NNN Options History — January 2023

In January 2023, NNN traded between $45.95 and $48.03. ATM implied volatility averaged 21.5%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 4.4% (HV 20d: 17.1%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2023-01-12: Highest Volume — 459 contracts
  • 2023-01-12: Largest IV drop — 24.0% change
  • 2023-01-09: Highest IV Rank — 27.9%
  • 2023-01-11: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.98$45.95$48.03$46.09$47.30
Max Pain$44.75$40.00$45.00$45.00$45.00
ATM IV21.5%18.5%25.6%19.0%19.7%
Expected Move6.1%5.3%7.0%5.5%5.7%
HV 20d17.1%12.8%19.6%13.4%19.6%
HV 60d17.3%16.8%17.9%16.9%17.9%
IV Rank18.5%10.1%27.9%16.7%13.2%
IV Percentile34.1%10.7%63.9%15.9%20.2%
Term Structure0.7%-3.4%6.9%6.9%2.6%
VWIV19.8%14.1%24.5%16.7%19.2%
Skew 25d6.9%-0.4%14.2%8.8%3.4%
Skew 10d22.9%-17.3%88.9%12.1%4.8%
Call IV 25d17.1%10.4%22.3%12.9%18.7%
Put IV 25d24.0%20.7%33.4%21.7%22.0%
Bid-Ask Spread %67.5629.57108.8184.4359.92
Gamma HHI0.500.440.590.440.59
Net GEX351.5K201.9K496.6K201.9K462.7K
Net DEX-4.7M-6.1M-2.7M-2.7M-5.5M
Net VEX-19.4K-24.2K-13.7K-13.9K-23.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.002.430.410.45
Total Volume111.3254594842
Total OI3,313.552,5103,7992,5103,741

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$46.09$45.0019.0%5.5%13.4%16.7%16.7%8.8%6.9%201.9K-2.7M-13.9K0.4184.43N/AN/A34141,832678
2023-01-04$46.30$45.0021.6%6.2%12.8%22.8%22.4%4.9%-0.2%218.3K-2.9M-13.7K0.0299.45N/AN/A33181,862692
2023-01-05$46.09$40.0020.7%6.7%12.9%20.7%23.3%5.0%0.7%255.7K-3.6M-17.1K0.4287.62N/AN/A33142,190697
2023-01-06$46.69$45.0025.0%6.2%13.7%26.5%18.3%2.5%0.4%279.8K-4.0M-17.2K0.0097.24N/AN/A2502,181709
2023-01-09$46.66$45.0025.6%6.6%13.7%27.9%20.5%14.2%-1.8%292.7K-4.0M-16.7K0.7192.56N/AN/A28202,209709
2023-01-10$45.95$45.0021.9%6.6%14.8%18.6%23.0%3.5%-1.2%272.3K-3.4M-15.8K1.5076.41N/AN/A18272,220723
2023-01-11$47.40$45.0024.6%7.0%18.3%25.4%23.5%8.3%0.3%307.1K-4.7M-17.3K0.4270.73N/AN/A112472,236775
2023-01-12$48.03$45.0018.7%5.4%18.8%10.6%17.1%7.1%1.6%363.6K-5.6M-17.6K0.02108.81N/AN/A45182,359805
2023-01-13$47.53$45.0018.5%5.3%19.0%10.1%16.5%7.4%2.9%379.0K-5.7M-22.8K0.6651.14N/AN/A82542,738812
2023-01-17$47.75$45.0021.9%6.3%19.0%18.7%20.6%4.7%-1.0%407.2K-5.8M-21.7K0.5449.05N/AN/A71382,760863
2023-01-18$47.03$45.0023.3%6.7%19.1%22.2%23.1%3.3%-1.5%352.7K-5.3M-21.9K0.4340.24N/AN/A42182,839894
2023-01-19$46.73$45.0024.4%7.0%18.8%25.1%24.5%8.0%-3.4%353.7K-4.9M-21.4K2.4355.08N/AN/A14342,847910
2023-01-20$46.88$45.0022.6%6.5%18.5%20.4%14.4%10.4%-0.6%355.3K-4.9M-21.6K0.4641.57N/AN/A59272,852947
2023-01-23$47.10$45.0018.9%5.4%18.5%11.1%17.7%5.7%5.3%389.5K-4.7M-20.8K0.0852.56N/AN/A7562,656733
2023-01-24$47.13$45.0018.5%5.3%18.2%10.1%17.8%11.2%2.9%409.1K-4.8M-20.9K0.0790.96N/AN/A4132,721738
2023-01-25$47.09$45.0022.6%6.5%18.0%20.5%23.0%11.5%-2.1%420.1K-4.8M-20.6K0.4138.81N/AN/A64262,738744
2023-01-26$47.17$45.0018.5%5.3%18.0%10.2%14.1%9.5%2.3%435.9K-4.9M-20.1K1.0050.14N/AN/A51512,793768
2023-01-27$47.91$45.0022.1%6.3%17.4%19.2%18.5%8.9%0.4%496.6K-6.1M-20.1K0.2874.88N/AN/A155432,822788
2023-01-30$46.86$45.0022.3%6.4%19.4%19.6%21.4%-0.4%-1.2%377.2K-5.1M-24.2K0.3029.57N/AN/A46142,874816
2023-01-31$47.30$45.0019.7%5.7%19.6%13.2%19.2%3.4%2.6%462.7K-5.5M-23.2K0.4559.92N/AN/A29132,913828