NNN Options History — February 2008 In February 2008, NNN traded between $20.70 and $23.67. ATM implied volatility averaged 32.4%. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 13.0% (HV 20d: 45.4%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.53.
Notable Days 2008-02-07 : Highest Volume — 295 contracts2008-02-05 : Largest IV spike — 37.5% change2008-02-28 : Largest Expected Move — 10.7%Monthly Statistics Metric Avg Min Max Open Close Price $22.12 $20.70 $23.67 $23.67 $20.70 Max Pain $24.75 $20.00 $25.00 $20.00 $25.00 ATM IV 32.4% 21.9% 37.3% 21.9% 36.9% Expected Move 9.7% 6.3% 10.7% 6.3% 10.6% HV 20d 45.4% 35.9% 51.0% 51.0% 44.1% HV 60d 41.5% 40.8% 42.9% 41.3% 42.9% Term Structure -2.8% -5.6% 12.5% 12.5% -3.0% VWIV 32.7% 26.4% 36.7% 28.6% 35.9% Skew 25d 4.6% -4.2% 11.2% 1.6% 11.1% Skew 10d 4.4% -4.4% 10.6% -2.2% 6.9% Call IV 25d 28.1% 21.8% 36.1% 29.0% 25.0% Put IV 25d 32.8% 26.0% 37.2% 30.6% 36.1% Bid-Ask Spread % 89.61 79.97 107.87 101.68 96.90 Gamma HHI 0.78 0.67 0.88 0.79 0.67 Net GEX 47.5K 21.4K 71.6K 57.2K 21.4K Net DEX -223.7K -676.8K 147.7K -676.8K 147.7K Net VEX -4.2K -5.5K -2.7K -5.5K -2.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.53 0.00 5.00 0.00 0.07 Total Volume 35.25 0 295 102 1 Total OI 1,689.15 1,369 1,866 1,369 1,775
Daily Data (20 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 2008-02-01 $23.67 $20.00 21.9% 6.3% 51.0% 0.0% 28.6% 1.6% 12.5% 57.2K -676.8K -5.5K 0.00 101.68 N/A N/A 102 0 1,141 228 2008-02-04 $23.50 $25.00 24.0% 9.6% 47.8% 0.0% 30.5% 1.2% -3.8% 63.6K -633.6K -5.3K 0.00 81.76 N/A N/A 1 0 1,243 228 2008-02-05 $22.87 $25.00 33.1% 9.6% 49.1% 0.0% 33.5% -2.1% -3.4% 55.8K -476.4K -4.8K 0.05 84.02 N/A N/A 20 1 1,243 228 2008-02-06 $22.49 $25.00 32.8% 9.5% 46.3% 0.0% 33.2% 8.8% -3.4% 48.2K -324.6K -4.4K 0.33 80.59 N/A N/A 40 13 1,263 228 2008-02-07 $23.06 $25.00 32.1% 9.8% 45.8% 0.0% 26.4% 1.6% -4.0% 57.4K -491.9K -5.2K 0.00 79.97 N/A N/A 295 0 1,300 238 2008-02-08 $22.05 $25.00 32.4% 9.5% 49.0% 0.0% 0.0% 10.9% -2.7% 55.6K -312.5K -4.7K 0.00 85.63 N/A N/A 1 0 1,585 238 2008-02-11 $21.82 $25.00 28.5% 9.4% 48.9% 0.0% 32.4% 8.1% -2.4% 48.5K -165.6K -4.2K 0.00 83.20 N/A N/A 0 25 1,584 238 2008-02-12 $22.01 $25.00 27.6% 9.6% 48.9% 0.0% 0.0% 8.5% -2.5% 51.0K -181.8K -4.3K 0.00 85.74 N/A N/A 10 0 1,584 262 2008-02-13 $21.94 $25.00 31.1% 9.6% 48.8% 0.0% 0.0% 7.4% -2.7% 48.4K -169.7K -4.3K 0.00 85.60 N/A N/A 0 0 1,594 262 2008-02-14 $21.76 $25.00 32.8% 9.4% 47.7% 0.0% 32.9% 7.5% -2.9% 44.9K -110.7K -4.2K 0.00 87.80 N/A N/A 10 0 1,594 262 2008-02-15 $21.98 $25.00 34.3% 9.8% 47.1% 0.0% 34.3% 7.4% -4.3% 51.4K -163.2K -4.3K 0.00 90.57 N/A N/A 1 0 1,604 262 2008-02-19 $21.55 $25.00 36.9% 10.6% 46.3% 0.0% 36.7% 6.1% -5.6% 38.5K -50.5K -3.7K 0.50 84.55 N/A N/A 6 3 1,431 257 2008-02-20 $22.00 $25.00 35.0% 10.0% 46.0% 0.0% 35.1% 0.2% -3.9% 45.8K -145.8K -4.0K 5.00 86.13 N/A N/A 1 5 1,434 254 2008-02-21 $21.19 $25.00 36.4% 10.4% 36.6% 0.0% 35.9% 2.6% -4.4% 29.9K 65.3K -3.2K 0.83 86.93 N/A N/A 30 25 1,433 259 2008-02-22 $21.43 $25.00 27.6% 7.9% 35.9% 0.0% 0.0% -4.2% -2.5% 35.1K -20.3K -3.4K 0.00 107.87 N/A N/A 0 0 1,454 234 2008-02-25 $22.41 $25.00 36.0% 10.3% 39.6% 0.0% 0.0% 2.7% -4.6% 56.8K -294.0K -4.3K 0.00 94.66 N/A N/A 0 4 1,454 234 2008-02-26 $23.02 $25.00 36.3% 10.4% 40.0% 0.0% 0.0% 11.2% -4.8% 71.6K -526.4K -5.0K 1.13 95.13 N/A N/A 23 26 1,454 234 2008-02-27 $21.91 $25.00 34.8% 10.0% 43.0% 0.0% 0.0% -2.2% -3.7% 42.6K -75.4K -3.6K 0.00 96.91 N/A N/A 15 0 1,467 260 2008-02-28 $21.06 $25.00 37.3% 10.7% 45.0% 0.0% 0.0% 4.5% -4.4% 25.3K 132.3K -2.8K 0.07 96.60 N/A N/A 44 3 1,480 260 2008-02-29 $20.70 $25.00 36.9% 10.6% 44.1% 0.0% 0.0% 11.1% -3.0% 21.4K 147.7K -2.7K 0.00 96.90 N/A N/A 0 1 1,512 263
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