NNN Options History — June 2024

In June 2024, NNN traded between $41.59 and $42.72. ATM implied volatility averaged 19.0%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.3% (HV 20d: 18.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.75.

Notable Days

  • 2024-06-24: Highest Volume — 377 contracts
  • 2024-06-27: Largest IV spike — 78.7% change
  • 2024-06-27: Highest IV Rank — 38.2%
  • 2024-06-27: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.11$41.59$42.72$42.08$42.33
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV19.0%12.0%31.3%18.9%26.9%
Expected Move5.2%3.4%9.0%5.4%7.7%
HV 20d18.8%16.9%19.9%18.5%17.0%
HV 60d18.9%18.5%19.7%19.3%18.6%
IV Rank16.7%4.5%38.2%16.5%30.5%
IV Percentile38.4%2.8%87.7%38.9%81.3%
Term Structure-0.9%-31.7%14.4%-3.9%-21.3%
VWIV18.6%8.8%56.0%15.1%56.0%
Skew 25d8.2%1.3%14.3%14.3%10.5%
Skew 10d5.5%-6.6%15.6%15.6%11.6%
Call IV 25d11.7%9.5%17.2%10.8%13.1%
Put IV 25d19.9%12.9%25.2%25.2%23.6%
Bid-Ask Spread %99.0969.00122.39101.87107.18
Gamma HHI0.620.540.680.580.66
Net GEX441.8K374.3K597.9K516.5K466.9K
Net DEX-6.7M-8.2M-4.6M-6.9M-5.7M
Net VEX-34.3K-37.6K-32.6K-36.9K-34.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.013.130.112.88
Total Volume75.421103774231
Total OI6,408.0535,0156,9216,6265,434

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-06-03$42.08$40.0018.9%5.4%18.5%16.5%15.1%14.3%-3.9%516.5K-6.9M-36.9K0.11101.87N/AN/A3845,3131,313
2024-06-04$42.72$40.0020.9%6.0%19.0%20.0%13.7%8.7%7.0%539.7K-8.2M-37.6K0.29108.04N/AN/A66195,3231,314
2024-06-05$42.11$40.0013.4%3.9%19.4%6.9%0.0%1.3%1.6%385.6K-7.2M-35.1K0.3872.87N/AN/A2495,3611,325
2024-06-06$42.63$40.0012.0%3.4%19.3%4.5%19.1%4.4%3.5%597.9K-8.2M-36.4K0.0395.14N/AN/A10435,3711,329
2024-06-07$41.98$40.0018.2%4.3%19.9%15.3%15.0%9.9%0.5%472.9K-6.8M-34.7K0.13122.39N/AN/A3855,3911,331
2024-06-10$41.80$40.0022.4%4.1%19.9%22.5%17.4%7.8%7.2%473.1K-6.7M-34.6K0.43120.83N/AN/A28125,4161,336
2024-06-11$41.70$40.0022.9%5.5%19.6%23.5%18.2%11.1%-5.9%447.6K-6.4M-34.1K0.8389.95N/AN/A23195,4221,348
2024-06-12$41.78$40.0015.0%4.3%19.6%9.6%17.0%2.2%-1.6%468.9K-6.5M-34.5K0.01110.98N/AN/A17815,4361,367
2024-06-13$42.20$40.0016.5%4.7%19.9%12.3%12.7%10.2%-3.0%415.9K-7.4M-33.4K2.88117.57N/AN/A8235,5501,366
2024-06-14$42.09$40.0015.2%4.4%19.5%10.0%14.4%8.2%14.4%398.8K-7.2M-34.3K0.18100.48N/AN/A1125,5561,345
2024-06-17$42.05$40.0016.8%4.8%19.4%12.8%18.6%9.9%3.8%378.8K-7.3M-33.5K0.23107.88N/AN/A78185,5571,345
2024-06-18$42.20$40.0019.1%5.5%18.8%16.8%16.6%2.4%-6.2%393.7K-7.4M-32.8K0.6784.77N/AN/A645,5451,357
2024-06-20$42.06$40.0016.5%4.7%18.5%12.2%19.7%12.5%10.3%374.3K-7.1M-33.1K1.50110.75N/AN/A18275,5461,361
2024-06-21$42.17$40.0019.2%5.5%18.2%17.0%17.5%10.4%5.8%392.5K-7.5M-33.0K0.07107.45N/AN/A144105,5501,371
2024-06-24$42.61$40.0023.5%6.7%16.9%24.5%8.8%12.6%2.0%425.6K-5.8M-32.6K0.0177.04N/AN/A37254,072943
2024-06-25$41.91$40.0015.4%4.4%18.1%10.3%17.2%9.8%5.9%436.6K-5.2M-34.1K3.1387.74N/AN/A8254,413947
2024-06-26$41.59$40.0017.5%5.0%17.9%14.1%0.0%7.3%-6.1%382.9K-4.6M-32.9K0.4169.00N/AN/A27114,415974
2024-06-27$42.03$40.0031.3%9.0%17.2%38.2%56.0%2.9%-31.7%426.7K-5.2M-33.3K0.1090.70N/AN/A3134,420990
2024-06-28$42.33$40.0026.9%7.7%17.0%30.5%0.0%10.5%-21.3%466.9K-5.7M-34.1K2.88107.18N/AN/A8234,441993