NNN Options History — March 2008 In March 2008, NNN traded between $19.93 and $23.12. ATM implied volatility averaged 35.1%. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 9.6% (HV 20d: 44.7%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.71.
Notable Days 2008-03-24 : Highest Volume — 656 contracts2008-03-11 : Largest IV drop — 27.6% change2008-03-17 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $21.59 $19.93 $23.12 $21.06 $22.05 Max Pain $22.38 $20.00 $25.00 $25.00 $22.50 ATM IV 35.1% 25.9% 39.0% 37.3% 38.0% Expected Move 10.1% 8.1% 11.2% 10.7% 10.9% HV 20d 44.7% 39.3% 50.6% 41.6% 39.3% HV 60d 44.0% 42.5% 45.0% 43.1% 44.6% Term Structure -1.0% -7.6% 4.2% -4.0% -3.1% VWIV 34.8% 32.4% 37.1% 35.8% 34.3% Skew 25d 3.8% -10.2% 12.6% 12.6% 4.0% Skew 10d 0.3% -17.7% 11.6% -6.6% -5.7% Call IV 25d 30.4% 24.5% 35.1% 24.5% 30.2% Put IV 25d 34.2% 25.0% 37.1% 37.1% 34.1% Bid-Ask Spread % 93.09 80.91 108.90 93.98 91.58 Gamma HHI 0.53 0.39 0.69 0.69 0.59 Net GEX 18.0K -23.5K 71.1K 23.9K 56.9K Net DEX -225.0K -1.4M 556.0K 116.8K -901.2K Net VEX -5.3K -9.6K -2.5K -2.8K -8.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.00 3.75 0.00 0.00 Total Volume 94.7 0 656 0 10 Total OI 2,189.3 1,435 2,675 1,776 2,258
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 2008-03-03 $21.06 $25.00 37.3% 10.7% 41.6% 0.0% 0.0% 12.6% -4.0% 23.9K 116.8K -2.8K 0.00 93.98 N/A N/A 0 0 1,512 264 2008-03-04 $20.54 $25.00 35.9% 10.3% 42.2% 0.0% 35.8% 8.8% -2.2% 17.2K 190.1K -2.5K 0.00 95.43 N/A N/A 0 300 1,512 264 2008-03-05 $20.64 $25.00 36.0% 10.3% 41.6% 0.0% 0.0% 9.5% -2.3% -10.2K 369.8K -2.9K 0.00 97.37 N/A N/A 2 0 1,512 564 2008-03-06 $19.93 $25.00 37.4% 10.7% 42.8% 0.0% 32.4% -0.9% -7.6% -18.3K 556.0K -2.5K 2.00 95.70 N/A N/A 55 110 1,514 564 2008-03-07 $20.59 $22.50 35.2% 9.5% 43.6% 0.0% 0.0% 7.9% 0.9% -18.3K 473.9K -3.6K 0.00 80.91 N/A N/A 0 0 1,569 670 2008-03-10 $20.38 $22.50 35.8% 9.4% 41.2% 0.0% 0.0% 5.3% 1.7% -23.5K 506.9K -3.4K 0.00 93.81 N/A N/A 0 60 1,569 670 2008-03-11 $21.30 $22.50 25.9% 8.9% 44.4% 0.0% 0.0% 0.6% 0.4% -6.7K 211.6K -3.7K 3.75 82.15 N/A N/A 4 15 1,569 694 2008-03-12 $20.69 $22.50 29.5% 9.5% 45.3% 0.0% 0.0% 4.4% 1.0% -23.1K 383.0K -3.6K 0.00 89.45 N/A N/A 6 0 1,571 694 2008-03-13 $21.42 $22.50 28.4% 8.1% 47.3% 0.0% 0.0% -3.3% 4.2% -4.1K 180.3K -3.9K 0.00 108.90 N/A N/A 51 0 1,577 694 2008-03-14 $20.98 $22.50 32.0% 9.2% 47.7% 0.0% 0.0% -10.2% 3.7% -16.3K 252.0K -3.8K 0.00 108.89 N/A N/A 24 0 1,590 694 2008-03-17 $21.30 $22.50 39.0% 11.2% 47.9% 0.0% 34.1% 0.7% -5.2% -3.9K 145.0K -3.9K 0.00 90.44 N/A N/A 255 0 1,614 694 2008-03-18 $22.36 $20.00 35.2% 10.1% 50.6% 0.0% 0.0% 3.0% 0.3% 27.8K -387.0K -5.7K 0.00 84.13 N/A N/A 14 0 1,862 694 2008-03-19 $22.31 $20.00 34.9% 10.0% 50.1% 0.0% 0.0% 2.4% 0.2% 27.7K -415.9K -5.7K 0.30 101.96 N/A N/A 84 25 1,876 694 2008-03-20 $22.53 $20.00 34.9% 10.0% 48.1% 0.0% 34.9% 4.4% 1.0% 29.3K -510.0K -6.4K 0.00 101.08 N/A N/A 10 0 1,956 719 2008-03-24 $22.62 $20.00 37.4% 10.7% 48.0% 0.0% 0.0% 5.5% 0.7% 35.3K -750.6K -6.1K 0.00 93.27 N/A N/A 656 0 1,149 286 2008-03-25 $23.12 $20.00 37.5% 10.8% 46.0% 0.0% 37.1% 4.2% -2.2% 71.1K -1.4M -9.2K 0.62 83.19 N/A N/A 65 40 1,796 286 2008-03-26 $23.10 $22.50 37.8% 10.8% 45.0% 0.0% 0.0% 6.0% -2.5% 69.4K -1.4M -9.6K 1.48 84.02 N/A N/A 21 31 1,854 326 2008-03-27 $22.50 $22.50 38.3% 11.0% 42.3% 0.0% 34.3% 6.0% -2.6% 63.8K -1.1M -9.4K 2.50 92.85 N/A N/A 6 15 1,875 347 2008-03-28 $22.35 $22.50 36.3% 10.4% 39.6% 0.0% 0.0% 4.5% -1.5% 61.4K -1.0M -9.3K 0.00 92.62 N/A N/A 0 35 1,881 352 2008-03-31 $22.05 $22.50 38.0% 10.9% 39.3% 0.0% 0.0% 4.0% -3.1% 56.9K -901.2K -8.8K 0.00 91.58 N/A N/A 10 0 1,881 377
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