NNN Options History — October 2024

In October 2024, NNN traded between $43.64 and $49.44. ATM implied volatility averaged 21.4%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 7.3% (HV 20d: 14.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 0.56.

Notable Days

  • 2024-10-30: Highest Volume — 4,858 contracts
  • 2024-10-04: Largest IV spike — 87.9% change
  • 2024-10-30: Highest IV Rank — 56.4%
  • 2024-10-30: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.69$43.64$49.44$48.63$43.64
Max Pain$49.57$45.00$50.00$45.00$50.00
ATM IV21.4%12.9%42.3%13.9%26.8%
Expected Move5.9%3.5%12.1%4.0%7.7%
HV 20d14.0%11.0%25.2%12.2%25.2%
HV 60d14.7%13.6%18.3%15.8%18.3%
IV Rank19.0%3.9%56.4%5.6%28.8%
IV Percentile46.9%1.6%96.0%5.6%77.0%
Term Structure-4.3%-35.1%6.6%-5.4%-5.4%
VWIV20.9%10.7%32.7%16.0%27.4%
Skew 25d2.5%-17.1%9.4%4.6%-1.5%
Skew 10d5.7%-15.3%33.6%-7.6%-1.1%
Call IV 25d20.3%11.1%40.5%15.9%26.4%
Put IV 25d22.8%18.3%37.9%20.5%24.9%
Bid-Ask Spread %93.7159.39110.5370.23107.36
Gamma HHI0.480.420.660.430.66
Net GEX653.7K510.3K803.0K604.3K510.3K
Net DEX-14.6M-18.0M-4.4M-15.6M-4.4M
Net VEX-31.3K-40.7K-23.5K-36.6K-30.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.002.000.051.24
Total Volume321.21764,85865177
Total OI5,3704,8005,6015,2974,800

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-10-01$48.63$45.0013.9%4.0%12.2%5.6%16.0%4.6%-5.4%604.3K-15.6M-36.6K0.0570.23N/AN/A6234,861436
2024-10-02$48.39$45.0012.9%3.7%11.5%3.9%0.0%5.6%-4.1%596.0K-17.0M-26.4K1.7259.39N/AN/A18314,814439
2024-10-03$48.25$50.0016.0%6.5%11.6%9.4%0.0%4.0%6.6%546.4K-14.2M-40.7K0.5698.66N/AN/A1694,828470
2024-10-04$47.72$50.0030.0%6.2%12.0%34.5%10.7%6.2%-0.3%551.5K-16.6M-25.5K0.55103.85N/AN/A20114,835464
2024-10-07$47.72$50.0025.4%3.5%11.0%26.3%20.7%6.1%2.0%608.6K-15.9M-29.5K2.00110.53N/AN/A7144,848475
2024-10-08$47.77$50.0020.4%5.4%11.0%17.4%20.0%4.1%-0.7%640.2K-14.9M-33.5K0.3784.50N/AN/A49184,849489
2024-10-09$47.48$50.0023.6%6.8%11.2%23.0%21.7%5.5%-4.7%640.9K-14.1M-36.0K0.9089.65N/AN/A51464,848502
2024-10-10$47.20$50.0016.4%4.7%11.3%10.1%19.9%9.4%5.9%683.9K-13.8M-33.6K1.00109.05N/AN/A334,860535
2024-10-11$47.36$50.0021.6%6.2%11.1%19.5%20.9%6.3%-1.1%526.7K-13.2M-39.3K0.6989.12N/AN/A1394,859536
2024-10-14$48.05$50.0013.9%4.0%12.3%5.7%12.1%8.3%3.0%698.6K-16.0M-27.9K0.00103.16N/AN/A5904,862541
2024-10-15$49.13$50.0015.6%4.5%14.7%8.7%19.6%2.0%-2.5%660.1K-17.6M-27.3K0.05100.00N/AN/A202114,858541
2024-10-16$49.44$50.0019.0%5.4%14.7%14.8%19.0%0.5%-2.8%803.0K-18.0M-23.5K0.0191.70N/AN/A8614,889552
2024-10-17$48.72$50.0018.4%5.3%14.0%13.7%19.7%0.3%-4.0%659.8K-16.8M-28.5K0.8096.87N/AN/A544,915553
2024-10-18$48.88$50.0016.6%4.8%13.9%10.5%16.6%3.3%-1.9%670.5K-17.3M-25.2K0.1699.26N/AN/A77124,916557
2024-10-21$48.36$50.0018.3%5.3%13.9%13.6%21.2%1.6%-2.9%676.8K-16.1M-26.9K0.2577.30N/AN/A72184,786505
2024-10-22$48.63$50.0016.8%4.8%14.0%10.9%22.1%3.3%-2.4%694.6K-16.1M-29.1K0.2679.20N/AN/A2364,807521
2024-10-23$48.27$50.0020.1%5.8%14.2%16.8%20.2%2.8%-2.9%726.4K-15.9M-27.2K0.0087.01N/AN/A53904,821527
2024-10-24$47.86$50.0017.9%5.1%14.5%12.9%21.0%2.9%-2.5%754.3K-15.3M-29.2K0.0489.71N/AN/A2414,941527
2024-10-25$46.59$50.0023.8%6.8%17.2%23.4%23.8%2.6%-2.9%685.1K-12.3M-35.7K1.2391.03N/AN/A26324,923528
2024-10-28$46.66$50.0028.6%8.2%17.0%32.0%27.2%-0.4%-9.2%710.5K-12.5M-34.8K0.01106.51N/AN/A70864,936563
2024-10-29$46.11$50.0033.1%9.5%17.1%39.9%32.7%-17.1%-25.3%672.2K-11.8M-36.3K1.00108.43N/AN/A29295,023569
2024-10-30$46.08$50.0042.3%12.1%17.1%56.4%27.5%-2.7%-35.1%714.5K-11.7M-35.6K0.01102.74N/AN/A4,831275,005596
2024-10-31$43.64$50.0026.8%7.7%25.2%28.8%27.4%-1.5%-5.4%510.3K-4.4M-30.9K1.24107.36N/AN/A79984,177623