NNN Options History — March 2023

In March 2023, NNN traded between $41.17 and $45.74. ATM implied volatility averaged 23.6%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.4% (HV 20d: 21.2%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.47.

Notable Days

  • 2023-03-21: Highest Volume — 246 contracts
  • 2023-03-17: Largest IV spike — 90.2% change
  • 2023-03-13: Highest IV Rank — 61.5%
  • 2023-03-17: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.40$41.17$45.74$45.11$43.95
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV23.6%15.0%38.9%15.0%18.5%
Expected Move6.3%4.3%10.1%4.3%5.3%
HV 20d21.2%14.6%26.7%14.6%26.7%
HV 60d18.5%15.9%20.8%15.9%20.8%
IV Rank22.9%1.4%61.5%1.4%10.1%
IV Percentile42.9%2.0%96.8%2.0%10.7%
Term Structure-0.2%-8.3%8.7%7.5%1.2%
VWIV22.5%12.2%31.7%15.0%18.7%
Skew 25d10.2%2.3%41.6%2.3%11.7%
Skew 10d23.7%3.4%106.2%4.4%16.7%
Call IV 25d19.1%13.1%25.5%14.4%16.8%
Put IV 25d29.3%16.8%67.0%16.8%28.5%
Bid-Ask Spread %92.7653.88107.2353.8888.54
Gamma HHI0.390.320.470.420.44
Net GEX198.2K77.9K415.5K245.3K415.5K
Net DEX-1.4M-3.2M218.3K-2.4M-3.2M
Net VEX-18.4K-27.0K-12.3K-19.3K-27.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.001.300.410.39
Total Volume99.522624676139
Total OI4,117.3042,5214,9183,7984,918

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$45.11$45.0015.0%4.3%14.6%1.4%15.0%2.3%7.5%245.3K-2.4M-19.3K0.4153.88N/AN/A54222,842956
2023-03-02$45.64$45.0020.8%6.0%15.4%15.9%20.6%3.0%-1.2%279.0K-2.9M-17.7K1.0693.31N/AN/A16172,817957
2023-03-03$45.74$45.0020.9%6.0%15.4%16.3%21.0%7.4%-5.2%262.2K-3.0M-18.2K0.1495.60N/AN/A2132,827968
2023-03-06$45.64$45.0019.1%5.9%15.2%11.6%0.0%2.9%-3.1%257.6K-3.1M-17.7K0.7385.85N/AN/A15112,847969
2023-03-07$45.00$45.0020.0%4.6%15.7%14.0%0.0%7.4%5.0%235.0K-2.2M-17.4K0.40104.99N/AN/A45182,843968
2023-03-08$45.02$45.0017.7%4.4%15.7%8.2%12.2%6.6%4.6%235.1K-2.3M-17.3K0.00104.98N/AN/A602,838982
2023-03-09$44.54$45.0019.1%5.5%15.9%11.8%19.4%7.2%0.3%222.9K-1.3M-15.5K0.1792.34N/AN/A94162,836982
2023-03-10$42.64$45.0030.4%6.7%21.2%40.0%27.9%7.0%-3.3%109.3K218.3K-13.8K0.81102.18N/AN/A95772,910981
2023-03-13$43.46$45.0038.9%7.4%21.7%61.5%20.7%9.8%-0.0%143.6K-181.8K-14.5K0.04107.23N/AN/A9942,8921,018
2023-03-14$43.63$45.0034.2%6.7%21.6%49.5%24.2%4.0%-1.1%146.5K-87.7K-14.1K0.22100.49N/AN/A174392,8961,022
2023-03-15$43.28$45.0021.6%6.2%21.6%18.1%28.5%10.9%-1.3%127.4K156.5K-13.8K0.47102.36N/AN/A51242,9641,013
2023-03-16$42.77$45.0018.6%5.3%21.8%10.4%20.0%8.4%-5.0%105.8K45.2K-12.7K0.54100.23N/AN/A24132,988895
2023-03-17$42.05$45.0035.4%10.1%22.2%52.6%26.2%7.0%-3.1%77.9K-260.9K-15.6K1.27100.62N/AN/A64813,000908
2023-03-20$42.70$45.0024.3%7.0%23.2%24.6%24.4%12.5%3.2%79.2K-544.6K-12.3K0.1474.81N/AN/A187261,934587
2023-03-21$42.56$45.0019.3%5.5%22.9%12.2%22.5%9.2%-6.5%208.6K-1.5M-21.8K0.1781.26N/AN/A211353,786610
2023-03-22$41.17$45.0021.8%6.3%24.8%18.5%22.9%41.6%5.2%140.7K-806.6K-21.2K0.4794.53N/AN/A59283,915627
2023-03-23$41.25$45.0024.3%7.0%24.4%24.7%25.3%36.8%0.7%140.4K-816.0K-20.7K0.6888.58N/AN/A25173,921639
2023-03-24$41.97$45.0030.8%8.8%25.2%41.1%31.7%11.0%8.7%179.1K-1.1M-20.5K1.3092.12N/AN/A46603,926646
2023-03-27$42.03$45.0023.2%6.7%25.1%22.1%24.8%3.4%2.6%172.4K-793.9K-18.4K0.5487.06N/AN/A52283,984660
2023-03-28$42.03$45.0032.3%9.3%24.9%44.8%22.0%14.2%-7.1%199.2K-1.4M-22.2K0.0592.09N/AN/A14274,021680
2023-03-29$42.81$45.0016.5%4.7%26.0%5.1%22.4%5.3%2.0%264.5K-1.9M-24.0K0.3896.53N/AN/A52204,164681
2023-03-30$43.19$45.0019.3%5.5%25.8%12.2%22.3%5.1%-8.3%312.1K-2.6M-26.9K0.5093.86N/AN/A48244,199681
2023-03-31$43.95$45.0018.5%5.3%26.7%10.1%18.7%11.7%1.2%415.5K-3.2M-27.0K0.3988.54N/AN/A100394,215703