NNN Options History — March 2024

In March 2024, NNN traded between $40.95 and $42.89. ATM implied volatility averaged 27.6%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 11.2% (HV 20d: 16.4%). 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 2.01.

Notable Days

  • 2024-03-19: Highest Volume — 374 contracts
  • 2024-03-08: Largest IV spike — 95.8% change
  • 2024-03-12: Highest IV Rank — 100.0%
  • 2024-03-22: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.01$40.95$42.89$41.20$42.78
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV27.6%15.1%66.8%15.8%18.9%
Expected Move6.3%3.8%9.3%4.5%5.4%
HV 20d16.4%13.7%18.2%16.3%17.0%
HV 60d16.5%15.6%16.9%16.6%16.9%
IV Rank32.6%10.7%100.0%12.0%16.5%
IV Percentile64.0%10.7%100.0%16.3%39.7%
Term Structure-0.6%-28.6%13.6%13.3%-1.5%
VWIV19.7%15.6%29.1%18.4%16.1%
Skew 25d4.6%-2.5%12.5%7.2%6.9%
Skew 10d9.2%-14.6%45.6%45.6%7.1%
Call IV 25d17.1%8.7%21.8%13.7%15.9%
Put IV 25d21.7%16.2%29.5%20.9%22.8%
Bid-Ask Spread %90.4462.83114.2980.8891.64
Gamma HHI0.540.460.750.480.53
Net GEX428.5K255.6K964.3K409.7K397.0K
Net DEX-5.6M-7.9M-3.9M-4.7M-5.8M
Net VEX-29.9K-33.7K-25.9K-25.9K-31.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.0114.807.600.34
Total Volume108.91337486127
Total OI6,398.73,6768,2107,8924,602

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$41.20$40.0015.8%4.5%16.3%12.0%18.4%7.2%13.3%409.7K-4.7M-25.9K7.6080.88N/AN/A10766,8251,067
2024-03-04$41.72$40.0015.1%4.8%16.6%10.7%18.0%-2.5%0.1%337.8K-5.9M-27.3K0.09103.72N/AN/A7976,8331,128
2024-03-05$41.61$40.0019.0%6.8%13.8%18.2%29.1%11.7%4.1%448.7K-5.5M-29.8K0.84112.56N/AN/A19166,8561,123
2024-03-06$41.41$40.0024.6%7.5%13.7%28.7%21.0%2.4%-12.3%476.7K-5.2M-28.3K0.30114.29N/AN/A2786,8681,138
2024-03-07$41.97$40.0021.7%4.8%14.2%23.3%18.3%-1.8%-0.2%394.8K-6.1M-27.8K0.33107.60N/AN/A46156,8691,152
2024-03-08$42.52$40.0042.6%3.8%14.5%62.9%16.2%2.3%1.3%714.6K-7.1M-30.8K1.1598.43N/AN/A931076,8901,159
2024-03-11$42.89$40.0057.8%3.9%13.9%91.9%16.8%3.2%-0.9%964.3K-7.9M-29.8K0.2997.94N/AN/A115336,9531,238
2024-03-12$42.61$40.0066.8%6.2%14.4%100.0%0.0%-1.2%-1.1%482.7K-6.8M-29.9K0.02108.23N/AN/A4816,9241,257
2024-03-13$41.91$40.0022.1%6.3%15.8%22.1%15.6%10.3%-1.5%470.9K-6.0M-28.5K0.01104.33N/AN/A13216,9171,257
2024-03-14$40.95$40.0022.0%6.3%18.1%21.8%21.9%7.5%13.6%511.2K-4.7M-27.6K0.76113.83N/AN/A104796,8411,257
2024-03-15$41.53$40.0020.4%5.8%18.0%19.0%19.7%2.9%7.6%255.6K-5.3M-27.4K0.9392.47N/AN/A27256,8761,334
2024-03-18$41.47$40.0019.4%5.6%17.8%17.4%19.2%1.3%7.5%261.5K-3.9M-26.6K0.1378.17N/AN/A99132,963713
2024-03-19$41.78$40.0016.8%4.8%17.9%12.8%20.5%5.1%13.4%268.5K-4.3M-28.8K0.0678.29N/AN/A353213,045734
2024-03-20$42.05$40.0018.0%5.1%17.7%14.8%20.0%7.3%11.6%360.4K-5.0M-31.8K10.8374.44N/AN/A6653,705754
2024-03-21$42.63$40.0025.4%7.3%18.2%27.8%21.0%9.3%1.6%385.9K-5.7M-33.0K0.2863.60N/AN/A156443,706749
2024-03-22$42.50$40.0032.4%9.3%17.9%40.0%21.7%0.3%-16.0%390.4K-5.7M-33.4K14.8074.67N/AN/A5743,748777
2024-03-25$42.09$40.0029.8%8.5%17.7%35.5%20.4%2.0%-12.0%344.8K-5.0M-33.7K1.1765.48N/AN/A35413,751794
2024-03-26$42.16$40.0032.1%9.2%16.8%39.4%0.0%12.5%-28.6%346.6K-5.1M-33.2K0.0762.83N/AN/A5443,756825
2024-03-27$42.47$40.0031.1%8.9%16.9%37.7%16.1%5.5%-11.8%346.9K-5.4M-32.8K0.1885.49N/AN/A1123,756834
2024-03-28$42.78$40.0018.9%5.4%17.0%16.5%0.0%6.9%-1.5%397.0K-5.8M-31.7K0.3491.64N/AN/A95323,766836