NNN Options History — September 2024

In September 2024, NNN traded between $47.17 and $48.80. ATM implied volatility averaged 20.4%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 7.5% (HV 20d: 12.8%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.28.

Notable Days

  • 2024-09-03: Highest Volume — 283 contracts
  • 2024-09-16: Largest IV spike — 81.0% change
  • 2024-09-09: Highest IV Rank — 48.6%
  • 2024-09-25: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.17$47.17$48.80$47.17$48.34
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV20.4%12.3%37.9%17.4%13.4%
Expected Move5.1%3.5%8.0%5.0%3.8%
HV 20d12.8%10.4%15.0%14.7%12.3%
HV 60d15.8%15.6%15.9%15.9%15.8%
IV Rank17.3%2.8%48.6%12.0%4.8%
IV Percentile41.4%0.8%93.3%28.6%2.0%
Term Structure0.3%-9.1%11.9%11.9%-7.3%
VWIV17.8%10.9%33.7%16.8%15.1%
Skew 25d2.8%-2.6%9.4%8.8%5.1%
Skew 10d-3.3%-30.6%9.9%9.9%5.1%
Call IV 25d15.4%10.2%20.1%10.2%15.4%
Put IV 25d18.2%11.8%21.7%19.0%20.5%
Bid-Ask Spread %97.7270.89124.6980.2371.34
Gamma HHI0.480.450.520.520.49
Net GEX788.5K595.0K974.9K937.0K613.7K
Net DEX-20.9M-24.3M-15.0M-20.6M-16.8M
Net VEX-42.5K-52.8K-29.5K-52.8K-29.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.002.670.010.79
Total Volume89.85728328325
Total OI7,295.85,2678,1918,1915,291

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$47.17$45.0017.4%5.0%14.7%12.0%16.8%8.8%11.9%937.0K-20.6M-52.8K0.0180.23N/AN/A28037,0001,191
2024-09-04$47.84$45.0026.7%7.7%15.0%28.6%13.1%9.4%5.0%913.6K-22.1M-50.2K0.0593.33N/AN/A4226,9181,191
2024-09-05$47.80$45.0027.5%5.1%14.6%30.1%15.8%-2.6%0.4%918.8K-21.8M-50.5K0.00112.55N/AN/A21516,9431,192
2024-09-06$48.09$45.0029.1%4.5%13.6%32.9%0.0%4.9%4.9%921.4K-23.0M-47.9K0.01119.13N/AN/A9316,9731,192
2024-09-09$48.70$45.0037.9%4.4%14.1%48.6%10.9%4.9%6.5%888.3K-24.3M-43.9K0.00122.71N/AN/A6006,9041,192
2024-09-10$48.63$45.0022.9%4.6%13.3%21.8%16.4%6.0%0.2%881.3K-23.8M-44.5K0.0091.99N/AN/A7006,9101,192
2024-09-11$48.45$45.0023.1%6.6%13.6%22.2%16.8%1.0%-1.3%697.6K-23.7M-41.9K0.00112.71N/AN/A1306,9521,192
2024-09-12$48.31$45.0016.1%4.6%13.7%9.7%15.0%5.4%-1.5%937.1K-22.8M-48.4K0.0096.18N/AN/A706,9481,192
2024-09-13$48.58$45.0013.1%3.8%12.3%4.4%12.3%-2.4%4.1%881.3K-23.7M-44.9K0.00105.38N/AN/A2606,9501,192
2024-09-16$48.80$45.0023.8%6.8%12.0%23.3%16.0%3.6%0.7%764.9K-23.7M-44.2K0.37100.73N/AN/A1976,9491,192
2024-09-17$48.61$45.0020.1%5.8%10.6%16.7%16.6%6.1%-0.0%974.9K-23.9M-43.5K0.09107.80N/AN/A3336,9481,190
2024-09-18$48.36$45.0019.5%5.6%10.4%15.7%30.3%-2.6%-0.6%968.1K-23.1M-42.7K0.03124.69N/AN/A27496,9301,190
2024-09-19$47.47$45.0012.4%3.6%12.6%3.0%12.8%-0.4%7.0%662.5K-21.2M-41.4K0.53109.22N/AN/A43236,8421,198
2024-09-20$47.79$45.0014.8%4.2%12.7%7.2%33.7%1.4%1.9%595.0K-23.6M-31.5K0.01114.41N/AN/A9516,8341,220
2024-09-23$48.34$45.0012.3%3.5%12.5%2.8%14.6%-0.1%1.1%667.8K-16.9M-38.9K0.0777.56N/AN/A138105,091389
2024-09-24$48.22$45.0021.9%6.3%12.2%20.0%19.2%-0.7%-9.1%638.2K-16.6M-36.9K0.4370.89N/AN/A28125,040397
2024-09-25$48.02$45.0028.0%8.0%12.1%30.8%21.9%1.7%-7.8%667.9K-15.5M-41.0K0.0481.82N/AN/A20995,044406
2024-09-26$47.80$45.0013.4%3.9%12.2%4.9%14.8%3.7%-6.4%626.8K-15.0M-37.5K2.6782.26N/AN/A384,852415
2024-09-27$48.05$45.0014.1%4.0%12.2%6.0%26.3%2.9%-4.1%614.8K-15.1M-38.4K0.5279.55N/AN/A23124,851423
2024-09-30$48.34$45.0013.4%3.8%12.3%4.8%15.1%5.1%-7.3%613.7K-16.8M-29.5K0.7971.34N/AN/A14114,860431