4%6.4%20.1%15.3%22.4%9.0%-0.7%-401.4K-6.7K-26.1K2.2673.31N/AN/A611383,0433,373
2022-01-20$43.87$45.0021.6%6.2%21.5%14.1%21.7%5.2%1.4%-401.5K4.0M-23.9K0.6282.73N/AN/A3021863,0253,447
2022-01-21$43.68$45.0025.3%7.2%21.0%19.4%27.5%2.9%-3.4%-201.3K4.7M-26.4K1.7492.93N/AN/A1372393,1033,579
2022-01-24$43.50$45.0040.0%11.5%20.6%41.0%39.6%2.3%-16.1%-221.2K2.8M-26.2K1.4999.35N/AN/A2643942,8533,133
2022-01-25$43.79$45.0025.6%7.3%20.1%19.9%25.5%98.4%-0.8%-199.9K2.3M-28.6K1.5993.69N/AN/A1672662,9813,379
2022-01-26$43.27$45.0022.7%6.5%19.8%15.7%24.3%12.6%2.1%-208.7K3.0M-30.3K0.5392.93N/AN/A2801483,0343,450
2022-01-27$42.99$45.0025.4%7.3%19.0%19.7%30.6%4.7%-2.7%-197.0K3.2M-31.4K1.24100.34N/AN/A1551923,2293,459
2022-01-28$42.85$45.0022.1%6.4%18.7%14.9%25.3%11.1%-5.8%-164.8K2.4M-30.1K0.84108.61N/AN/A83703,2293,521
2022-01-31$44.07$45.0024.9%7.1%21.8%18.9%26.2%10.3%-0.9%-131.2K1.5M-31.0K1.1789.69N/AN/A1021193,2453,526