NNN Options History — November 2022

In November 2022, NNN traded between $42.25 and $46.27. ATM implied volatility averaged 25.2%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 8.1% (HV 20d: 17.2%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2022-11-09: Highest Volume — 370 contracts
  • 2022-11-18: Largest IV spike — 66.6% change
  • 2022-11-18: Highest IV Rank — 67.3%
  • 2022-11-18: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.57$42.25$46.27$42.30$46.16
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV25.2%19.6%40.4%36.1%27.2%
Expected Move7.1%5.6%11.6%10.4%7.8%
HV 20d17.2%14.6%20.4%20.3%20.4%
HV 60d25.7%23.7%26.8%25.7%24.7%
IV Rank31.4%18.2%67.3%57.1%36.0%
IV Percentile54.5%19.8%98.4%94.0%71.0%
Term Structure-2.0%-19.5%7.1%-19.5%-3.8%
VWIV25.7%18.0%38.8%26.4%27.9%
Skew 25d12.6%-0.6%121.5%11.3%7.8%
Skew 10d20.5%0.1%206.8%27.8%9.1%
Call IV 25d21.5%14.3%32.6%24.1%17.7%
Put IV 25d34.1%19.9%136.0%35.4%25.5%
Bid-Ask Spread %78.7248.5199.8697.4899.86
Gamma HHI0.640.550.760.600.57
Net GEX587.3K350.0K743.9K352.4K661.3K
Net DEX-6.5M-8.7M-3.3M-3.3M-8.4M
Net VEX-20.4K-23.4K-16.4K-16.4K-20.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.002.490.800.68
Total Volume218.0951437017352
Total OI4,709.194,2805,0544,2804,858

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$42.30$40.0036.1%10.4%20.3%57.1%26.4%11.3%-19.5%352.4K-3.3M-16.4K0.8097.48N/AN/A96773,674606
2022-11-02$42.25$40.0033.5%9.6%19.4%51.0%27.3%13.7%-7.4%350.0K-3.4M-16.8K0.5798.08N/AN/A166943,676614
2022-11-03$42.55$40.0025.4%5.6%16.0%31.8%24.4%3.6%-1.4%385.1K-3.9M-17.6K0.6785.15N/AN/A117783,726612
2022-11-04$42.81$40.0024.2%7.3%15.6%29.0%26.4%3.2%2.3%373.4K-4.2M-18.6K0.4585.97N/AN/A199903,736612
2022-11-07$43.13$40.0022.0%5.8%15.7%23.7%24.8%0.8%7.1%468.6K-4.6M-18.4K1.2892.11N/AN/A67863,863626
2022-11-08$43.52$40.0022.2%5.7%15.7%24.3%21.8%3.1%6.4%582.1K-5.5M-17.6K0.7299.60N/AN/A128923,882627
2022-11-09$43.79$40.0020.6%5.9%15.7%20.4%26.4%2.8%1.1%547.3K-5.3M-18.6K0.3767.32N/AN/A2701003,897620
2022-11-10$45.43$40.0025.3%7.2%19.1%31.5%24.1%13.2%0.3%549.9K-7.5M-21.4K0.7693.31N/AN/A1891434,119609
2022-11-11$44.88$40.0021.6%6.2%18.6%22.9%25.9%6.3%2.6%653.5K-7.4M-23.2K1.0975.81N/AN/A1161274,234658
2022-11-14$44.83$40.0024.5%7.0%17.7%29.6%25.8%4.5%-0.8%649.2K-7.6M-23.4K0.8048.51N/AN/A1541234,277676
2022-11-15$45.04$40.0023.3%6.7%17.7%26.9%26.5%11.2%0.6%729.6K-7.6M-22.8K1.1762.77N/AN/A1191394,334665
2022-11-16$44.92$40.0021.2%6.1%16.0%21.8%31.0%10.7%3.7%722.9K-7.3M-21.9K1.1486.49N/AN/A1211384,343678
2022-11-17$44.96$40.0024.3%7.0%16.2%29.1%24.3%3.9%-3.6%743.9K-7.2M-22.3K1.0860.48N/AN/A1311414,347680
2022-11-18$45.51$40.0040.4%11.6%16.3%67.3%38.8%27.5%-15.6%583.7K-8.0M-21.9K0.9064.93N/AN/A1711544,352702
2022-11-21$45.86$40.0020.4%5.9%15.9%20.0%27.5%-0.6%-2.0%679.3K-8.4M-21.2K1.5675.33N/AN/A951484,077571
2022-11-22$46.27$40.0023.6%6.8%14.6%27.6%23.0%4.9%-1.0%669.4K-8.7M-22.2K2.4976.67N/AN/A882194,104579
2022-11-23$45.72$40.0026.3%7.5%15.7%33.8%21.8%4.1%-6.3%629.3K-7.5M-22.1K2.1666.26N/AN/A671454,140656
2022-11-25$45.97$40.0024.6%7.1%15.7%30.0%25.0%8.9%-1.7%639.0K-8.4M-22.2K0.0065.75N/AN/A1404,145658
2022-11-28$44.75$40.0023.4%6.7%19.3%27.1%22.6%1.4%-0.0%628.3K-6.0M-19.9K0.8954.92N/AN/A54484,154658
2022-11-29$45.22$40.0019.6%5.6%19.5%18.2%18.0%121.5%-3.1%734.9K-6.8M-19.2K0.5096.22N/AN/A1684,173675
2022-11-30$46.16$40.0027.2%7.8%20.4%36.0%27.9%7.8%-3.8%661.3K-8.4M-20.4K0.6899.86N/AN/A31214,177681