NNN Options History — December 2024

In December 2024, NNN traded between $40.11 and $43.76. ATM implied volatility averaged 19.5%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.6% (HV 20d: 15.9%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.41.

Notable Days

  • 2024-12-04: Highest Volume — 517 contracts
  • 2024-12-13: Largest IV spike — 75.6% change
  • 2024-12-02: Highest IV Rank — 22.5%
  • 2024-12-02: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.75$40.11$43.76$43.76$40.73
Max Pain$40.71$40.00$45.00$45.00$40.00
ATM IV19.5%11.7%25.4%25.4%19.6%
Expected Move5.4%3.4%7.3%7.3%5.6%
HV 20d15.9%12.6%21.2%21.1%14.5%
HV 60d20.2%19.5%20.6%20.1%20.6%
IV Rank13.4%1.6%22.5%22.5%13.6%
IV Percentile44.0%0.4%71.4%71.4%45.6%
Term Structure2.8%-5.7%14.6%0.8%-4.7%
VWIV18.8%13.6%20.9%19.2%19.6%
Skew 25d4.9%-4.2%33.2%2.6%3.6%
Skew 10d11.4%-5.5%63.0%0.8%7.3%
Call IV 25d20.5%9.8%42.0%18.9%17.1%
Put IV 25d25.4%17.6%71.5%21.5%20.7%
Bid-Ask Spread %83.1458.16107.45103.8262.31
Gamma HHI0.630.390.850.840.43
Net GEX256.7K-70.1K750.0K750.0K-70.1K
Net DEX-1.6M-4.0M-92.7K-4.0M-92.7K
Net VEX-17.8K-24.3K-13.7K-24.3K-16.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.009.760.650.05
Total Volume126.19165179958
Total OI4,801.7143,0115,6465,2653,693

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-12-02$43.76$45.0025.4%7.3%21.1%22.5%19.2%2.6%0.8%750.0K-4.0M-24.3K0.65103.82N/AN/A60394,395870
2024-12-03$43.42$45.0020.3%5.8%21.2%14.6%20.9%33.2%-1.4%616.9K-3.2M-23.7K0.3375.54N/AN/A2794,423909
2024-12-04$43.14$45.0020.6%5.9%20.9%15.1%20.4%29.5%-2.3%552.9K-2.5M-21.8K0.0076.69N/AN/A51524,415908
2024-12-05$42.85$40.0022.2%5.0%17.8%17.5%17.9%2.1%0.6%498.8K-2.5M-21.5K0.2181.95N/AN/A3474,545910
2024-12-06$42.41$40.0023.5%4.8%18.3%19.5%17.5%-0.4%5.0%390.8K-2.0M-20.3K0.2782.02N/AN/A2674,554915
2024-12-09$42.63$40.0020.1%4.5%15.1%14.4%18.3%-0.4%-0.8%444.8K-2.1M-19.7K0.0480.27N/AN/A5124,547922
2024-12-10$42.30$40.0021.6%5.7%15.3%16.6%19.6%1.5%13.5%280.6K-1.5M-18.2K1.4069.35N/AN/A45634,549922
2024-12-11$42.37$40.0020.0%5.7%14.8%14.2%18.2%5.5%1.8%335.6K-1.6M-17.6K0.2793.03N/AN/A2674,542906
2024-12-12$42.52$40.0011.7%3.4%14.8%1.6%13.6%8.7%8.5%433.6K-2.9M-20.0K0.8399.41N/AN/A18154,610769
2024-12-13$42.48$40.0020.6%5.9%14.0%15.1%19.2%2.8%0.5%408.8K-2.7M-19.4K1.6789.31N/AN/A6104,630774
2024-12-16$42.21$40.0019.2%5.5%13.6%12.9%18.2%2.9%5.4%265.7K-2.3M-17.8K0.0586.92N/AN/A2214,633782
2024-12-17$41.92$40.0021.0%6.0%12.6%15.7%19.8%2.3%0.5%160.8K-2.0M-16.7K0.6894.71N/AN/A28194,636782
2024-12-18$40.73$40.0022.5%6.4%15.5%17.9%20.9%9.6%-1.9%121.4K-910.8K-14.8K0.60102.85N/AN/A55334,650786
2024-12-19$40.11$40.0016.3%4.7%14.6%8.6%19.9%9.3%14.6%15.8K-372.0K-14.1K7.17107.45N/AN/A231654,690807
2024-12-20$40.57$40.0019.9%5.7%15.7%14.0%20.3%-2.4%-5.7%-64.9K-809.5K-15.6K0.7773.22N/AN/A111854,692954
2024-12-23$40.44$40.0019.9%5.7%15.7%14.1%20.7%-2.6%0.9%73.3K-716.0K-14.6K0.2972.11N/AN/A270772,366645
2024-12-24$40.58$40.0014.8%4.2%15.6%6.3%17.1%-0.3%8.8%60.3K-638.7K-13.9K0.3487.96N/AN/A65222,355728
2024-12-26$40.73$40.0018.0%5.2%15.7%11.1%18.1%-4.2%2.6%62.1K-739.3K-14.5K1.4458.16N/AN/A25362,400740
2024-12-27$40.35$40.0013.3%3.8%14.1%3.9%15.6%-4.0%11.3%30.6K-447.6K-13.7K2.7262.59N/AN/A391062,428768
2024-12-30$40.40$40.0018.9%5.4%14.2%12.6%18.9%3.1%1.6%23.3K-332.8K-14.2K9.7686.20N/AN/A414002,421865
2024-12-31$40.73$40.0019.6%5.6%14.5%13.6%19.6%3.6%-4.7%-70.1K-92.7K-16.6K0.0562.31N/AN/A5532,4401,253