NNN Options History — July 2023

In July 2023, NNN traded between $42.31 and $44.72. ATM implied volatility averaged 16.8%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.8% (HV 20d: 15.9%). 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 13 of 20 days. Put/call ratio averaged 1.33.

Notable Days

  • 2023-07-21: Highest Volume — 258 contracts
  • 2023-07-06: Largest IV spike — 76.7% change
  • 2023-07-19: Highest IV Rank — 28.3%
  • 2023-07-19: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.42$42.31$44.72$43.09$42.80
Max Pain$44.50$40.00$45.00$40.00$45.00
ATM IV16.8%9.5%23.8%14.8%15.3%
Expected Move4.8%2.7%6.8%4.2%4.4%
HV 20d15.9%14.5%18.3%15.1%18.1%
HV 60d15.2%14.7%15.9%14.9%15.8%
IV Rank14.2%0.0%28.3%6.8%11.5%
IV Percentile13.7%0.0%64.3%3.2%6.0%
Term Structure1.2%-7.0%11.4%9.3%-0.6%
VWIV17.8%8.0%25.1%8.0%18.0%
Skew 25d21.0%-1.6%117.6%5.3%4.4%
Skew 10d32.3%0.4%163.4%6.5%7.4%
Call IV 25d16.6%10.7%22.6%10.7%18.6%
Put IV 25d37.7%13.8%134.1%16.0%23.0%
Bid-Ask Spread %65.0625.3292.7176.9992.71
Gamma HHI0.490.370.570.450.48
Net GEX287.3K173.2K432.1K217.3K291.8K
Net DEX-2.0M-3.0M-1.3M-1.3M-2.1M
Net VEX-15.4K-19.9K-12.6K-13.6K-17.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.007.780.000.39
Total Volume88.45222582546
Total OI4,468.054,1214,7794,1214,779

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$43.09$40.0014.8%4.2%15.1%6.8%8.0%5.3%9.3%217.3K-1.3M-13.6K0.0076.99N/AN/A2503,490631
2023-07-05$43.50$40.009.5%2.7%15.3%0.0%8.3%0.5%7.1%285.8K-2.0M-16.2K0.0185.25N/AN/A10613,514631
2023-07-06$43.11$45.0016.8%5.4%15.6%14.3%19.5%-1.6%-4.1%243.7K-1.4M-13.7K0.0091.46N/AN/A5303,614630
2023-07-07$42.31$45.0017.3%5.0%15.6%15.4%20.3%2.5%11.4%173.2K-1.3M-15.2K6.2525.32N/AN/A8503,610630
2023-07-10$42.36$45.0019.8%6.1%15.2%20.4%21.7%4.1%-5.2%215.7K-2.2M-19.9K1.3637.11N/AN/A28383,611690
2023-07-11$43.06$45.0018.2%4.5%16.4%17.2%23.5%5.2%2.7%238.7K-1.7M-15.3K0.0243.39N/AN/A5113,635728
2023-07-12$43.20$45.0016.8%4.8%16.3%14.4%16.9%3.1%0.5%248.2K-1.9M-15.3K0.0341.48N/AN/A3713,683729
2023-07-13$43.28$45.0017.2%4.9%16.2%15.2%0.0%5.4%2.9%218.8K-1.5M-12.6K0.0226.99N/AN/A10123,716728
2023-07-14$43.19$45.0015.4%4.4%16.2%11.7%16.0%3.1%-0.1%282.2K-2.0M-15.2K0.0586.65N/AN/A6433,796729
2023-07-17$43.14$45.0020.9%6.0%16.2%22.6%25.1%13.7%3.1%274.5K-1.9M-15.3K7.7887.53N/AN/A9703,828732
2023-07-18$43.05$45.0016.2%4.6%16.2%13.2%21.4%6.1%1.2%235.5K-1.7M-14.4K2.4474.03N/AN/A9223,832784
2023-07-19$43.53$45.0023.8%6.8%16.5%28.3%23.4%-0.5%-7.0%282.1K-1.9M-13.8K1.0226.49N/AN/A52533,832806
2023-07-20$44.06$45.0015.6%4.5%15.4%12.2%15.8%50.2%-1.5%432.1K-2.7M-16.1K0.1081.85N/AN/A2023,860832
2023-07-21$44.48$45.0016.5%4.7%15.5%13.8%16.0%26.8%0.8%359.4K-2.7M-16.3K0.4053.49N/AN/A184743,860831
2023-07-24$44.72$45.0015.6%4.5%14.7%12.1%15.6%110.8%0.0%411.1K-3.0M-15.9K0.1785.40N/AN/A66113,755651
2023-07-25$44.45$45.0017.1%4.9%14.6%15.1%17.2%31.8%-0.7%374.4K-2.9M-15.7K0.0057.87N/AN/A3403,779645
2023-07-26$44.66$45.0017.1%4.9%14.5%15.0%17.3%117.6%0.8%408.0K-2.9M-15.5K5.7591.00N/AN/A362073,805645
2023-07-27$43.70$45.0016.9%4.8%17.0%14.5%16.9%30.0%2.4%296.1K-1.8M-14.7K0.5956.01N/AN/A83493,844783
2023-07-28$42.75$45.0014.4%4.1%18.3%9.8%16.5%2.3%0.7%257.8K-1.6M-15.9K0.1980.10N/AN/A145283,894789
2023-07-31$42.80$45.0015.3%4.4%18.1%11.5%18.0%4.4%-0.6%291.8K-2.1M-17.2K0.3992.71N/AN/A33133,989790