NNN Options History — January 2010

In January 2010, NNN traded between $20.00 and $21.60. ATM implied volatility averaged 25.0%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 9.5% (HV 20d: 15.5%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 33.63.

Notable Days

2010-01-05: Highest Volume — 595 contracts
2010-01-19: Largest IV drop — 49.1% change
2010-01-27: Highest IV Rank — 25.0%
2010-01-12: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.02	$20.00	$21.60	$21.37	$20.20
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	25.0%	15.5%	30.8%	20.3%	29.5%
Expected Move	7.9%	4.4%	9.2%	7.9%	8.5%
HV 20d	15.5%	12.8%	18.1%	17.9%	18.0%
HV 60d	27.2%	22.7%	29.0%	29.0%	22.8%
IV Rank	15.9%	0.9%	25.0%	8.5%	23.0%
IV Percentile	4.6%	0.4%	12.7%	0.8%	6.7%
Term Structure	1.3%	-1.6%	10.5%	0.6%	-0.4%
VWIV	28.7%	18.3%	32.7%	32.6%	29.2%
Skew 25d	7.6%	4.8%	10.5%	8.8%	7.1%
Skew 10d	15.3%	9.1%	20.0%	16.5%	10.9%
Call IV 25d	25.7%	22.4%	28.6%	24.1%	26.0%
Put IV 25d	33.2%	31.4%	35.8%	32.9%	33.2%
Bid-Ask Spread %	34.82	15.05	58.29	31.74	24.53
Gamma HHI	0.53	0.43	0.64	0.47	0.44
Net GEX	48.0K	480	94.4K	94.4K	3.6K
Net DEX	-1.1M	-1.9M	-83.7K	-1.9M	-282.0K
Net VEX	-11.2K	-11.9K	-9.9K	-9.9K	-11.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	33.63	0.00	500.00	0.06	25.50
Total Volume	98.842	5	595	19	53
Total OI	3,664.526	2,915	4,095	2,915	4,095

Daily Data (19 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
2010-01-04	$21.37	$20.00	20.3%	7.9%	17.9%	8.5%	0.0%	8.8%	0.6%	94.4K	-1.9M	-9.9K	0.06	31.74	N/A	N/A	18	1	2,179	736
2010-01-05	$21.31	$20.00	19.4%	8.2%	15.0%	7.0%	32.6%	8.9%	1.1%	92.2K	-1.9M	-9.9K	8.92	15.05	N/A	N/A	60	535	2,187	737
2010-01-06	$21.51	$20.00	21.1%	7.9%	14.1%	9.7%	0.0%	10.5%	0.4%	80.0K	-1.7M	-11.6K	0.13	23.00	N/A	N/A	68	9	2,247	1,145
2010-01-07	$21.60	$20.00	15.7%	7.7%	14.1%	1.2%	25.6%	10.4%	0.3%	79.6K	-1.7M	-11.3K	0.00	24.50	N/A	N/A	8	0	2,191	1,142
2010-01-08	$21.29	$20.00	18.3%	7.7%	15.1%	5.3%	32.7%	7.5%	2.3%	73.7K	-1.5M	-11.3K	0.00	52.65	N/A	N/A	5	0	2,199	1,142
2010-01-11	$21.41	$20.00	22.3%	7.5%	14.8%	11.6%	0.0%	9.8%	2.7%	77.6K	-1.6M	-11.1K	0.00	21.35	N/A	N/A	0	5	2,204	1,142
2010-01-12	$21.15	$20.00	27.1%	9.2%	15.5%	19.2%	0.0%	6.0%	-1.6%	72.8K	-1.4M	-11.0K	0.00	23.50	N/A	N/A	0	40	2,204	1,142
2010-01-13	$21.34	$20.00	29.0%	8.0%	13.2%	22.2%	29.8%	7.7%	0.9%	78.1K	-1.5M	-10.8K	500.00	55.09	N/A	N/A	1	500	2,204	1,162
2010-01-14	$21.10	$20.00	30.6%	8.8%	12.8%	24.7%	0.0%	5.5%	-1.6%	34.8K	-966.5K	-11.9K	0.00	34.24	N/A	N/A	17	0	2,203	1,662
2010-01-15	$20.95	$20.00	30.5%	8.7%	13.0%	24.6%	30.5%	5.0%	-0.3%	28.9K	-798.8K	-11.7K	4.14	56.67	N/A	N/A	7	29	2,211	1,654
2010-01-19	$21.40	$20.00	15.5%	4.4%	14.9%	0.9%	18.3%	8.9%	10.5%	44.7K	-1.1M	-11.4K	0.00	57.07	N/A	N/A	165	0	2,166	1,618
2010-01-20	$21.29	$20.00	19.7%	5.7%	15.0%	7.5%	0.0%	8.2%	1.8%	50.3K	-1.2M	-11.8K	0.50	41.85	N/A	N/A	10	5	2,327	1,618
2010-01-21	$20.89	$20.00	27.4%	7.9%	16.3%	19.6%	27.1%	5.2%	1.9%	29.3K	-817.8K	-11.6K	0.13	41.05	N/A	N/A	39	5	2,332	1,623
2010-01-22	$20.67	$20.00	28.1%	8.0%	16.6%	20.7%	27.7%	6.9%	2.3%	19.1K	-583.8K	-11.7K	18.57	27.34	N/A	N/A	7	130	2,367	1,628
2010-01-25	$20.76	$20.00	29.7%	8.5%	16.7%	23.3%	0.0%	7.4%	2.1%	19.1K	-582.3K	-11.4K	1.56	26.12	N/A	N/A	9	14	2,371	1,638
2010-01-26	$20.67	$20.00	30.1%	8.6%	16.3%	23.9%	30.1%	4.8%	-0.3%	18.1K	-503.4K	-11.1K	12.00	24.04	N/A	N/A	3	36	2,376	1,642
2010-01-27	$20.49	$20.00	30.8%	8.8%	16.4%	25.0%	30.8%	7.7%	0.7%	15.7K	-555.6K	-11.2K	0.00	23.43	N/A	N/A	56	0	2,370	1,678
2010-01-28	$20.00	$20.00	29.9%	8.6%	18.1%	23.6%	29.9%	7.3%	0.7%	480	-83.7K	-10.8K	0.26	58.29	N/A	N/A	34	9	2,406	1,678
2010-01-29	$20.20	$20.00	29.5%	8.5%	18.0%	23.0%	29.2%	7.1%	-0.4%	3.6K	-282.0K	-11.0K	25.50	24.53	N/A	N/A	2	51	2,412	1,683