NNN Options History — July 2024

In July 2024, NNN traded between $42.11 and $46.19. ATM implied volatility averaged 22.4%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 6.3% (HV 20d: 16.1%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.41.

Notable Days

  • 2024-07-22: Highest Volume — 2,424 contracts
  • 2024-07-11: Largest IV spike — 66.9% change
  • 2024-07-03: Highest IV Rank — 48.1%
  • 2024-07-03: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.52$42.11$46.19$42.11$45.22
Max Pain$40.23$40.00$45.00$40.00$45.00
ATM IV22.4%15.0%37.0%35.1%20.4%
Expected Move6.1%4.3%10.6%10.1%5.8%
HV 20d16.1%11.4%19.1%14.9%19.1%
HV 60d17.0%15.8%18.7%18.6%17.4%
IV Rank21.1%7.6%48.1%44.8%17.3%
IV Percentile47.4%9.1%93.3%92.1%50.8%
Term Structure-3.9%-29.3%9.7%-29.3%3.8%
VWIV20.8%11.7%40.9%20.9%20.4%
Skew 25d12.9%-4.4%34.0%6.5%2.1%
Skew 10d27.2%-2.0%62.7%11.2%2.7%
Call IV 25d15.0%10.2%20.6%18.1%16.8%
Put IV 25d27.9%12.3%46.6%24.6%18.9%
Bid-Ask Spread %101.0273.12122.2198.9497.66
Gamma HHI0.710.660.800.670.76
Net GEX839.3K452.0K1.2M452.0K992.0K
Net DEX-13.2M-20.3M-5.4M-5.4M-15.8M
Net VEX-46.6K-65.5K-31.5K-33.9K-64.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.003.000.140.18
Total Volume291.77392,4243360
Total OI6,839.0915,4468,2755,4467,843

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$42.11$40.0035.1%10.1%14.9%44.8%20.9%6.5%-29.3%452.0K-5.4M-33.9K0.1498.94N/AN/A2944,4411,005
2024-07-02$42.38$40.0027.7%7.9%14.8%31.7%34.8%9.9%-19.6%488.0K-6.0M-33.6K0.0273.12N/AN/A4214,5051,009
2024-07-03$42.25$40.0037.0%10.6%13.8%48.1%0.0%7.7%-18.6%486.6K-5.9M-33.0K0.2991.48N/AN/A724,5521,010
2024-07-05$42.36$40.0035.5%5.3%12.8%45.5%13.2%-3.7%-14.2%497.2K-5.6M-31.5K0.41107.18N/AN/A27114,5571,012
2024-07-08$42.59$40.0029.8%7.4%12.2%34.1%11.7%15.0%3.3%514.5K-6.5M-34.3K0.2298.87N/AN/A2764,5841,023
2024-07-09$42.16$40.0033.7%7.8%11.4%41.0%0.0%-0.5%-17.6%473.8K-5.6M-32.5K3.00108.53N/AN/A394,6021,024
2024-07-10$42.56$40.0016.3%4.7%11.7%9.9%0.0%-4.4%-0.9%527.5K-6.4M-33.0K0.04107.36N/AN/A5424,6011,030
2024-07-11$44.11$40.0027.1%7.8%17.0%29.3%16.6%11.8%-1.8%707.7K-9.2M-34.4K0.01108.87N/AN/A1,962164,6231,028
2024-07-12$44.53$40.0025.9%7.4%17.1%27.1%22.8%12.5%6.5%841.4K-12.8M-43.2K0.95122.21N/AN/A60575,6201,032
2024-07-15$45.08$40.0016.6%4.8%17.3%10.6%38.1%14.5%4.8%1.0M-14.1M-41.4K0.13120.04N/AN/A233315,6431,049
2024-07-16$45.56$40.0016.2%4.6%17.3%9.8%16.2%34.0%0.1%1.0M-15.7M-40.1K0.00109.35N/AN/A46315,7811,057
2024-07-17$46.19$40.0018.6%5.3%17.5%14.1%17.3%21.6%-2.0%956.4K-17.3M-45.4K0.0599.70N/AN/A212106,0161,066
2024-07-18$45.95$40.0015.8%4.5%17.9%9.1%14.3%14.9%-2.8%951.2K-16.2M-47.4K0.11116.44N/AN/A147166,0341,069
2024-07-19$46.02$40.0015.0%4.3%17.7%7.6%19.1%21.5%-2.4%868.1K-16.4M-48.7K0.00107.14N/AN/A8406,1001,079
2024-07-22$46.09$40.0017.3%5.0%17.7%11.8%17.3%12.5%-2.2%930.0K-16.4M-47.9K0.0395.82N/AN/A2,360646,015958
2024-07-23$46.16$40.0017.0%4.9%17.6%11.2%40.9%9.7%-0.2%1.0M-20.3M-65.0K1.2584.89N/AN/A8107,243970
2024-07-24$45.61$40.0019.2%5.5%17.0%15.2%19.2%19.3%-0.5%1.1M-18.6M-65.5K0.22100.95N/AN/A45107,246980
2024-07-25$45.22$40.0017.5%5.0%17.0%12.1%17.5%25.0%-0.2%1.1M-17.6M-64.7K1.1392.16N/AN/A897,266987
2024-07-26$45.69$40.0017.1%4.9%17.0%11.5%17.2%19.3%-3.4%1.1M-19.1M-64.2K0.83100.26N/AN/A657,273989
2024-07-29$45.55$40.0016.2%4.7%17.2%9.9%16.1%21.6%1.6%1.2M-18.7M-60.8K0.0296.31N/AN/A4317,273990
2024-07-30$46.11$40.0017.4%5.0%17.1%11.9%20.9%13.9%9.7%1.2M-20.2M-60.0K0.0385.10N/AN/A26777,284991
2024-07-31$45.22$45.0020.4%5.8%19.1%17.3%20.4%2.1%3.8%992.0K-15.8M-64.3K0.1897.66N/AN/A5196,854989