NNN Options History — June 2023

In June 2023, NNN traded between $41.25 and $43.78. ATM implied volatility averaged 20.4%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 5.6% (HV 20d: 14.8%). 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 0.99.

Notable Days

  • 2023-06-20: Highest Volume — 221 contracts
  • 2023-06-13: Largest IV spike — 162.6% change
  • 2023-06-13: Highest IV Rank — 100.0%
  • 2023-06-28: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.55$41.25$43.78$42.45$42.42
Max Pain$43.10$40.00$45.00$45.00$40.00
ATM IV20.4%11.5%60.2%22.3%21.1%
Expected Move4.9%3.3%7.1%6.4%6.0%
HV 20d14.8%13.9%16.1%14.8%15.0%
HV 60d16.1%14.2%19.3%19.1%14.6%
IV Rank19.4%0.0%100.0%29.4%19.7%
IV Percentile27.1%0.0%100.0%48.8%35.3%
Term Structure2.9%-9.5%11.8%4.9%-0.8%
VWIV17.0%10.3%22.6%16.5%20.1%
Skew 25d5.9%-14.6%16.2%10.5%8.4%
Skew 10d9.8%-2.8%28.0%28.0%9.4%
Call IV 25d14.7%9.4%35.7%13.6%12.6%
Put IV 25d20.6%10.9%28.0%24.1%21.0%
Bid-Ask Spread %62.0024.9797.0697.0650.30
Gamma HHI0.400.350.500.350.45
Net GEX215.5K32.4K427.9K230.2K164.3K
Net DEX-1.4M-3.1M-72.3K-1.8M-933.7K
Net VEX-14.8K-20.9K-7.6K-20.9K-12.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.005.000.150.67
Total Volume56.76252216015
Total OI5,174.4293,5486,3286,1024,086

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$42.45$45.0022.3%6.4%14.8%29.4%16.5%10.5%4.9%230.2K-1.8M-20.9K0.1597.06N/AN/A5284,9231,179
2023-06-02$43.09$45.0021.0%6.0%15.2%25.0%12.6%16.2%6.0%317.0K-2.1M-18.4K0.1524.97N/AN/A1324,8801,182
2023-06-05$42.83$45.0018.0%5.2%14.9%15.5%21.2%-14.6%1.2%279.1K-2.0M-19.1K5.0096.36N/AN/A4204,8871,182
2023-06-06$43.05$45.0021.8%4.8%14.7%27.7%14.2%10.9%5.7%338.5K-2.5M-20.9K0.1765.72N/AN/A2444,8871,196
2023-06-07$43.78$45.0022.7%4.4%15.8%30.5%14.9%7.9%7.0%427.9K-3.1M-20.7K0.0049.86N/AN/A504,8911,198
2023-06-08$43.28$45.0015.5%4.0%16.1%7.4%0.0%5.5%4.2%331.8K-2.5M-19.4K0.0030.87N/AN/A704,9201,197
2023-06-09$43.22$45.0018.7%4.2%15.0%17.5%22.6%5.1%4.0%385.0K-1.9M-16.6K0.0037.94N/AN/A0114,9261,198
2023-06-12$42.91$45.0022.9%4.2%15.0%31.3%22.0%5.3%2.8%292.4K-1.7M-15.6K1.9493.17N/AN/A50974,9261,208
2023-06-13$42.72$45.0060.2%4.8%14.9%100.0%19.8%2.1%-0.3%239.5K-1.4M-15.4K1.5789.58N/AN/A28444,9281,295
2023-06-14$42.63$45.0014.0%4.0%14.4%1.7%20.4%3.4%2.0%227.3K-1.5M-16.5K4.2390.37N/AN/A13554,9301,316
2023-06-15$42.61$45.0013.6%3.9%14.4%0.7%15.9%1.4%0.6%192.1K-1.1M-14.5K0.1573.77N/AN/A4874,9261,367
2023-06-16$42.64$45.0013.9%4.0%13.9%1.3%18.3%6.3%5.8%182.5K-1.1M-14.1K0.2038.91N/AN/A2044,9551,373
2023-06-20$42.47$45.0022.1%6.3%13.9%18.8%15.9%6.4%4.2%157.7K-936.8K-11.4K0.2663.28N/AN/A175463,090458
2023-06-21$41.73$40.0015.9%4.6%15.1%5.7%16.4%7.0%8.7%132.9K-734.5K-11.3K0.3846.92N/AN/A65253,264471
2023-06-22$41.66$40.0011.5%3.3%15.1%0.0%10.3%1.5%11.8%81.6K-475.6K-9.3K0.3777.79N/AN/A38143,313504
2023-06-23$41.25$40.0018.4%5.3%14.8%14.2%17.3%5.5%-0.6%32.4K-72.3K-7.6K1.0895.49N/AN/A25273,326518
2023-06-26$41.84$40.0018.8%5.4%14.8%15.1%18.7%7.7%-0.3%96.3K-519.6K-10.5K1.6246.60N/AN/A13213,329550
2023-06-27$42.11$40.0019.4%5.6%14.5%16.3%16.1%8.7%-4.4%110.9K-668.6K-10.8K1.6943.89N/AN/A26443,335571
2023-06-28$42.16$40.0024.7%7.1%14.5%27.1%10.8%6.3%-9.5%118.7K-577.4K-10.5K0.0436.11N/AN/A7033,348604
2023-06-29$42.75$40.0013.1%3.8%14.9%3.4%0.0%12.5%8.5%188.0K-1.3M-14.3K0.0853.03N/AN/A6453,421605
2023-06-30$42.42$40.0021.1%6.0%15.0%19.7%20.1%8.4%-0.8%164.3K-933.7K-12.5K0.6750.30N/AN/A963,481605