NNN Options History — August 2022

In August 2022, NNN traded between $43.71 and $48.16. 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 5.3% (HV 20d: 17.9%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.23.

Notable Days

  • 2022-08-08: Highest Volume — 397 contracts
  • 2022-08-31: Largest IV spike — 58.2% change
  • 2022-08-02: Highest IV Rank — 42.4%
  • 2022-08-02: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.72$43.71$48.16$47.39$45.04
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV23.2%14.8%41.0%30.3%35.8%
Expected Move6.8%4.3%11.7%8.7%10.3%
HV 20d17.9%14.7%26.1%19.0%26.1%
HV 60d25.2%24.4%27.3%26.4%27.3%
IV Rank16.4%4.2%42.4%26.8%34.8%
IV Percentile50.1%1.6%99.2%90.9%96.8%
Term Structure-3.0%-17.2%5.9%-14.7%-12.0%
VWIV23.8%14.9%36.8%28.3%33.4%
Skew 25d5.7%-3.3%17.0%8.6%7.5%
Skew 10d2.0%-27.2%23.5%8.4%12.9%
Call IV 25d21.6%14.4%40.4%22.2%30.7%
Put IV 25d27.3%21.9%40.2%30.8%38.2%
Bid-Ask Spread %84.1954.38104.7676.7576.26
Gamma HHI0.460.400.520.450.40
Net GEX623.8K468.1K768.1K651.1K468.1K
Net DEX-10.0M-14.0M-5.4M-11.5M-5.4M
Net VEX-34.2K-40.9K-28.9K-37.3K-30.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.024.680.631.14
Total Volume113.04320397130186
Total OI6,657.1746,2577,0316,5956,559

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$47.39$45.0030.3%8.7%19.0%26.8%28.3%8.6%-14.7%651.1K-11.5M-37.3K0.6376.75N/AN/A80504,6401,955
2022-08-02$46.89$45.0041.0%11.7%19.1%42.4%36.1%17.0%-17.2%612.5K-11.0M-39.1K1.5863.89N/AN/A57904,6611,957
2022-08-03$47.16$45.0023.3%6.7%19.0%16.5%24.1%3.0%4.1%638.0K-11.2M-37.8K0.7857.09N/AN/A83654,6601,979
2022-08-04$46.33$45.0024.5%7.7%20.4%18.4%24.8%7.3%-1.0%572.1K-9.5M-39.3K0.8289.27N/AN/A94774,6991,982
2022-08-05$46.06$45.0024.9%11.4%20.3%18.8%36.8%-3.3%-16.2%530.8K-8.4M-40.9K0.66104.76N/AN/A122804,6671,983
2022-08-08$46.63$45.0027.9%7.1%20.6%23.3%25.4%6.6%-0.7%637.2K-10.5M-36.7K2.6888.23N/AN/A1082894,6761,997
2022-08-09$47.15$45.0026.9%7.3%19.2%21.8%20.8%4.9%0.4%647.3K-11.2M-36.3K0.2387.55N/AN/A83194,6942,024
2022-08-10$47.87$45.0018.0%5.2%19.3%8.8%19.5%6.4%2.3%740.6K-12.9M-34.0K0.7895.36N/AN/A60474,7742,026
2022-08-11$47.74$45.0015.0%4.3%18.2%4.4%16.0%5.1%5.9%681.6K-12.7M-36.6K0.1093.65N/AN/A6974,8252,021
2022-08-12$48.16$45.0014.8%4.3%16.6%4.2%14.9%8.8%5.7%764.8K-14.0M-34.0K0.0290.26N/AN/A6414,8702,023
2022-08-15$48.09$45.0017.0%4.9%16.2%7.3%19.5%4.9%2.3%768.1K-13.5M-33.0K0.8097.53N/AN/A20164,9092,023
2022-08-16$47.83$45.0017.3%5.0%15.6%7.9%24.4%6.3%2.9%735.0K-12.9M-34.0K0.6092.43N/AN/A65394,9052,030
2022-08-17$47.60$45.0016.1%4.6%15.8%6.0%18.9%4.5%3.4%664.9K-12.6M-33.0K1.2395.22N/AN/A31384,9262,038
2022-08-18$47.25$45.0022.6%6.5%15.9%15.6%22.7%5.7%3.2%649.9K-11.9M-33.6K4.6889.38N/AN/A19894,9022,055
2022-08-19$46.91$45.0022.3%6.4%16.0%15.1%21.5%3.4%-13.3%609.8K-11.2M-33.5K0.1991.00N/AN/A53104,8902,141
2022-08-22$46.53$45.0024.6%7.0%16.2%18.4%24.1%4.8%-11.1%566.8K-8.2M-33.2K2.8891.02N/AN/A17494,2951,962
2022-08-23$45.95$45.0023.9%6.9%14.8%17.4%22.9%4.7%-4.0%549.5K-6.9M-31.8K1.8954.38N/AN/A28534,3012,000
2022-08-24$46.02$45.0022.3%6.4%14.7%15.1%22.3%3.4%-3.8%564.3K-7.1M-31.1K0.4675.83N/AN/A70324,3082,049
2022-08-25$46.45$45.0022.2%6.4%15.0%14.9%23.8%6.2%-1.9%589.5K-7.8M-31.8K1.2275.21N/AN/A9114,3112,071
2022-08-26$45.84$45.0019.7%5.7%14.9%11.3%21.1%1.1%1.3%597.8K-6.8M-29.2K0.8476.15N/AN/A38324,3192,081
2022-08-29$46.05$45.0020.3%5.8%15.1%12.2%22.0%-0.6%2.5%585.3K-7.4M-30.2K1.2883.10N/AN/A36464,3272,101
2022-08-30$43.71$45.0022.6%6.5%23.4%15.6%24.4%14.4%-6.8%522.2K-6.1M-28.9K2.7891.98N/AN/A18504,3522,147
2022-08-31$45.04$45.0035.8%10.3%26.1%34.8%33.4%7.5%-12.0%468.1K-5.4M-30.4K1.1476.26N/AN/A87994,3622,197