NNN Options History — December 2022

In December 2022, NNN traded between $45.09 and $46.50. ATM implied volatility averaged 23.5%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 6.4% (HV 20d: 17.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2022-12-16: Highest Volume — 540 contracts
  • 2022-12-30: Largest IV spike — 36.6% change
  • 2022-12-12: Highest IV Rank — 57.1%
  • 2022-12-30: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.85$45.09$46.50$46.13$45.61
Max Pain$44.52$40.00$45.00$40.00$45.00
ATM IV23.5%16.8%36.1%23.8%26.3%
Expected Move5.9%4.7%7.5%6.8%7.5%
HV 20d17.2%12.8%21.0%20.3%12.8%
HV 60d22.0%17.9%24.5%24.5%17.9%
IV Rank27.3%11.5%57.1%28.0%33.9%
IV Percentile44.5%6.7%93.7%50.8%68.3%
Term Structure1.6%-4.7%8.1%-4.7%-2.3%
VWIV21.1%14.7%27.4%23.9%26.3%
Skew 25d15.1%-5.4%80.7%8.4%4.7%
Skew 10d26.0%-18.1%139.2%10.8%5.3%
Call IV 25d18.9%13.8%24.5%15.2%18.1%
Put IV 25d34.0%13.3%99.1%23.6%22.7%
Bid-Ask Spread %92.9760.09105.5390.0090.36
Gamma HHI0.570.420.820.600.42
Net GEX494.6K157.1K1.1M667.7K182.9K
Net DEX-6.0M-9.9M-2.0M-8.7M-2.3M
Net VEX-15.9K-20.3K-12.7K-20.3K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.015.000.025.00
Total Volume88954013454
Total OI3,886.2382,0655,1754,9062,461

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$46.13$40.0023.8%6.8%20.3%28.0%23.9%8.4%-4.7%667.7K-8.7M-20.3K0.0290.00N/AN/A13134,205701
2022-12-02$46.23$40.0020.9%6.0%20.3%21.1%21.6%7.6%-3.5%706.9K-8.9M-18.8K0.5660.09N/AN/A32184,264704
2022-12-05$45.72$45.0021.3%5.1%21.0%22.1%18.0%2.3%3.3%722.5K-7.7M-18.4K0.12103.89N/AN/A4154,275710
2022-12-06$45.81$45.0025.7%5.2%21.0%32.5%14.7%-5.3%-0.6%730.0K-8.0M-18.2K0.70105.53N/AN/A1074,284713
2022-12-07$45.83$45.0023.1%4.7%20.9%26.3%22.7%-0.5%1.0%742.4K-8.0M-17.8K0.91101.70N/AN/A11104,282720
2022-12-08$45.95$45.0025.6%6.1%20.8%32.3%27.4%5.2%2.7%717.3K-8.4M-17.7K4.2994.50N/AN/A17734,291725
2022-12-09$46.09$45.0031.5%6.3%16.4%46.3%20.1%4.8%2.9%705.9K-8.5M-17.9K0.0593.75N/AN/A2114,297791
2022-12-12$46.50$45.0036.1%5.0%15.9%57.1%20.5%-5.4%1.5%690.6K-9.4M-16.6K0.01100.79N/AN/A9514,312791
2022-12-13$46.47$45.0032.1%6.1%15.9%47.6%19.5%3.7%3.4%644.3K-9.7M-16.4K0.2597.54N/AN/A56144,371791
2022-12-14$46.10$45.0022.6%6.5%16.2%25.1%20.2%4.6%1.4%704.5K-9.7M-15.4K0.1497.25N/AN/A4264,370794
2022-12-15$46.23$45.0021.4%6.1%16.2%22.3%21.4%2.0%-1.8%617.1K-9.9M-15.4K0.4794.45N/AN/A79374,376799
2022-12-16$45.56$45.0021.6%6.2%17.2%22.8%21.2%-0.1%1.3%1.1M-7.8M-14.3K0.37100.33N/AN/A3951454,339831
2022-12-19$45.09$45.0019.3%5.5%17.0%17.4%19.7%77.9%4.4%157.1K-2.0M-13.2K0.7295.33N/AN/A76551,645420
2022-12-20$45.55$45.0020.2%5.8%17.2%19.4%20.0%-1.2%3.5%185.8K-2.3M-13.9K1.0077.41N/AN/A72721,698473
2022-12-21$45.75$45.0016.8%4.8%16.9%11.5%17.9%61.7%8.1%177.4K-2.4M-14.8K0.0986.69N/AN/A7061,725545
2022-12-22$45.41$45.0019.8%5.7%16.6%18.6%19.9%80.7%3.1%191.3K-2.3M-14.2K1.7688.65N/AN/A33581,773549
2022-12-23$45.86$45.0019.0%5.4%16.9%16.6%0.0%10.2%5.4%186.1K-2.6M-15.0K0.2994.25N/AN/A721,784591
2022-12-27$46.02$45.0024.4%7.0%13.6%29.4%24.3%46.0%-1.2%205.7K-2.6M-13.8K0.3394.55N/AN/A1551,794592
2022-12-28$45.28$45.0023.1%6.6%14.5%26.3%23.9%2.4%1.8%179.6K-2.2M-14.0K1.5095.49N/AN/A691,807597
2022-12-29$45.67$45.0019.3%5.5%12.8%17.2%18.2%8.5%3.7%207.2K-2.3M-12.7K1.5289.74N/AN/A23351,816605
2022-12-30$45.61$45.0026.3%7.5%12.8%33.9%26.3%4.7%-2.3%182.9K-2.3M-14.3K5.0090.36N/AN/A9451,826635