NNN Options History — October 2022

In October 2022, NNN traded between $38.65 and $42.01. ATM implied volatility averaged 32.4%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 3.7% (HV 20d: 28.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2022-10-27: Highest Volume — 384 contracts
  • 2022-10-28: Largest IV spike — 52.3% change
  • 2022-10-31: Highest IV Rank — 58.2%
  • 2022-10-04: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.95$38.65$42.01$39.82$42.01
Max Pain$40.71$40.00$45.00$45.00$40.00
ATM IV32.4%22.1%42.9%37.7%36.6%
Expected Move9.2%6.3%11.4%10.8%10.5%
HV 20d28.7%20.9%31.5%29.8%20.9%
HV 60d25.5%24.9%26.1%25.5%25.8%
IV Rank40.8%24.1%58.2%37.6%58.2%
IV Percentile85.9%42.1%99.2%97.2%96.0%
Term Structure-2.9%-14.9%10.6%-11.0%-13.6%
VWIV31.6%20.8%40.5%40.5%33.6%
Skew 25d12.5%-4.3%45.6%-4.3%8.5%
Skew 10d35.9%0.1%80.3%0.1%53.1%
Call IV 25d27.5%18.1%46.0%46.0%33.3%
Put IV 25d40.0%30.3%67.0%41.7%41.8%
Bid-Ask Spread %92.7969.74105.4295.61105.42
Gamma HHI0.390.300.570.350.55
Net GEX99.6K-18.3K318.7K77.6K318.7K
Net DEX-443.7K-3.3M761.6K247.8K-3.3M
Net VEX-13.6K-18.1K-10.0K-14.7K-17.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.291.821.030.46
Total Volume222.619134384203251
Total OI4,1173,7834,2974,0734,239

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$39.82$45.0037.7%10.8%29.8%37.6%40.5%-4.3%-11.0%77.6K247.8K-14.7K1.0395.61N/AN/A1001033,091982
2022-10-04$40.50$45.0039.7%11.4%30.7%40.6%32.3%3.8%-14.9%97.5K-294.9K-16.1K0.94102.49N/AN/A99933,069999
2022-10-05$39.93$45.0036.2%10.4%29.7%35.4%40.4%-2.6%-3.7%81.9K-216.9K-16.5K1.2398.94N/AN/A79973,1001,006
2022-10-06$38.88$40.0034.5%9.4%30.5%32.9%35.3%10.1%-3.5%46.6K541.2K-14.5K1.6889.51N/AN/A56943,1091,012
2022-10-07$38.69$40.0034.1%9.8%29.8%32.3%31.4%8.2%0.9%48.9K291.1K-15.6K1.8292.40N/AN/A49893,1101,015
2022-10-10$38.87$40.0042.9%10.7%29.5%45.1%34.6%12.0%1.1%55.2K382.2K-14.5K1.6396.63N/AN/A51833,1121,017
2022-10-11$39.11$40.0032.4%10.3%28.9%29.8%32.6%4.8%-7.1%17.2K761.6K-10.0K1.0588.77N/AN/A76803,119920
2022-10-12$39.18$40.0030.0%8.6%28.6%42.7%29.6%10.0%-0.5%26.1K492.8K-11.3K0.8894.49N/AN/A1361193,139921
2022-10-13$39.25$40.0030.1%8.6%28.4%42.8%30.5%13.9%-2.8%34.0K311.7K-11.4K0.7596.67N/AN/A1341003,171947
2022-10-14$38.65$40.0032.6%9.3%28.4%48.7%34.5%10.8%-2.4%30.7K562.6K-11.3K0.8890.71N/AN/A1301143,183949
2022-10-17$39.62$40.0031.1%8.9%30.3%45.3%31.4%5.1%4.1%61.0K-346.5K-13.9K0.8899.83N/AN/A1281133,199963
2022-10-18$39.79$40.0030.8%8.8%30.2%44.4%32.1%12.8%-1.7%47.5K-25.0K-12.3K0.8996.04N/AN/A1331193,243964
2022-10-19$39.17$40.0029.2%8.4%30.2%40.8%29.9%7.4%-0.0%-2.2K127.0K-12.1K1.0394.06N/AN/A1151193,303972
2022-10-20$39.35$40.0031.6%9.1%30.3%46.5%35.2%11.8%-4.6%9.4K536.0K-10.2K1.1795.47N/AN/A81953,321972
2022-10-21$39.69$40.0026.8%7.7%30.1%35.1%27.4%45.6%2.8%-18.3K-47.1K-11.9K1.59100.25N/AN/A761213,324973
2022-10-24$40.35$40.0029.1%8.4%30.6%40.6%29.5%28.0%-5.1%152.6K-596.3K-10.8K0.4079.95N/AN/A209843,178605
2022-10-25$41.31$40.0028.9%8.3%31.5%40.1%28.4%24.6%-1.7%217.6K-1.7M-13.9K0.4391.26N/AN/A202873,299611
2022-10-26$41.29$40.0029.8%8.6%30.8%42.2%20.8%33.6%-3.3%226.9K-1.7M-14.0K0.8669.74N/AN/A1281103,403615
2022-10-27$41.66$40.0022.1%6.3%22.6%24.1%21.0%6.2%10.6%254.6K-2.3M-15.5K0.2996.61N/AN/A297873,431627
2022-10-28$41.88$40.0033.7%9.7%21.2%51.4%33.4%11.9%-4.3%307.1K-3.2M-18.1K0.5673.79N/AN/A153853,611633
2022-10-31$42.01$40.0036.6%10.5%20.9%58.2%33.6%8.5%-13.6%318.7K-3.3M-17.1K0.46105.42N/AN/A172793,633606