NNN Options History — February 2024

In February 2024, NNN traded between $39.61 and $41.69. ATM implied volatility averaged 21.9%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.3% (HV 20d: 17.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2024-02-01: Highest Volume — 566 contracts
  • 2024-02-08: Largest IV drop — 37.0% change
  • 2024-02-07: Highest IV Rank — 42.1%
  • 2024-02-07: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.56$39.61$41.69$41.16$40.75
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV21.9%17.8%31.6%29.3%21.2%
Expected Move5.9%4.2%9.1%6.4%6.1%
HV 20d17.6%16.6%18.5%16.8%17.4%
HV 60d17.6%17.0%18.8%18.4%17.2%
IV Rank23.5%15.9%42.1%37.7%22.3%
IV Percentile58.2%30.2%92.9%88.9%59.9%
Term Structure0.6%-12.9%10.9%-2.0%9.4%
VWIV20.9%16.9%31.2%21.3%20.0%
Skew 25d11.5%5.3%52.4%5.3%6.8%
Skew 10d22.3%8.1%124.3%11.6%8.1%
Call IV 25d14.9%9.4%19.6%19.6%15.6%
Put IV 25d26.4%19.6%69.6%24.9%22.4%
Bid-Ask Spread %89.6040.35105.2799.3579.02
Gamma HHI0.650.490.830.750.54
Net GEX444.7K259.6K680.4K625.5K489.0K
Net DEX-4.3M-6.3M-2.5M-5.4M-4.5M
Net VEX-31.9K-41.8K-26.5K-38.4K-27.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.0114.000.010.48
Total Volume96.22956656641
Total OI7,772.357,4748,0107,4747,867

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$41.16$40.0029.3%6.4%16.8%37.7%21.3%5.3%-2.0%625.5K-5.4M-38.4K0.0199.35N/AN/A56246,490984
2024-02-02$40.83$40.0024.1%4.2%16.6%27.8%0.0%52.4%7.0%413.4K-4.1M-32.8K0.33104.02N/AN/A42146,607988
2024-02-05$39.86$40.0022.4%5.4%18.3%24.6%19.5%6.9%1.7%313.5K-2.8M-30.0K0.69105.27N/AN/A26186,6401,019
2024-02-06$40.23$40.0026.8%5.6%17.6%32.9%17.9%7.2%0.8%402.2K-3.4M-32.0K0.1598.98N/AN/A3456,6511,021
2024-02-07$40.05$40.0031.6%9.1%17.6%42.1%31.2%20.4%-12.9%617.7K-6.1M-41.8K0.40103.85N/AN/A60246,6631,021
2024-02-08$39.97$40.0019.9%5.7%17.5%19.8%16.9%7.8%-1.1%325.5K-3.1M-30.3K0.2095.49N/AN/A55116,7151,038
2024-02-09$39.61$40.0019.3%5.5%17.3%18.6%19.7%7.9%1.2%265.1K-2.6M-29.6K0.4899.40N/AN/A29146,7261,042
2024-02-12$39.86$40.0019.5%5.6%17.3%19.1%19.5%9.5%-0.3%288.8K-2.5M-26.5K0.3492.05N/AN/A95326,7201,053
2024-02-13$39.67$40.0019.8%5.7%17.2%19.6%19.9%9.2%0.7%259.6K-2.6M-28.5K0.13103.26N/AN/A275366,7801,080
2024-02-14$40.00$40.0019.2%5.5%17.2%18.5%20.1%10.1%0.3%286.5K-3.2M-29.7K0.3240.35N/AN/A2276,8781,112
2024-02-15$40.63$40.0020.0%5.7%18.2%20.0%20.0%10.7%-0.8%432.4K-4.6M-33.0K0.9490.27N/AN/A18176,8901,113
2024-02-16$40.93$40.0019.9%5.7%17.9%19.8%19.9%9.8%-1.2%534.0K-5.2M-34.2K1.3191.03N/AN/A42556,8901,120
2024-02-20$40.84$40.0021.2%6.1%17.5%22.3%21.2%11.1%-1.2%507.3K-4.8M-32.9K0.3891.07N/AN/A29116,698970
2024-02-21$41.28$40.0024.6%7.1%17.9%28.8%25.1%12.7%-4.2%659.1K-5.9M-35.7K1.3694.34N/AN/A22306,710976
2024-02-22$41.19$40.0017.8%5.1%17.3%15.9%18.8%7.0%5.5%520.6K-5.2M-31.6K0.2094.27N/AN/A74156,7261,001
2024-02-23$41.69$40.0020.2%5.8%17.7%20.3%24.5%10.9%0.5%680.4K-6.3M-33.7K0.2870.72N/AN/A74216,7711,016
2024-02-26$41.22$40.0019.9%5.7%17.9%19.9%20.7%6.6%10.9%494.3K-5.2M-31.5K1.2277.92N/AN/A18226,7871,024
2024-02-27$40.64$40.0020.5%5.9%18.5%20.9%20.5%9.6%-2.1%400.2K-3.9M-27.8K14.0083.27N/AN/A2286,7981,028
2024-02-28$40.80$40.0019.9%5.7%17.6%19.8%20.0%7.7%-0.9%378.3K-4.4M-29.8K0.4878.15N/AN/A27136,7991,035
2024-02-29$40.75$40.0021.2%6.1%17.4%22.3%0.0%6.8%9.4%489.0K-4.5M-27.8K0.0079.02N/AN/A0416,8251,042