NNN Options History — September 2022

In September 2022, NNN traded between $39.10 and $45.76. ATM implied volatility averaged 25.8%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 1.3% (HV 20d: 27.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2022-09-16: Highest Volume — 388 contracts
  • 2022-09-13: Largest IV spike — 37.3% change
  • 2022-09-27: Highest IV Rank — 42.0%
  • 2022-09-27: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.23$39.10$45.76$44.68$40.08
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV25.8%18.0%40.7%24.6%31.0%
Expected Move7.2%4.5%11.7%7.0%8.9%
HV 20d27.1%24.0%29.8%25.5%29.8%
HV 60d24.1%22.1%27.2%27.2%25.6%
IV Rank20.2%8.8%42.0%18.4%27.9%
IV Percentile58.9%12.7%98.8%68.3%88.9%
Term Structure-0.7%-14.8%10.9%-3.0%3.7%
VWIV24.6%16.6%37.6%27.6%31.4%
Skew 25d12.1%1.3%84.1%5.5%84.1%
Skew 10d19.2%0.3%134.6%7.7%134.6%
Call IV 25d22.5%13.4%39.7%29.0%33.8%
Put IV 25d34.7%22.1%117.9%34.5%117.9%
Bid-Ask Spread %95.7162.84110.0484.57100.80
Gamma HHI0.470.320.680.460.34
Net GEX334.1K77.1K761.4K413.5K87.9K
Net DEX-2.5M-6.9M462.2K-4.7M-276.9K
Net VEX-22.8K-29.8K-18.4K-29.8K-18.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.133.092.533.09
Total Volume162.2384038867323
Total OI5,381.9523,5286,8526,5793,922

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$44.68$45.0024.6%7.0%25.5%18.4%27.6%5.5%-3.0%413.5K-4.7M-29.8K2.5384.57N/AN/A19484,3652,214
2022-09-02$44.59$45.0021.4%6.1%25.5%13.8%21.7%27.6%-0.6%475.8K-4.0M-27.3K1.2262.84N/AN/A18224,3522,248
2022-09-06$44.69$45.0021.5%6.6%25.0%13.9%24.7%6.9%0.9%488.7K-4.6M-27.3K1.94102.53N/AN/A48934,3482,279
2022-09-07$45.47$45.0020.5%6.2%25.5%12.5%22.3%5.7%3.2%603.6K-5.7M-26.7K1.4095.27N/AN/A63884,3472,285
2022-09-08$44.86$45.0026.5%6.2%25.0%21.2%26.1%10.8%2.6%531.5K-4.2M-25.9K0.1794.51N/AN/A5394,3562,287
2022-09-09$45.32$45.0019.3%5.2%25.5%10.7%19.6%9.5%1.5%761.4K-6.0M-25.6K0.66110.04N/AN/A29194,4062,293
2022-09-12$45.76$45.0019.8%5.1%25.5%11.4%16.6%5.5%10.9%717.8K-6.9M-25.5K1.40103.54N/AN/A42594,4342,307
2022-09-13$44.50$45.0027.1%4.5%27.0%22.2%18.1%8.9%3.1%670.2K-3.6M-22.6K1.1396.67N/AN/A1281454,4432,311
2022-09-14$43.60$45.0019.9%5.7%27.7%11.6%19.4%9.0%0.9%371.0K-2.6M-23.0K1.1598.40N/AN/A46534,4392,376
2022-09-15$43.90$45.0021.4%6.1%28.0%13.8%22.9%6.7%-4.6%427.4K-2.6M-22.5K0.72101.32N/AN/A79574,4402,404
2022-09-16$43.96$45.0021.4%6.1%28.0%13.7%22.1%11.5%1.1%209.8K-1.0M-20.7K1.3193.71N/AN/A1682204,4032,449
2022-09-19$44.15$45.0018.9%5.4%28.1%10.2%19.3%11.2%2.4%232.1K-2.2M-20.6K0.1391.75N/AN/A285372,735793
2022-09-20$43.38$45.0018.0%5.2%28.5%8.8%20.0%7.0%0.1%197.7K-2.3M-23.9K0.17104.76N/AN/A128222,938829
2022-09-21$42.77$45.0021.5%6.2%28.6%13.9%21.7%7.4%3.6%153.3K-1.2M-19.5K1.6794.67N/AN/A601002,978852
2022-09-22$42.35$45.0027.2%7.8%28.6%22.3%25.8%3.5%5.3%155.4K-881.0K-20.9K1.5084.11N/AN/A34513,023945
2022-09-23$41.59$45.0035.8%10.3%28.6%34.9%32.4%6.5%-14.5%129.1K-607.8K-21.9K0.7699.44N/AN/A42323,019984
2022-09-26$41.07$45.0036.3%10.4%28.6%35.5%27.6%13.1%-6.7%110.8K-436.5K-20.9K0.9794.59N/AN/A1141113,0131,013
2022-09-27$40.60$45.0040.7%11.7%28.4%42.0%29.5%5.7%-14.8%93.5K308.6K-18.4K1.22102.91N/AN/A981203,0321,024
2022-09-28$41.36$45.0032.6%9.3%24.0%30.1%30.9%7.7%-0.8%109.3K-108.8K-18.6K2.2595.75N/AN/A531193,0351,027
2022-09-29$39.10$45.0036.6%10.5%27.6%35.9%37.6%1.3%-9.7%77.1K462.2K-19.0K1.3997.66N/AN/A721003,0461,027
2022-09-30$40.08$45.0031.0%8.9%29.8%27.9%31.4%84.1%3.7%87.9K-276.9K-18.4K3.09100.80N/AN/A792443,065857