NNN Options History — August 2023

In August 2023, NNN traded between $38.55 and $42.45. ATM implied volatility averaged 18.9%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 0.1% (HV 20d: 19.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.93.

Notable Days

  • 2023-08-02: Highest Volume — 438 contracts
  • 2023-08-25: Largest IV spike — 52.7% change
  • 2023-08-03: Highest IV Rank — 31.6%
  • 2023-08-25: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.64$38.55$42.45$42.45$39.45
Max Pain$40.22$40.00$45.00$45.00$40.00
ATM IV18.9%13.8%25.5%23.4%13.8%
Expected Move5.3%4.0%7.2%6.7%4.0%
HV 20d19.0%11.5%21.9%17.4%11.5%
HV 60d17.2%15.7%17.5%15.7%16.8%
IV Rank18.6%8.5%31.6%27.5%8.5%
IV Percentile28.9%2.0%76.2%64.7%2.0%
Term Structure-0.2%-6.3%4.4%-0.6%2.5%
VWIV18.2%11.7%25.1%11.7%13.8%
Skew 25d3.4%-5.0%27.1%7.3%3.7%
Skew 10d5.5%-7.7%39.4%21.8%4.5%
Call IV 25d18.8%13.9%23.0%13.9%15.5%
Put IV 25d22.2%14.3%48.9%21.2%19.2%
Bid-Ask Spread %51.4712.2888.7188.7152.29
Gamma HHI0.530.360.730.520.53
Net GEX-104.6K-325.9K234.8K234.8K-101.3K
Net DEX1.1M-1.2M2.9M-1.2M748.0K
Net VEX-12.1K-14.3K-10.1K-14.3K-13.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.0112.670.179.89
Total Volume147.783524388398
Total OI5,300.134,6885,6354,7885,635

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$42.45$45.0023.4%6.7%17.4%27.5%11.7%7.3%-0.6%234.8K-1.2M-14.3K0.1788.71N/AN/A71124,006782
2023-08-02$40.92$40.0021.0%6.0%21.1%22.8%21.2%5.6%-0.8%62.7K-315.6K-11.4K2.4079.54N/AN/A1293093,978710
2023-08-03$40.11$40.0025.5%5.2%21.9%31.6%18.3%-2.7%1.6%-60.8K540.0K-11.0K2.5985.12N/AN/A611583,912963
2023-08-04$40.33$40.0018.6%5.2%21.3%17.9%18.5%-3.5%2.6%-130.2K640.3K-12.0K0.6975.98N/AN/A32223,9381,105
2023-08-07$40.50$40.0020.9%5.5%21.4%22.5%19.6%-3.5%1.2%-106.5K375.3K-12.8K3.3777.10N/AN/A301013,9491,119
2023-08-08$39.94$40.0019.4%5.1%20.6%19.5%19.5%-4.5%2.0%-202.4K1.2M-11.0K0.7050.30N/AN/A119833,9581,199
2023-08-09$40.06$40.0019.9%5.7%20.6%20.5%21.3%-4.9%0.0%-214.7K1.2M-11.3K5.3976.55N/AN/A281513,9601,254
2023-08-10$39.89$40.0015.0%4.3%20.5%10.9%15.5%-4.1%4.4%-315.9K1.6M-12.0K0.8233.46N/AN/A72593,9681,373
2023-08-11$39.64$40.0017.5%5.0%20.5%15.8%17.5%1.5%1.5%-325.9K1.8M-11.8K0.8527.02N/AN/A74633,9871,377
2023-08-14$39.16$40.0021.4%6.1%20.6%23.5%21.5%5.1%-3.6%-233.1K2.0M-11.2K1.9266.62N/AN/A601154,0511,405
2023-08-15$38.88$40.0017.5%5.0%20.6%15.9%17.6%-1.7%1.7%-186.9K2.9M-10.4K0.4216.02N/AN/A80344,0651,500
2023-08-16$38.69$40.0018.6%5.3%19.7%18.0%18.6%-3.7%2.1%-205.2K2.7M-10.5K0.4027.08N/AN/A77314,0931,506
2023-08-17$38.69$40.0018.3%5.2%18.7%17.4%18.3%5.9%0.8%-113.4K1.7M-11.3K0.2653.90N/AN/A125324,1351,257
2023-08-18$38.83$40.0016.4%4.7%18.1%13.7%16.4%-0.7%3.6%-98.3K1.8M-11.4K0.3380.87N/AN/A69234,2041,288
2023-08-21$38.55$40.0017.4%5.0%17.6%15.6%18.4%-5.0%-5.6%-94.9K1.8M-10.1K0.3783.25N/AN/A224833,9041,162
2023-08-22$38.95$40.0020.2%5.8%18.7%21.2%22.2%21.6%-5.3%-55.3K1.3M-12.1K0.0137.48N/AN/A21734,0311,230
2023-08-23$39.59$40.0017.2%4.9%20.0%15.2%17.2%2.2%0.3%-54.9K481.5K-13.8K0.0479.58N/AN/A8134,1361,231
2023-08-24$39.47$40.0016.5%4.7%19.1%13.8%16.5%0.7%-0.0%-45.3K521.6K-13.5K0.1621.03N/AN/A101164,2001,231
2023-08-25$39.30$40.0025.1%7.2%18.1%30.9%25.1%25.8%-6.3%-16.3K786.4K-13.3K0.1422.00N/AN/A5074,2351,232
2023-08-28$39.34$40.0021.5%6.2%18.1%23.8%18.9%27.1%-5.8%-19.8K752.0K-13.1K0.2023.95N/AN/A101204,2461,243
2023-08-29$39.50$40.0015.5%4.4%18.2%11.9%15.5%3.1%-1.0%-45.2K518.4K-13.4K12.6712.28N/AN/A91144,2901,258
2023-08-30$39.52$40.0014.5%4.2%13.4%9.9%14.5%2.4%1.2%-77.4K565.6K-13.5K0.6813.57N/AN/A31214,2971,300
2023-08-31$39.45$40.0013.8%4.0%11.5%8.5%13.8%3.7%2.5%-101.3K748.0K-13.0K9.8952.29N/AN/A9894,3141,321