NNN Options History — May 2022

In May 2022, NNN traded between $41.73 and $45.17. ATM implied volatility averaged 26.1%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 4.1% (HV 20d: 30.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2022-05-16: Highest Volume — 511 contracts
  • 2022-05-05: Largest IV spike — 46.3% change
  • 2022-05-10: Highest IV Rank — 61.8%
  • 2022-05-11: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.35$41.73$45.17$42.72$44.36
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV26.1%17.6%54.3%31.6%21.0%
Expected Move6.8%5.1%9.3%9.1%6.0%
HV 20d30.1%23.8%32.3%23.8%26.4%
HV 60d24.5%22.8%25.3%22.8%24.3%
IV Rank20.6%8.3%61.8%28.7%13.2%
IV Percentile63.9%13.1%99.6%96.0%46.0%
Term Structure-0.6%-5.8%5.8%-1.5%-2.0%
VWIV27.5%20.6%36.9%34.8%22.3%
Skew 25d7.8%2.6%13.0%11.3%6.9%
Skew 10d12.6%7.1%21.5%11.2%7.1%
Call IV 25d23.7%17.3%29.4%24.9%24.7%
Put IV 25d31.5%26.3%38.1%36.2%31.6%
Bid-Ask Spread %80.4561.69104.08100.0767.81
Gamma HHI0.370.320.440.360.42
Net GEX31.0K-122.7K195.1K-5.7K195.1K
Net DEX237.3K-2.4M2.3M510.5K-1.4M
Net VEX-27.5K-32.6K-23.6K-30.3K-23.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.322.541.280.58
Total Volume257.143147511269180
Total OI5,859.6195,3486,3095,5825,741

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$42.72$45.0031.6%9.1%23.8%28.7%34.8%11.3%-1.5%-5.7K510.5K-30.3K1.28100.07N/AN/A1181512,9202,662
2022-05-03$43.88$45.0023.9%6.8%26.1%17.4%29.8%10.0%-2.3%95.7K-979.9K-32.6K0.4380.31N/AN/A139602,9522,765
2022-05-04$45.17$45.0018.6%5.3%28.2%9.7%28.7%11.6%5.1%185.5K-2.4M-31.5K0.61104.08N/AN/A96592,9802,768
2022-05-05$44.11$45.0027.2%7.1%29.2%22.2%26.4%6.0%-2.0%98.3K-990.4K-32.4K1.0180.75N/AN/A92933,0002,787
2022-05-06$43.34$45.0032.3%5.8%29.7%29.7%24.1%3.0%-0.4%28.8K409-31.6K1.9281.37N/AN/A841613,0052,837
2022-05-09$42.43$45.0039.6%8.8%30.3%40.3%28.1%6.3%-2.3%-61.3K1.4M-30.3K0.9984.48N/AN/A85843,0122,884
2022-05-10$41.77$45.0054.3%9.1%30.6%61.8%33.2%11.9%5.8%-106.3K1.9M-30.9K0.5676.75N/AN/A94533,0202,912
2022-05-11$41.73$45.0032.5%9.3%30.6%29.9%32.7%8.6%-5.8%-122.7K2.3M-29.1K0.3278.03N/AN/A153493,0452,923
2022-05-12$42.59$45.0028.9%8.3%31.5%24.8%29.5%4.6%-2.8%-66.3K1.6M-27.6K1.5777.16N/AN/A1602523,0132,926
2022-05-13$43.31$45.0020.2%5.8%32.0%12.1%27.5%10.2%1.7%8.8K600.7K-28.7K2.5480.52N/AN/A1193023,0193,108
2022-05-16$43.79$45.0020.0%5.7%32.3%11.8%28.0%7.7%3.4%91.6K-221.0K-25.5K1.1378.39N/AN/A2402713,0393,063
2022-05-17$44.49$45.0018.2%5.2%31.9%9.2%25.8%2.6%-5.8%172.9K-1.2M-24.1K2.1792.31N/AN/A1393013,1193,091
2022-05-18$43.46$45.0025.0%7.2%31.9%19.0%36.9%4.2%-1.8%46.3K598.1K-25.6K0.7982.45N/AN/A1581253,1383,133
2022-05-19$43.12$45.0023.2%6.6%31.9%16.4%26.9%6.8%3.1%7.2K1.1M-25.7K1.5278.03N/AN/A1191813,1653,143
2022-05-20$43.16$45.0025.6%7.3%31.4%19.9%27.6%5.9%-0.5%-39.7K1.2M-26.4K1.0874.60N/AN/A86933,1643,145
2022-05-23$42.73$45.0020.0%5.7%31.3%11.7%23.2%6.3%-3.7%-94.2K1.3M-23.6K0.5761.69N/AN/A134772,6682,680
2022-05-24$42.99$45.0025.5%7.3%31.2%19.8%25.6%13.0%-4.5%8.9K374.6K-24.7K0.6298.49N/AN/A130812,7412,679
2022-05-25$43.63$45.0017.6%5.1%31.8%8.3%20.6%9.8%2.5%46.9K154.9K-24.8K0.3273.31N/AN/A216702,8052,682
2022-05-26$43.59$45.0022.1%6.3%31.7%14.8%23.1%7.3%-0.3%30.3K81.6K-23.8K0.5870.95N/AN/A127742,9642,677
2022-05-27$44.02$45.0020.1%5.8%28.8%11.9%23.0%10.3%0.5%130.5K-829.0K-23.8K0.6267.84N/AN/A120743,0142,663
2022-05-31$44.36$45.0021.0%6.0%26.4%13.2%22.3%6.9%-2.0%195.1K-1.4M-23.6K0.5867.81N/AN/A114663,0782,663