NNN Options History — September 2023

In September 2023, NNN traded between $34.94 and $39.27. ATM implied volatility averaged 17.6%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.2% (HV 20d: 14.3%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2023-09-27: Highest Volume — 3,446 contracts
  • 2023-09-21: Largest IV spike — 57.1% change
  • 2023-09-12: Highest IV Rank — 27.5%
  • 2023-09-26: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.33$34.94$39.27$39.27$35.34
Max Pain$39.00$35.00$40.00$40.00$35.00
ATM IV17.6%11.8%23.4%13.8%20.8%
Expected Move4.5%3.4%6.6%4.0%5.9%
HV 20d14.3%11.4%19.2%11.4%19.2%
HV 60d17.2%16.3%18.5%16.3%18.0%
IV Rank15.9%4.7%27.5%8.5%22.2%
IV Percentile28.4%0.8%68.3%2.0%45.2%
Term Structure1.3%-2.5%4.1%1.8%4.1%
VWIV17.5%10.9%28.0%16.5%20.7%
Skew 25d0.9%-20.9%8.1%-20.9%8.0%
Skew 10d0.9%-109.2%52.9%-109.2%14.4%
Call IV 25d17.1%13.8%40.6%40.6%17.2%
Put IV 25d18.0%10.1%26.3%19.8%25.2%
Bid-Ask Spread %49.7017.6290.2975.5885.44
Gamma HHI0.420.290.570.560.36
Net GEX-18.2K-117.2K27.3K-117.2K1.6K
Net DEX1.5M803.0K2.4M1.3M1.4M
Net VEX-10.8K-18.4K-4.7K-12.7K-17.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.013.640.053.64
Total Volume296.45233,4466365
Total OI4,714.82,5677,0675,7187,067

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$39.27$40.0013.8%4.0%11.4%8.5%0.0%-20.9%1.8%-117.2K1.3M-12.7K0.0575.58N/AN/A6034,3141,404
2023-09-05$38.63$40.0014.1%4.7%12.3%9.2%16.5%4.7%1.4%-60.8K2.0M-11.9K0.4932.01N/AN/A59294,3681,407
2023-09-06$38.09$40.0020.0%3.7%12.4%20.8%28.0%0.5%1.4%-61.4K2.4M-10.8K0.2888.84N/AN/A1854,3311,432
2023-09-07$38.11$40.0017.2%4.5%12.3%15.3%15.9%3.4%1.5%-2.9K1.4M-10.0K0.0820.34N/AN/A8974,3271,119
2023-09-08$38.11$40.0021.9%3.5%12.3%24.5%15.2%1.4%1.8%-8.5K1.4M-8.9K0.0888.01N/AN/A2624,3251,086
2023-09-11$37.97$40.0023.3%3.4%12.2%27.2%15.0%1.4%1.5%-13.0K1.5M-8.4K2.7724.15N/AN/A26724,3361,098
2023-09-12$38.17$40.0023.4%3.8%11.9%27.5%15.7%1.4%0.2%1.4K1.4M-9.5K1.7424.11N/AN/A42734,3681,108
2023-09-13$38.03$40.0012.1%3.5%11.7%5.1%12.5%1.7%1.2%-4751.4M-9.3K1.7927.87N/AN/A29524,3951,167
2023-09-14$38.47$40.0014.1%4.0%12.4%9.2%14.3%-0.4%-2.5%18.8K1.2M-9.9K0.7432.50N/AN/A42314,4291,196
2023-09-15$38.02$40.0011.9%3.4%13.1%4.8%14.9%-5.5%0.7%17.6K2.0M-4.7K0.7039.56N/AN/A43304,4581,200
2023-09-18$38.09$40.0012.0%3.4%13.0%4.9%13.7%-4.4%2.0%-4.4K1.1M-9.6K0.1829.31N/AN/A149271,573994
2023-09-19$38.27$40.0012.0%3.4%12.9%4.9%15.0%-3.8%1.0%18.6K803.0K-11.0K0.2321.03N/AN/A77181,7051,019
2023-09-20$38.13$40.0011.8%3.4%12.3%4.7%10.9%-3.8%3.3%27.3K812.5K-10.2K0.3390.29N/AN/A36121,8021,037
2023-09-21$36.66$40.0018.6%5.3%16.9%18.0%19.2%8.0%-0.0%-11.1K1.5M-9.5K0.8227.75N/AN/A104851,8361,050
2023-09-22$36.14$40.0018.3%5.3%17.3%17.5%18.4%4.6%1.3%-18.8K1.3M-9.0K1.0484.41N/AN/A48501,9141,000
2023-09-25$35.95$40.0020.3%5.8%17.3%21.4%20.2%6.2%1.9%-30.8K1.4M-9.8K1.4278.24N/AN/A3264631,9381,087
2023-09-26$35.03$35.0022.9%6.6%18.7%26.4%22.9%5.3%-1.4%-62.2K2.0M-12.4K1.1029.41N/AN/A70772,2491,433
2023-09-27$34.94$35.0021.1%6.0%18.4%22.8%21.1%8.1%2.6%-62.7K2.0M-12.8K0.0177.57N/AN/A3,417292,2581,465
2023-09-28$35.14$35.0021.5%6.2%18.8%23.8%21.5%2.4%2.9%5.5K1.5M-18.4K0.2517.62N/AN/A110285,5461,455
2023-09-29$35.34$35.0020.8%5.9%19.2%22.2%20.7%8.0%4.1%1.6K1.4M-17.1K3.6485.44N/AN/A14515,6061,461