NNN Options History — November 2023

In November 2023, NNN traded between $37.80 and $40.61. ATM implied volatility averaged 18.0%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 8.7% (HV 20d: 26.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2023-11-01: Highest Volume — 916 contracts
  • 2023-11-03: Largest IV drop — 47.9% change
  • 2023-11-02: Highest IV Rank — 42.4%
  • 2023-11-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.07$37.80$40.61$37.95$40.61
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV18.0%13.7%31.8%31.0%17.8%
Expected Move4.9%3.9%8.9%8.9%5.1%
HV 20d26.7%20.3%29.9%25.5%20.3%
HV 60d22.0%20.4%22.8%20.4%22.4%
IV Rank16.2%8.1%42.4%40.8%15.8%
IV Percentile26.4%4.0%93.7%92.9%29.0%
Term Structure1.4%-1.2%4.4%0.2%-0.3%
VWIV17.0%14.2%19.2%19.2%17.9%
Skew 25d4.2%-2.3%13.0%13.0%3.2%
Skew 10d6.7%-2.0%12.6%7.7%6.9%
Call IV 25d16.1%14.5%18.7%18.6%15.9%
Put IV 25d20.3%13.9%31.6%31.6%19.0%
Bid-Ask Spread %68.1236.8398.3998.3962.15
Gamma HHI0.490.430.530.480.49
Net GEX566.2K313.4K783.4K313.4K748.4K
Net DEX-5.5M-7.9M-4.1M-4.1M-7.9M
Net VEX-31.1K-35.2K-25.2K-28.3K-30.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.030.790.030.06
Total Volume144.381891691694
Total OI7,658.2387,1137,9277,1137,764

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$37.95$35.0031.0%8.9%25.5%40.8%19.2%13.0%0.2%313.4K-4.1M-28.3K0.0398.39N/AN/A889275,8931,220
2023-11-02$38.84$35.0031.8%5.5%26.4%42.4%19.1%7.2%2.3%466.7K-5.4M-32.2K0.1269.96N/AN/A315376,0661,198
2023-11-03$39.23$35.0016.6%5.2%26.0%13.5%18.3%7.8%2.1%574.0K-5.6M-32.0K0.1360.23N/AN/A218286,3101,212
2023-11-06$38.58$35.0023.3%5.1%27.1%26.3%18.0%5.8%-0.2%427.3K-4.2M-25.2K0.5739.05N/AN/A68396,4061,235
2023-11-07$38.47$35.0018.7%5.0%27.2%17.5%18.8%5.3%0.8%433.8K-4.3M-27.6K0.6084.80N/AN/A536,4391,253
2023-11-08$39.00$35.0016.7%4.8%27.2%13.7%17.1%6.3%1.3%587.4K-5.3M-29.8K0.4851.15N/AN/A33166,4441,254
2023-11-09$38.16$35.0013.7%3.9%28.1%8.1%17.2%4.8%-1.2%440.6K-4.5M-29.6K0.3549.86N/AN/A34126,4591,263
2023-11-10$38.19$35.0018.3%5.2%28.1%16.8%18.7%3.1%-0.6%455.9K-4.9M-34.1K0.1484.40N/AN/A83126,4641,271
2023-11-13$37.80$35.0017.8%5.1%28.1%15.9%17.9%4.4%4.4%390.2K-4.1M-30.0K0.6363.56N/AN/A59376,4911,282
2023-11-14$39.03$35.0017.8%5.1%29.9%15.7%18.1%6.3%3.2%597.5K-6.0M-35.2K0.7993.89N/AN/A1631296,5161,314
2023-11-15$38.97$35.0017.2%4.9%28.6%14.7%17.2%-2.3%2.7%539.6K-5.5M-33.3K0.0975.01N/AN/A5856,5121,371
2023-11-16$39.12$35.0016.8%4.8%27.6%13.9%16.7%-0.6%-1.1%596.4K-5.4M-32.9K0.1758.16N/AN/A3056,5331,375
2023-11-17$38.81$35.0016.1%4.6%28.0%12.6%16.5%6.4%2.1%478.4K-4.4M-29.5K0.2475.71N/AN/A41106,5531,374
2023-11-20$38.97$35.0015.3%4.4%27.2%11.0%15.4%-0.4%0.7%548.9K-5.1M-31.9K0.0550.90N/AN/A13076,3181,153
2023-11-21$39.17$35.0014.8%4.2%26.8%10.1%14.8%0.5%2.1%583.9K-5.6M-34.5K0.5269.10N/AN/A48256,4261,157
2023-11-22$39.53$35.0014.8%4.2%26.5%10.1%14.8%2.5%1.8%671.1K-6.0M-32.5K0.2575.16N/AN/A52136,4231,177
2023-11-24$39.59$35.0014.2%4.1%26.5%9.0%14.2%6.7%1.8%740.8K-6.3M-32.8K0.6683.74N/AN/A32216,4531,171
2023-11-27$40.05$35.0015.1%4.3%25.4%10.7%15.2%2.5%2.3%755.6K-6.7M-32.6K0.5036.83N/AN/A64326,4711,182
2023-11-28$40.30$35.0015.3%4.4%25.4%11.1%15.3%4.0%0.8%756.5K-7.0M-27.6K0.3895.29N/AN/A72276,5001,182
2023-11-29$40.03$35.0015.4%4.4%24.2%11.3%15.4%2.6%3.6%783.4K-6.9M-31.3K0.7453.20N/AN/A34256,5441,194
2023-11-30$40.61$35.0017.8%5.1%20.3%15.8%17.9%3.2%-0.3%748.4K-7.9M-30.6K0.0662.15N/AN/A8956,5551,209