NNN Options History — March 2022

In March 2022, NNN traded between $42.10 and $45.98. ATM implied volatility averaged 21.7%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.5% (HV 20d: 22.2%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.86.

Notable Days

  • 2022-03-18: Highest Volume — 679 contracts
  • 2022-03-14: Largest IV spike — 72.9% change
  • 2022-03-14: Highest IV Rank — 39.9%
  • 2022-03-07: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.40$42.10$45.98$42.10$45.33
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV21.7%14.5%39.3%27.5%21.9%
Expected Move6.3%4.1%10.4%7.9%4.3%
HV 20d22.2%20.0%24.0%20.8%22.5%
HV 60d21.8%20.7%24.1%23.9%22.1%
IV Rank14.2%3.7%39.9%22.6%14.6%
IV Percentile40.1%1.6%99.2%87.7%56.0%
Term Structure-0.6%-17.4%6.1%4.0%-6.0%
VWIV24.0%12.7%36.4%30.7%15.5%
Skew 25d15.3%1.5%114.2%4.2%114.2%
Skew 10d41.3%8.6%198.6%15.7%198.6%
Call IV 25d19.2%14.7%27.2%26.9%18.3%
Put IV 25d34.5%22.8%132.5%31.1%132.5%
Bid-Ask Spread %92.6680.78113.3093.7097.66
Gamma HHI0.410.360.450.450.44
Net GEX43.4K-108.0K263.8K-99.2K263.8K
Net DEX-29.0K-3.6M1.9M1.9M-3.1M
Net VEX-23.3K-27.0K-18.8K-27.0K-23.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.133.020.750.60
Total Volume315.652178679241178
Total OI6,324.2613,6367,8747,4684,485

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$42.10$45.0027.5%7.9%20.8%22.6%30.7%4.2%4.0%-99.2K1.9M-27.0K0.7593.70N/AN/A1381034,2583,210
2022-03-02$43.05$45.0019.8%5.7%22.6%11.4%21.8%6.7%2.3%40.9K-224.8K-24.7K1.1992.45N/AN/A1231464,2913,227
2022-03-03$43.23$45.0023.2%6.7%22.6%16.5%36.4%8.6%3.6%17.7K161.9K-26.0K1.0289.71N/AN/A1251284,3073,284
2022-03-04$43.21$45.0026.8%7.7%22.2%21.7%28.8%4.8%-1.6%-85.8K212.6K-25.2K0.9190.10N/AN/A1371244,2833,351
2022-03-07$42.27$45.0036.4%10.4%23.3%35.6%34.4%9.8%4.6%-90.5K1.8M-26.2K1.2789.41N/AN/A1191514,3273,354
2022-03-08$42.69$45.0021.5%9.2%23.3%13.9%36.0%10.5%1.1%-80.3K1.1M-26.4K0.8092.16N/AN/A1861484,3093,432
2022-03-09$43.44$45.0020.6%7.9%24.0%12.6%29.1%11.0%0.6%90.4K-485.3K-26.7K0.8892.87N/AN/A1441274,4063,436
2022-03-10$43.34$45.0018.0%7.0%23.7%8.9%29.3%10.6%6.1%36.2K133.7K-25.7K0.9686.50N/AN/A1281234,3983,446
2022-03-11$43.18$45.0022.7%7.7%21.2%15.7%29.0%6.6%-0.1%40.3K687.6K-24.0K1.3194.24N/AN/A1281684,4003,446
2022-03-14$42.35$45.0039.3%7.7%22.1%39.9%27.8%12.3%-15.7%-108.0K1.9M-23.2K1.3382.58N/AN/A1081444,4103,443
2022-03-15$42.79$45.0019.3%6.4%22.4%10.6%23.7%13.8%4.8%-37.5K1.3M-21.5K3.0281.39N/AN/A1053174,4063,468
2022-03-16$42.47$45.0031.4%6.5%22.4%28.4%22.1%1.5%-17.4%-94.4K1.6M-21.5K0.6885.97N/AN/A109744,3803,378
2022-03-17$42.92$0.0017.5%5.6%22.3%8.2%21.0%9.0%3.9%20.1K1.0M-20.8K1.48106.82N/AN/A2033004,3433,383
2022-03-18$43.32$45.0016.1%5.0%22.5%6.1%23.8%9.6%4.2%8.1K537.6K-18.8K1.2694.15N/AN/A3013784,3343,310
2022-03-21$42.84$45.0015.9%4.8%22.8%5.8%18.5%7.2%-1.4%-7.1K552.1K-19.4K0.13104.93N/AN/A402541,8241,812
2022-03-22$43.55$45.0015.2%5.1%22.4%4.8%17.9%6.0%0.3%69.4K-234.3K-21.5K0.1988.98N/AN/A360702,0661,828
2022-03-23$43.18$45.0017.0%4.5%21.5%7.4%19.8%9.8%2.1%80.5K-44.4K-22.1K0.8280.78N/AN/A1731422,1841,840
2022-03-24$43.26$45.0014.5%4.2%21.2%3.7%12.7%7.9%-3.6%126.0K-476.4K-22.2K0.52103.82N/AN/A151792,1831,931
2022-03-25$44.03$45.0016.0%4.1%20.7%5.9%13.4%7.5%-2.7%133.3K-784.2K-21.4K0.17113.30N/AN/A252442,2261,950
2022-03-28$44.35$45.0018.6%4.9%20.0%9.8%21.2%8.4%-0.6%192.4K-1.5M-23.2K0.1985.94N/AN/A249472,3751,957
2022-03-29$45.98$45.0023.6%5.5%22.8%17.1%17.1%64.1%-4.8%225.6K-3.6M-22.0K0.1486.38N/AN/A292422,3771,955
2022-03-30$45.40$45.0016.4%5.7%22.5%6.5%21.2%8.0%3.3%257.2K-3.1M-22.3K0.2697.34N/AN/A190502,4891,956
2022-03-31$45.33$45.0021.9%4.3%22.5%14.6%15.5%114.2%-6.0%263.8K-3.1M-23.1K0.6097.66N/AN/A111672,5141,971