NNN Options History — December 2023

In December 2023, NNN traded between $40.50 and $43.28. ATM implied volatility averaged 21.6%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.3% (HV 20d: 19.3%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2023-12-06: Highest Volume — 615 contracts
  • 2023-12-28: Largest IV drop — 50.6% change
  • 2023-12-27: Highest IV Rank — 39.7%
  • 2023-12-27: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.05$40.50$43.28$41.16$43.25
Max Pain$40.00$35.00$45.00$35.00$40.00
ATM IV21.6%13.7%30.4%17.8%13.7%
Expected Move6.0%3.9%8.7%5.1%3.9%
HV 20d19.3%18.2%20.8%19.4%18.2%
HV 60d22.6%21.2%24.2%22.6%21.2%
IV Rank23.0%8.0%39.7%15.9%8.0%
IV Percentile54.6%4.0%93.3%29.4%4.0%
Term Structure0.4%-9.8%5.4%-1.0%2.9%
VWIV19.3%14.1%32.9%17.7%14.5%
Skew 25d5.8%-2.9%11.4%5.6%-2.9%
Skew 10d10.7%-2.6%45.0%45.0%-2.6%
Call IV 25d14.9%10.9%19.2%15.1%15.5%
Put IV 25d20.6%12.6%27.5%20.7%12.6%
Bid-Ask Spread %82.0740.85113.9584.9458.34
Gamma HHI0.670.490.800.490.80
Net GEX740.6K590.2K986.0K756.1K834.4K
Net DEX-9.5M-11.6M-7.2M-9.2M-9.7M
Net VEX-37.8K-41.9K-32.0K-33.6K-41.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.028.920.180.66
Total Volume164.8536615147113
Total OI7,038.255,6107,9937,7506,273

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$41.16$35.0017.8%5.1%19.4%15.9%17.7%5.6%-1.0%756.1K-9.2M-33.6K0.1884.94N/AN/A125226,5361,214
2023-12-04$42.20$40.0021.4%4.6%20.8%22.6%15.0%7.3%5.4%774.5K-11.6M-39.1K0.2183.63N/AN/A212446,5251,218
2023-12-05$41.72$40.0020.0%5.5%20.2%20.1%25.6%3.5%2.2%778.4K-11.4M-39.5K2.11113.44N/AN/A1182496,5871,208
2023-12-06$41.22$45.0017.9%5.7%20.8%16.1%32.9%6.4%2.2%688.9K-9.3M-39.2K8.9282.81N/AN/A625536,5791,414
2023-12-07$41.38$40.0020.3%5.3%20.5%20.5%18.6%8.0%3.4%670.6K-10.1M-37.6K1.76108.42N/AN/A17306,5531,261
2023-12-08$40.81$40.0020.0%5.3%19.4%19.9%18.1%5.3%1.7%748.0K-8.7M-36.4K0.40113.95N/AN/A58236,5561,255
2023-12-11$40.61$40.0019.2%5.1%19.6%18.5%17.9%5.4%1.9%830.1K-8.3M-33.1K0.6488.76N/AN/A77496,5731,219
2023-12-12$40.50$40.0019.3%4.9%19.1%18.7%21.9%7.8%3.8%986.0K-9.3M-35.3K0.2088.55N/AN/A3066,5961,246
2023-12-13$41.73$40.0020.1%5.8%18.7%20.2%22.5%3.6%-9.8%627.5K-10.1M-32.0K1.19113.48N/AN/A27326,5961,252
2023-12-14$42.28$40.0019.3%5.5%18.9%18.7%16.7%5.3%-7.0%655.0K-11.4M-36.9K0.2470.00N/AN/A102246,6081,259
2023-12-15$42.03$40.0018.7%5.4%19.2%17.6%17.0%5.6%1.4%590.2K-10.5M-32.5K0.1182.40N/AN/A193226,6311,262
2023-12-18$42.31$40.0020.2%5.8%18.7%20.4%14.1%6.2%-8.9%641.1K-7.2M-35.9K0.0780.19N/AN/A145104,955655
2023-12-19$42.72$40.0025.8%7.4%18.8%30.9%17.7%10.3%2.7%673.5K-8.8M-39.9K0.0367.25N/AN/A436155,094663
2023-12-20$42.72$40.0027.5%7.9%18.9%34.2%21.8%-0.3%-1.1%670.9K-8.7M-41.9K0.0859.39N/AN/A5245,354677
2023-12-21$42.59$40.0027.0%7.7%19.0%33.3%18.7%7.2%1.0%716.8K-8.3M-40.6K2.0456.65N/AN/A501025,381680
2023-12-22$42.64$40.0027.4%7.9%19.0%34.1%0.0%8.4%2.3%759.2K-8.0M-38.2K0.0260.08N/AN/A14535,422729
2023-12-26$42.98$40.0030.3%8.7%18.8%39.7%16.2%11.4%0.4%801.7K-9.1M-40.0K0.4788.70N/AN/A30145,494732
2023-12-27$42.95$40.0030.4%8.7%18.9%39.7%23.5%11.1%1.8%797.8K-9.4M-41.3K0.0499.51N/AN/A4925,507746
2023-12-28$43.28$40.0015.0%4.3%18.5%10.5%16.0%0.0%3.7%810.6K-10.1M-41.6K0.9340.85N/AN/A27255,509746
2023-12-29$43.25$40.0013.7%3.9%18.2%8.0%14.5%-2.9%2.9%834.4K-9.7M-41.5K0.6658.34N/AN/A68455,523750