NNN Options History — November 2024

In November 2024, NNN traded between $41.51 and $44.52. ATM implied volatility averaged 26.6%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 0.3% (HV 20d: 26.9%). 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 7 of 20 days. Put/call ratio averaged 0.73.

Notable Days

  • 2024-11-06: Highest Volume — 441 contracts
  • 2024-11-11: Largest IV spike — 171.2% change
  • 2024-11-11: Highest IV Rank — 100.0%
  • 2024-11-25: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.06$41.51$44.52$43.45$44.38
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV26.6%12.7%76.3%12.7%14.6%
Expected Move5.2%3.6%9.0%3.6%4.2%
HV 20d26.9%20.5%29.3%25.1%20.5%
HV 60d19.5%18.1%20.0%18.2%20.0%
IV Rank25.7%3.5%100.0%3.6%6.0%
IV Percentile46.7%1.6%100.0%1.6%9.9%
Term Structure0.8%-7.9%21.0%6.6%19.1%
VWIV17.5%12.5%22.8%12.5%14.3%
Skew 25d3.2%-4.0%11.6%-2.3%-1.4%
Skew 10d4.2%-6.4%24.9%6.9%0.6%
Call IV 25d17.7%13.7%21.4%21.4%15.6%
Put IV 25d21.0%14.2%28.6%19.2%14.2%
Bid-Ask Spread %101.8983.25113.18110.9583.25
Gamma HHI0.720.600.820.680.79
Net GEX578.1K295.2K937.5K517.8K911.7K
Net DEX-3.4M-6.2M-1.1M-3.7M-5.8M
Net VEX-27.5K-30.7K-23.5K-30.3K-29.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.002.600.191.75
Total Volume1171144112111
Total OI5,099.954,8585,2774,8585,259

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$43.45$45.0012.7%3.6%25.1%3.6%12.5%-2.3%6.6%517.8K-3.7M-30.3K0.19110.95N/AN/A102194,163695
2024-11-04$43.28$45.0016.0%4.4%25.0%9.4%19.7%-2.8%-0.7%528.4K-3.3M-28.3K0.18102.27N/AN/A109204,145713
2024-11-05$42.77$45.0016.3%5.5%25.0%9.9%22.8%3.6%-2.2%462.8K-3.1M-28.2K2.6089.66N/AN/A521354,152737
2024-11-06$41.51$45.0036.8%4.8%26.5%46.6%17.6%-2.1%4.9%295.2K-1.1M-23.5K0.16101.66N/AN/A380614,135817
2024-11-07$41.61$45.0048.5%7.8%26.7%67.5%14.0%9.4%-5.5%440.6K-2.2M-24.9K1.47108.23N/AN/A47694,275735
2024-11-08$42.84$45.0026.9%4.6%29.3%29.0%16.1%2.9%-0.1%530.7K-2.9M-27.3K0.14102.04N/AN/A77114,280796
2024-11-11$42.99$45.0073.0%4.1%28.6%100.0%18.6%1.8%0.8%553.9K-3.2M-27.8K1.38109.61N/AN/A52724,287799
2024-11-12$42.53$45.0076.3%4.2%26.7%100.0%19.8%-0.0%-1.3%461.8K-2.5M-26.8K0.31110.97N/AN/A1654,321798
2024-11-13$42.35$45.0021.7%6.2%26.3%16.8%18.3%-4.0%6.0%375.1K-1.9M-25.0K0.12113.18N/AN/A260304,319800
2024-11-14$41.80$45.0021.9%6.3%26.2%17.0%20.5%2.3%3.5%345.0K-1.7M-23.7K0.1598.59N/AN/A169264,295832
2024-11-15$42.26$45.0019.9%5.7%26.8%14.0%20.1%3.1%-5.3%415.8K-2.1M-25.2K0.44102.70N/AN/A27124,427850
2024-11-18$42.91$45.0015.8%4.5%27.9%7.8%18.8%1.6%-7.9%547.4K-3.0M-26.8K0.3493.49N/AN/A95324,314782
2024-11-19$43.26$45.0016.2%4.6%28.0%8.3%17.3%4.9%-1.4%608.3K-3.6M-28.1K0.00101.66N/AN/A2104,313814
2024-11-20$43.88$45.0014.7%4.2%28.9%6.1%18.5%4.9%-4.9%713.5K-4.9M-30.7K0.38105.96N/AN/A42164,316814
2024-11-21$43.65$45.0015.4%4.4%28.9%7.2%16.7%5.2%-7.0%708.1K-4.4M-29.9K1.48109.24N/AN/A23344,341821
2024-11-22$43.56$45.0027.5%7.9%27.7%25.7%17.0%11.0%-1.1%669.0K-4.1M-26.8K0.67110.69N/AN/A21144,341835
2024-11-25$43.73$45.0031.5%9.0%27.7%31.8%17.6%11.6%-3.1%721.0K-4.5M-29.2K0.02101.90N/AN/A22444,343842
2024-11-26$43.83$45.0013.0%3.7%27.6%3.5%14.5%6.1%21.0%818.4K-4.5M-28.0K2.6090.22N/AN/A10264,385846
2024-11-27$44.52$45.0013.5%3.9%28.3%4.3%15.8%8.4%-5.4%937.5K-6.2M-30.7K0.2391.47N/AN/A1334,392870
2024-11-29$44.38$45.0014.6%4.2%20.5%6.0%14.3%-1.4%19.1%911.7K-5.8M-29.3K1.7583.25N/AN/A474,392867