NNN Options History — August 2024

In August 2024, NNN traded between $45.11 and $47.09. ATM implied volatility averaged 17.0%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 0.4% (HV 20d: 17.4%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.63.

Notable Days

  • 2024-08-06: Highest Volume — 1,437 contracts
  • 2024-08-14: Largest IV spike — 46.4% change
  • 2024-08-05: Highest IV Rank — 27.3%
  • 2024-08-08: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.21$45.11$47.09$45.79$46.84
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV17.0%13.5%26.0%19.2%14.0%
Expected Move5.3%3.9%7.8%5.5%4.0%
HV 20d17.4%14.5%19.8%19.2%14.5%
HV 60d17.4%16.0%17.9%17.5%16.0%
IV Rank11.2%5.0%27.3%15.2%5.8%
IV Percentile24.3%3.2%77.0%38.1%6.7%
Term Structure4.3%-6.0%16.1%-3.2%15.5%
VWIV18.4%11.5%25.5%19.2%12.1%
Skew 25d7.7%3.1%14.5%4.3%9.5%
Skew 10d11.4%4.6%19.6%5.6%7.7%
Call IV 25d13.2%8.4%21.4%14.9%10.3%
Put IV 25d21.0%14.3%29.4%19.2%19.7%
Bid-Ask Spread %88.7868.3698.9589.7887.84
Gamma HHI0.650.530.890.720.55
Net GEX1.3M840.2K3.5M1.1M990.4K
Net DEX-18.9M-22.1M-16.7M-18.6M-19.6M
Net VEX-57.5K-61.0K-54.1K-61.0K-54.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.0031.000.020.03
Total Volume225.40931,43760435
Total OI8,190.0917,4928,6977,8768,181

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$45.79$45.0019.2%5.5%19.2%15.2%19.2%4.3%-3.2%1.1M-18.6M-61.0K0.0289.78N/AN/A593116,882994
2024-08-02$46.53$45.0022.3%6.4%19.7%20.7%22.2%10.2%-3.2%914.5K-18.1M-58.0K0.0798.95N/AN/A162126,498994
2024-08-05$46.41$45.0026.0%6.0%19.8%27.3%20.8%5.2%5.7%898.5K-17.8M-59.1K0.1494.99N/AN/A3656,623988
2024-08-06$46.92$45.0017.6%6.0%19.2%12.3%21.1%5.0%1.0%840.2K-19.8M-57.4K0.4594.58N/AN/A9904476,625994
2024-08-07$46.55$45.0014.1%5.7%19.7%6.0%18.7%3.4%0.4%1.0M-22.1M-56.1K0.0694.71N/AN/A452277,2581,095
2024-08-08$45.92$45.0015.4%7.8%16.9%8.3%25.5%5.4%-5.7%1.3M-19.4M-60.9K0.1890.26N/AN/A56107,4651,091
2024-08-09$46.13$45.0015.7%5.3%16.7%8.9%24.3%3.8%1.6%1.3M-20.8M-59.1K0.8993.02N/AN/A19177,4431,096
2024-08-12$45.66$45.0017.5%7.1%16.7%12.1%24.2%10.0%-6.0%1.5M-18.8M-57.9K0.1491.03N/AN/A3557,4421,099
2024-08-13$45.77$45.0017.5%7.4%16.3%12.1%11.5%11.8%-3.9%1.4M-18.8M-58.3K0.0098.88N/AN/A1207,4401,101
2024-08-14$45.92$45.0025.6%7.3%15.6%26.6%0.0%14.5%-5.7%1.4M-19.9M-56.3K0.0194.98N/AN/A53967,4521,101
2024-08-15$45.30$45.0015.3%4.4%16.2%8.2%17.5%7.3%13.6%2.2M-18.0M-57.9K0.0290.11N/AN/A524107,5901,107
2024-08-16$45.11$45.0014.0%4.0%16.2%5.8%14.0%3.1%15.3%3.5M-16.9M-56.8K0.0291.31N/AN/A24657,4721,112
2024-08-19$46.03$45.0019.1%5.5%17.9%15.1%21.1%9.4%7.8%1.0M-17.2M-58.2K0.9481.23N/AN/A17166,927982
2024-08-20$45.70$45.0015.4%4.4%18.0%8.5%15.5%5.9%14.5%1.1M-16.7M-57.7K31.0068.36N/AN/A123726,939988
2024-08-21$46.09$45.0016.9%4.8%17.8%11.0%16.8%7.4%10.4%1.1M-17.5M-58.7K0.1476.50N/AN/A1426,9481,181
2024-08-22$46.00$45.0016.1%4.6%17.5%9.7%16.2%5.8%7.1%1.1M-17.3M-58.5K0.0775.97N/AN/A4536,9521,177
2024-08-23$46.63$45.0013.8%4.0%17.7%5.6%14.9%10.0%-2.0%1.0M-19.3M-56.6K0.7479.81N/AN/A38286,9871,178
2024-08-26$47.09$45.0015.1%4.3%17.9%7.8%24.0%9.1%3.9%1.0M-20.5M-54.1K0.3884.96N/AN/A52207,0201,166
2024-08-27$46.81$45.0014.9%4.3%17.7%7.4%14.4%8.5%8.5%998.3K-19.6M-55.8K0.5589.36N/AN/A22127,0021,180
2024-08-28$46.80$45.0013.5%3.9%16.0%5.0%0.0%9.8%16.1%1.0M-19.6M-55.6K0.0094.21N/AN/A307,0171,188
2024-08-29$46.67$45.0015.2%4.4%15.5%8.1%13.4%10.6%3.1%1.0M-19.2M-56.1K0.0792.33N/AN/A4637,0191,188
2024-08-30$46.84$45.0014.0%4.0%14.5%5.8%12.1%9.5%15.5%990.4K-19.6M-54.9K0.0387.84N/AN/A3416,9911,190