NNN Options History — November 2007

Name: NNN Options Analytics - November 2007
Creator: Options Analysis Suite

In November 2007, NNN traded between $22.91 and $24.58. ATM implied volatility averaged 25.1%. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 10.5% (HV 20d: 35.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.12.

Notable Days

2007-11-30: Highest Volume — 349 contracts
2007-11-14: Largest IV spike — 33.3% change
2007-11-12: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.88	$22.91	$24.58	$24.58	$24.49
Max Pain	$23.21	$22.50	$25.00	$25.00	$22.50
ATM IV	25.1%	18.1%	33.2%	22.5%	27.3%
Expected Move	7.1%	5.2%	8.1%	6.5%	7.8%
HV 20d	35.7%	32.8%	39.0%	35.9%	37.3%
Term Structure	0.2%	-4.3%	7.4%	-0.4%	-3.0%
VWIV	24.6%	21.8%	27.3%	25.1%	27.3%
Bid-Ask Spread %	92.36	57.27	115.01	105.78	57.27
Gamma HHI	0.91	0.71	1.00	1.00	0.96
Net GEX	10.0K	5.7K	17.7K	7.0K	17.7K
Net DEX	-142.7K	-272.2K	-58.6K	-90.0K	-272.2K
Net VEX	-891	-1.8K	-321	-375	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.12	0.00	0.77	0.00	0.01
Total Volume	31.81	0	349	0	349
Total OI	185.429	76	358	76	358

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-11-01	$24.58	$25.00	22.5%	6.5%	0.0%	0.0%	0.0%	0.0%	-0.4%	7.0K	-90.0K	-375	0.00	105.78	N/A	N/A	0	0	76	0
2007-11-02	$23.98	$25.00	18.1%	5.2%	0.0%	0.0%	0.0%	0.0%	2.7%	6.0K	-68.5K	-344	0.00	112.86	N/A	N/A	0	0	76	0
2007-11-05	$23.63	$25.00	23.8%	7.3%	0.0%	0.0%	0.0%	0.0%	1.6%	5.7K	-58.6K	-321	0.00	84.03	N/A	N/A	0	5	76	0
2007-11-06	$23.99	$25.00	21.2%	6.7%	0.0%	0.0%	0.0%	0.0%	1.5%	6.0K	-67.9K	-336	0.00	78.58	N/A	N/A	45	0	76	5
2007-11-07	$23.23	$25.00	24.5%	7.2%	0.0%	0.0%	0.0%	0.0%	1.3%	6.7K	-85.0K	-604	0.00	104.67	N/A	N/A	0	0	121	5
2007-11-08	$23.58	$25.00	25.0%	7.3%	0.0%	0.0%	25.1%	0.0%	0.7%	7.8K	-97.8K	-624	0.00	110.12	N/A	N/A	0	20	121	5
2007-11-09	$23.40	$22.50	26.1%	7.2%	0.0%	0.0%	0.0%	0.0%	1.1%	5.9K	-75.6K	-662	0.00	106.51	N/A	N/A	6	0	121	25
2007-11-12	$23.52	$22.50	31.6%	8.1%	0.0%	0.0%	0.0%	0.0%	-1.8%	6.7K	-82.7K	-676	0.00	76.97	N/A	N/A	0	0	124	25
2007-11-13	$24.52	$22.50	24.9%	7.6%	0.0%	0.0%	0.0%	0.0%	-2.1%	7.7K	-129.5K	-744	0.00	81.72	N/A	N/A	45	0	124	25
2007-11-14	$24.08	$22.50	33.2%	7.5%	0.0%	0.0%	26.1%	0.0%	-1.7%	10.1K	-156.1K	-1.0K	0.00	81.59	N/A	N/A	10	0	169	25
2007-11-15	$24.35	$22.50	25.9%	7.4%	35.9%	0.0%	0.0%	0.0%	-2.3%	11.2K	-192.6K	-1.1K	0.00	81.47	N/A	N/A	0	0	179	25
2007-11-16	$24.10	$22.50	24.1%	6.9%	34.9%	0.0%	21.8%	0.0%	-0.2%	11.1K	-179.2K	-1.0K	0.00	95.73	N/A	N/A	16	0	179	25
2007-11-19	$23.60	$22.50	25.4%	7.3%	34.5%	0.0%	23.7%	0.0%	3.0%	11.9K	-166.8K	-996	0.00	83.56	N/A	N/A	16	0	191	20
2007-11-20	$23.47	$22.50	26.9%	7.7%	33.5%	0.0%	0.0%	0.0%	-0.8%	11.6K	-154.9K	-991	0.00	100.91	N/A	N/A	4	0	193	20
2007-11-21	$23.69	$22.50	24.0%	6.9%	32.9%	0.0%	0.0%	0.0%	-4.3%	12.1K	-171.0K	-1.0K	0.00	115.01	N/A	N/A	0	0	194	20
2007-11-23	$24.10	$22.50	23.6%	6.8%	32.8%	0.0%	0.0%	0.0%	1.1%	12.9K	-199.1K	-1.0K	0.00	109.04	N/A	N/A	3	0	194	20
2007-11-26	$22.91	$22.50	28.1%	8.1%	36.1%	0.0%	0.0%	0.0%	-1.3%	9.7K	-132.3K	-910	0.00	100.43	N/A	N/A	0	0	197	20
2007-11-27	$23.70	$22.50	23.7%	6.8%	37.5%	0.0%	0.0%	0.0%	7.4%	12.0K	-175.5K	-1.0K	0.67	92.69	N/A	N/A	60	40	197	20
2007-11-28	$24.40	$22.50	23.4%	6.7%	39.0%	0.0%	23.6%	0.0%	1.2%	14.6K	-225.5K	-1.5K	0.77	92.60	N/A	N/A	13	10	250	60
2007-11-29	$24.12	$22.50	24.8%	7.1%	38.3%	0.0%	0.0%	0.0%	0.1%	15.1K	-215.7K	-1.7K	0.00	67.91	N/A	N/A	26	0	263	70
2007-11-30	$24.49	$22.50	27.3%	7.8%	37.3%	0.0%	27.3%	0.0%	-3.0%	17.7K	-272.2K	-1.8K	0.01	57.27	N/A	N/A	345	4	288	70