NNN Options History — June 2022

In June 2022, NNN traded between $39.57 and $44.22. ATM implied volatility averaged 25.1%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 2.5% (HV 20d: 27.6%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2022-06-23: Highest Volume — 663 contracts
  • 2022-06-30: Largest IV spike — 73.6% change
  • 2022-06-28: Highest IV Rank — 32.6%
  • 2022-06-28: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.59$39.57$44.22$43.88$43.00
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV25.1%15.3%34.3%20.3%29.2%
Expected Move7.1%3.7%9.8%5.8%8.4%
HV 20d27.6%20.0%33.6%25.0%33.6%
HV 60d26.3%23.8%28.4%23.9%28.0%
IV Rank19.1%4.9%32.6%12.1%25.2%
IV Percentile62.0%2.8%96.0%39.7%88.5%
Term Structure0.4%-9.7%8.1%-1.1%0.0%
VWIV23.6%13.3%32.7%20.2%26.9%
Skew 25d11.6%3.8%69.4%11.2%7.5%
Skew 10d20.0%6.4%94.1%15.6%11.5%
Call IV 25d22.0%13.1%30.7%20.7%26.4%
Put IV 25d33.5%22.7%96.7%31.9%33.9%
Bid-Ask Spread %93.5064.52111.4464.5298.95
Gamma HHI0.470.350.690.410.44
Net GEX51.9K-520.6K514.9K159.2K229.0K
Net DEX-166.0K-4.0M4.5M-837.7K-2.3M
Net VEX-24.1K-33.3K-17.9K-22.9K-33.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.124.731.171.25
Total Volume341.333189663230189
Total OI5,411.0953,5706,2255,8255,166

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$43.88$45.0020.3%5.8%25.0%12.1%20.2%11.2%-1.1%159.2K-837.7K-22.9K1.1764.52N/AN/A1061243,1342,691
2022-06-02$44.03$45.0019.1%5.9%22.6%10.4%19.4%6.7%-3.2%271.3K-1.6M-20.9K1.88105.69N/AN/A1031943,1872,662
2022-06-03$43.25$45.0017.1%6.3%21.9%7.6%21.1%7.4%3.2%119.2K-219.0K-23.0K2.0399.48N/AN/A1032093,2312,677
2022-06-06$43.36$45.0019.4%5.9%21.1%10.9%20.5%3.8%2.4%130.1K-209.9K-22.6K1.15108.94N/AN/A1401613,2312,676
2022-06-07$43.97$45.0023.6%3.7%20.0%17.1%13.3%9.6%5.4%245.6K-1.0M-21.1K1.32100.15N/AN/A1341773,2142,700
2022-06-08$43.18$45.0015.3%4.4%20.3%4.9%17.0%11.4%-0.2%200.7K-483.7K-21.7K2.34102.14N/AN/A872043,3102,715
2022-06-09$42.43$45.0023.5%6.7%21.4%16.8%23.3%5.4%7.6%-37.4K909.3K-22.4K2.78100.57N/AN/A982723,3312,743
2022-06-10$42.46$45.0028.9%8.3%20.2%24.7%21.6%8.0%4.3%-46.5K823.3K-23.3K1.7092.37N/AN/A1412403,3392,803
2022-06-13$40.20$45.0030.7%8.8%27.0%27.3%31.1%9.2%-4.1%-348.1K4.1M-20.6K1.1780.12N/AN/A1732023,3602,834
2022-06-14$39.57$45.0034.1%9.8%26.7%32.3%32.7%7.2%-9.7%-384.6K4.5M-17.9K0.8391.35N/AN/A1961623,3302,806
2022-06-15$41.21$45.0026.2%7.5%30.5%20.8%26.4%10.5%1.7%-321.8K1.9M-22.8K4.73108.00N/AN/A1024823,3922,833
2022-06-16$40.34$45.0028.0%8.0%30.3%23.5%28.9%4.5%8.1%-520.6K2.9M-21.3K1.38111.44N/AN/A911263,4012,754
2022-06-17$41.11$45.0031.4%9.0%31.3%28.4%28.0%10.0%-5.4%-37.5K1.0M-22.7K0.8692.80N/AN/A1601373,4002,754
2022-06-21$41.51$45.0032.9%9.4%31.6%30.5%29.3%5.5%-3.1%-13.1K545.9K-22.6K0.20102.28N/AN/A218431,7881,782
2022-06-22$42.06$45.0032.4%9.3%31.9%29.9%24.6%11.1%-2.5%8.2K33.0K-22.3K0.2895.01N/AN/A167461,9451,782
2022-06-23$42.85$45.0022.3%6.4%32.5%15.1%23.4%6.6%2.6%64.2K-644.2K-23.3K0.1295.30N/AN/A593702,0351,775
2022-06-24$43.63$45.0018.5%5.3%32.7%9.5%20.1%9.0%3.8%225.3K-2.3M-30.0K0.2265.86N/AN/A274602,5261,806
2022-06-27$44.10$45.0022.3%6.4%33.0%15.0%22.6%10.7%-0.9%282.9K-3.0M-28.7K0.1265.26N/AN/A506622,7101,799
2022-06-28$44.22$45.0034.3%9.8%32.8%32.6%29.7%69.4%-6.6%348.3K-3.6M-32.0K0.4288.35N/AN/A201843,1311,830
2022-06-29$44.07$45.0016.8%4.8%32.7%7.1%14.5%17.9%5.9%514.9K-4.0M-31.3K0.4694.88N/AN/A2261053,2001,850
2022-06-30$43.00$45.0029.2%8.4%33.6%25.2%26.9%7.5%0.0%229.0K-2.3M-33.3K1.2598.95N/AN/A841053,3101,856