NNN Options History — July 2022

In July 2022, NNN traded between $42.98 and $47.54. ATM implied volatility averaged 24.8%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 3.0% (HV 20d: 27.8%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2022-07-19: Highest Volume — 782 contracts
  • 2022-07-05: Largest IV spike — 62.2% change
  • 2022-07-20: Highest IV Rank — 28.2%
  • 2022-07-20: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.19$42.98$47.54$44.38$47.54
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV24.8%18.3%31.3%18.3%23.1%
Expected Move7.0%5.2%9.0%5.2%6.6%
HV 20d27.8%21.3%35.6%35.6%21.3%
HV 60d28.9%27.0%29.6%28.8%27.0%
IV Rank18.7%9.2%28.2%9.2%16.2%
IV Percentile67.1%16.7%92.1%16.7%60.3%
Term Structure-0.2%-11.6%13.1%1.2%2.4%
VWIV24.9%18.6%31.3%19.4%24.8%
Skew 25d14.4%-0.5%72.8%10.7%10.0%
Skew 10d37.6%-12.6%160.4%17.6%19.2%
Call IV 25d20.9%16.7%31.8%18.9%20.4%
Put IV 25d35.2%27.2%89.5%29.5%30.4%
Bid-Ask Spread %84.5156.6596.7096.7089.19
Gamma HHI0.490.400.610.530.40
Net GEX463.4K216.9K675.7K414.2K512.0K
Net DEX-5.9M-11.2M-1.7M-4.0M-11.2M
Net VEX-33.2K-42.5K-28.7K-34.0K-42.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.163.960.660.45
Total Volume321.75135782296159
Total OI5,787.15,0536,5955,1956,595

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$44.38$45.0018.3%5.2%35.6%9.2%19.4%10.7%1.2%414.2K-4.0M-34.0K0.6696.70N/AN/A1781183,2861,909
2022-07-05$43.97$45.0029.6%8.0%35.1%25.8%29.4%7.0%-3.5%343.7K-3.6M-32.4K1.2694.26N/AN/A871103,4391,909
2022-07-06$44.32$45.0024.2%5.6%35.2%17.9%19.7%8.1%4.1%506.0K-4.4M-32.5K1.2395.60N/AN/A1081333,4911,922
2022-07-07$44.27$45.0019.6%6.8%34.9%11.2%25.1%5.9%-3.0%628.1K-4.2M-33.4K2.2192.73N/AN/A42933,5301,923
2022-07-08$44.74$45.0023.8%7.0%34.3%17.3%27.3%11.8%-3.6%568.0K-5.1M-30.5K0.2487.41N/AN/A400953,5371,934
2022-07-11$44.67$45.0028.5%7.1%33.6%24.1%25.4%12.5%-0.2%675.7K-5.3M-33.5K0.9381.63N/AN/A1431333,7931,972
2022-07-12$43.80$45.0027.1%7.1%34.5%22.1%26.8%10.3%-1.3%501.5K-3.7M-32.5K2.7692.55N/AN/A932573,8551,975
2022-07-13$43.61$45.0022.9%6.6%27.6%15.9%27.3%10.2%2.5%412.0K-2.7M-31.0K3.9684.02N/AN/A461823,8692,160
2022-07-14$42.98$45.0022.0%6.3%27.4%14.6%27.1%11.0%2.4%241.9K-1.7M-30.5K3.0089.38N/AN/A541623,8702,182
2022-07-15$44.09$45.0024.0%6.9%25.2%17.6%24.2%9.1%-3.4%216.9K-3.1M-30.3K1.4886.26N/AN/A1692503,8812,130
2022-07-18$44.78$45.0023.0%6.6%23.8%16.1%23.0%9.7%-0.3%318.7K-4.1M-28.7K0.6287.48N/AN/A158983,1981,855
2022-07-19$45.59$45.0024.6%7.1%23.7%18.4%24.3%6.7%4.1%303.3K-5.2M-30.6K0.2374.70N/AN/A6351473,3031,855
2022-07-20$45.82$45.0031.3%9.0%23.6%28.2%31.3%-0.5%-11.6%460.5K-7.1M-30.9K0.3859.28N/AN/A4411693,7411,906
2022-07-21$45.55$45.0026.9%7.7%23.7%21.7%24.1%31.2%-1.3%428.3K-6.4M-36.2K0.3473.80N/AN/A286973,9631,923
2022-07-22$45.87$45.0027.5%7.9%23.1%22.7%27.2%38.1%-6.6%472.0K-7.4M-32.8K0.4089.81N/AN/A206823,9671,929
2022-07-25$46.19$45.0026.5%7.6%22.5%21.2%25.3%72.8%-1.8%485.7K-8.1M-35.6K0.7089.68N/AN/A1461024,1151,929
2022-07-26$47.18$45.0028.4%8.1%23.3%23.9%26.9%2.3%-3.5%581.1K-10.0M-34.2K0.3389.23N/AN/A221734,2401,947
2022-07-27$47.38$45.0021.1%6.1%23.3%13.4%18.6%12.5%13.1%640.1K-10.9M-34.3K0.3179.93N/AN/A182564,3971,961
2022-07-28$47.00$45.0023.6%6.8%23.5%17.0%20.9%7.6%6.1%558.2K-10.4M-37.9K0.1656.65N/AN/A280444,3911,960
2022-07-29$47.54$45.0023.1%6.6%21.3%16.2%24.8%10.0%2.4%512.0K-11.2M-42.5K0.4589.19N/AN/A110494,6361,959