NNN Options History — October 2023

In October 2023, NNN traded between $34.69 and $36.53. ATM implied volatility averaged 28.0%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 7.8% (HV 20d: 20.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.48.

Notable Days

  • 2023-10-31: Highest Volume — 259 contracts
  • 2023-10-09: Largest IV spike — 191.5% change
  • 2023-10-09: Highest IV Rank — 100.0%
  • 2023-10-26: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.38$34.69$36.53$34.72$36.41
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV28.0%21.3%62.1%22.0%33.8%
Expected Move7.8%6.2%13.3%6.3%9.7%
HV 20d20.3%18.6%23.4%19.6%21.5%
HV 60d18.1%17.4%18.8%18.0%18.6%
IV Rank35.4%22.8%100.0%24.7%46.3%
IV Percentile76.3%50.8%100.0%59.1%94.8%
Term Structure-3.7%-29.4%6.4%3.5%-9.2%
VWIV27.2%21.5%48.5%22.0%34.5%
Skew 25d23.2%2.9%108.6%4.6%16.0%
Skew 10d38.3%4.6%179.3%7.3%18.6%
Call IV 25d20.0%15.1%25.8%20.1%17.8%
Put IV 25d43.2%24.4%129.1%24.7%33.8%
Bid-Ask Spread %55.3320.8394.0788.1083.51
Gamma HHI0.380.330.460.420.43
Net GEX37.3K-28.5K178.6K36.9K178.6K
Net DEX570.6K-2.0M1.7M1.1M-2.0M
Net VEX-19.6K-26.4K-12.4K-25.0K-24.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.0413.000.630.26
Total Volume93.1364259188259
Total OI7,265.2276,9677,5497,0997,006

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$34.72$35.0022.0%6.3%19.6%24.7%22.0%4.6%3.5%36.9K1.1M-25.0K0.6388.10N/AN/A115735,6161,483
2023-10-03$34.69$35.0023.0%6.6%19.3%26.7%23.0%3.3%2.2%2.3K1.7M-18.1K2.7748.96N/AN/A471305,6341,477
2023-10-04$34.97$35.0023.8%6.8%19.6%28.3%24.1%9.7%1.5%-3.3K1.6M-16.9K0.1087.33N/AN/A9395,6551,514
2023-10-05$35.05$35.0021.8%7.5%19.7%24.3%26.1%2.9%-2.2%-28.5K1.6M-14.7K0.2542.23N/AN/A52135,6661,509
2023-10-06$34.78$35.0021.3%9.5%19.6%23.3%33.0%13.2%-9.4%15.2K1.4M-19.1K0.5441.21N/AN/A35195,7041,513
2023-10-09$35.20$35.0062.1%7.5%20.5%100.0%25.3%10.7%-2.3%60.8K804.9K-20.4K0.0965.57N/AN/A159145,7851,516
2023-10-10$35.22$35.0024.4%7.2%20.3%28.3%25.3%22.1%-1.3%15.7K1.0M-18.1K1.5545.80N/AN/A22345,8701,529
2023-10-11$35.72$35.0024.8%7.1%21.3%29.1%24.8%22.3%0.8%53.1K95.7K-22.3K0.1078.73N/AN/A5055,8781,541
2023-10-12$35.28$35.0029.6%8.5%20.8%38.3%29.0%11.0%-6.5%47.2K657.6K-20.1K13.0041.25N/AN/A4525,9251,543
2023-10-13$35.58$35.0024.9%7.1%21.1%29.3%0.0%21.4%-1.5%78.7K-5.6K-23.2K0.0720.83N/AN/A4335,9231,579
2023-10-16$36.17$35.0025.0%7.2%22.2%29.5%25.0%9.0%-2.0%42.0K-41.0K-18.7K0.3838.18N/AN/A55215,9251,580
2023-10-17$36.53$35.0023.5%6.7%22.5%26.6%22.2%9.9%-0.9%122.1K-866.2K-24.9K3.1932.39N/AN/A16515,9321,591
2023-10-18$35.78$35.0021.4%6.2%23.4%22.8%21.7%21.2%6.4%34.2K-437.0K-25.2K1.1824.04N/AN/A17205,9341,595
2023-10-19$35.22$35.0021.7%6.2%19.8%23.3%21.8%27.4%0.6%-26.1K1.3M-15.1K3.0026.32N/AN/A135,9401,606
2023-10-20$35.38$35.0021.6%6.2%19.4%22.9%21.5%26.6%2.1%-23.8K569.4K-18.7K0.1331.24N/AN/A6795,9411,608
2023-10-23$34.89$35.0023.4%6.7%19.9%26.4%23.4%48.8%-1.1%-21.5K1.6M-12.4K0.6762.79N/AN/A24165,5441,423
2023-10-24$35.48$35.0025.1%7.2%18.6%29.7%25.1%43.3%0.4%16.2K696.3K-17.1K0.0865.37N/AN/A10085,5551,436
2023-10-25$35.25$35.0026.4%7.6%18.8%32.2%26.4%108.6%-2.6%9.9K1.1M-15.1K0.8872.76N/AN/A17155,6041,442
2023-10-26$35.64$35.0046.4%13.3%19.1%70.2%39.0%19.5%-29.4%80.2K302.2K-19.4K0.4844.51N/AN/A54265,6091,448
2023-10-27$35.09$35.0028.4%8.2%19.8%36.0%28.8%51.4%-4.5%12.2K1.1M-16.3K3.2182.00N/AN/A431385,6551,452
2023-10-30$35.33$35.0041.8%12.0%18.9%61.5%48.5%8.3%-25.9%118.2K-673.6K-26.4K0.0494.07N/AN/A11345,6961,453
2023-10-31$36.41$35.0033.8%9.7%21.5%46.3%34.5%16.0%-9.2%178.6K-2.0M-24.1K0.2683.51N/AN/A206535,7761,230