NNN Options History — January 2024

In January 2024, NNN traded between $40.34 and $43.55. ATM implied volatility averaged 26.2%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 11.0% (HV 20d: 15.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2024-01-23: Highest Volume — 1,177 contracts
  • 2024-01-29: Largest IV spike — 102.7% change
  • 2024-01-18: Highest IV Rank — 60.5%
  • 2024-01-18: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.25$40.34$43.55$43.45$40.34
Max Pain$40.48$40.00$45.00$40.00$45.00
ATM IV26.2%14.0%41.3%15.7%21.3%
Expected Move6.5%4.0%11.8%4.5%6.1%
HV 20d15.2%12.5%17.8%17.8%15.6%
HV 60d20.8%18.0%21.6%21.2%18.0%
IV Rank31.8%8.5%60.5%11.9%22.5%
IV Percentile69.8%6.0%98.0%16.7%58.3%
Term Structure-3.9%-29.0%8.5%2.1%-0.6%
VWIV21.1%13.4%39.3%16.6%21.4%
Skew 25d7.2%-2.1%28.3%-2.1%5.3%
Skew 10d18.4%-2.4%58.4%-2.4%8.4%
Call IV 25d16.1%10.5%20.3%16.7%17.4%
Put IV 25d23.2%14.6%46.6%14.6%22.7%
Bid-Ask Spread %70.4341.27106.6152.0182.71
Gamma HHI0.750.460.840.840.73
Net GEX731.4K335.9K1.0M979.5K523.9K
Net DEX-7.0M-10.7M-4.0M-10.7M-4.2M
Net VEX-33.7K-40.7K-24.7K-40.7K-33.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.002.320.620.43
Total Volume177.429161,17755107
Total OI6,782.9056,2997,4796,2997,473

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$43.45$40.0015.7%4.5%17.8%11.9%16.6%-2.1%2.1%979.5K-10.7M-40.7K0.6252.01N/AN/A34215,525774
2024-01-03$42.66$40.0030.0%8.6%17.2%39.0%0.0%10.7%8.5%783.0K-8.5M-38.0K0.21106.61N/AN/A101215,544757
2024-01-04$42.91$40.0030.8%5.1%16.7%40.6%22.3%5.4%-0.5%798.4K-9.0M-39.3K0.2383.94N/AN/A2665,587778
2024-01-05$42.91$40.0034.2%4.1%16.0%46.9%16.1%5.3%-0.9%816.5K-8.9M-39.1K0.0093.24N/AN/A4105,609784
2024-01-08$43.55$40.0031.7%5.0%16.6%42.3%19.4%0.1%-4.0%1.0M-10.3M-39.1K0.0182.36N/AN/A49765,644784
2024-01-09$43.34$40.0039.7%4.4%15.7%57.5%13.4%-0.4%-1.8%978.7K-9.5M-37.9K0.6341.27N/AN/A30195,725787
2024-01-10$42.91$40.0024.4%7.0%16.1%28.3%22.7%2.8%3.2%731.3K-8.4M-37.1K0.4469.51N/AN/A27125,745796
2024-01-11$43.09$40.0023.3%6.7%16.0%26.3%14.9%7.3%4.1%877.2K-7.6M-32.9K0.3947.87N/AN/A92365,742799
2024-01-12$43.36$40.0014.0%4.0%12.6%8.5%16.4%-0.8%1.2%955.6K-8.6M-34.4K0.0046.54N/AN/A1605,771833
2024-01-16$42.94$40.0017.8%5.1%12.5%15.9%18.4%-0.4%0.5%843.6K-7.1M-30.7K0.2652.37N/AN/A3185,778833
2024-01-17$42.30$40.0022.2%6.4%13.5%24.2%17.3%11.0%-2.1%742.4K-6.9M-31.3K0.2261.82N/AN/A95215,780834
2024-01-18$41.91$40.0041.3%11.8%13.7%60.5%39.3%28.3%-16.8%666.9K-5.9M-30.0K1.3173.08N/AN/A32425,770848
2024-01-19$42.41$40.0027.2%7.8%14.0%33.7%24.9%13.9%-10.0%763.8K-6.9M-31.4K0.5287.43N/AN/A48255,759887
2024-01-22$41.91$40.0018.3%5.2%14.5%16.7%13.4%9.2%3.5%653.0K-5.1M-27.3K0.0190.84N/AN/A81595,604822
2024-01-23$41.66$40.0023.2%6.7%14.6%26.2%22.9%8.3%-2.1%636.3K-5.3M-30.6K0.0588.16N/AN/A1,120576,024831
2024-01-24$41.16$40.0032.3%9.3%15.1%43.4%21.3%12.7%-29.0%335.9K-4.3M-24.7K0.0888.67N/AN/A5146,519888
2024-01-25$41.41$40.0028.4%8.1%15.0%35.9%28.2%15.3%-9.8%663.9K-5.8M-35.7K0.0866.39N/AN/A6556,531893
2024-01-26$41.05$40.0018.0%5.2%15.1%16.2%18.4%4.4%-0.1%505.8K-4.5M-30.7K2.0056.88N/AN/A21426,551896
2024-01-29$41.31$40.0036.5%10.5%15.0%51.3%34.1%9.3%-25.9%581.6K-5.2M-32.5K0.3661.81N/AN/A59216,559920
2024-01-30$40.64$45.0019.5%5.6%15.8%19.1%19.6%5.0%-2.0%497.8K-4.0M-31.1K2.3245.47N/AN/A19446,519938
2024-01-31$40.34$45.0021.3%6.1%15.6%22.5%21.4%5.3%-0.6%523.9K-4.2M-33.7K0.4382.71N/AN/A75326,519954