NNN Options History — February 2011 In February 2011, NNN traded between $24.41 and $25.69. ATM implied volatility averaged 22.1%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 7.7% (HV 20d: 14.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.77.
Notable Days 2011-02-23 : Highest Volume — 96 contracts2011-02-28 : Largest IV drop — 24.8% change2011-02-09 : Highest IV Rank — 32.4%2011-02-01 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $24.73 $24.41 $25.69 $24.80 $25.69 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 22.1% 16.6% 24.9% 24.1% 16.6% Expected Move 6.2% 4.8% 6.9% 6.9% 4.8% HV 20d 14.4% 11.4% 16.3% 16.3% 14.5% HV 60d 18.3% 17.3% 19.3% 19.3% 18.3% IV Rank 24.4% 9.2% 32.4% 30.1% 9.2% IV Percentile 31.7% 2.0% 57.5% 48.0% 2.0% Term Structure 0.8% -2.7% 6.8% -2.6% 6.8% VWIV 21.2% 14.3% 24.1% 24.1% 14.3% Skew 25d 1.3% -7.7% 26.0% -6.5% -5.4% Skew 10d 3.7% -13.3% 44.7% -10.8% 34.6% Call IV 25d 24.0% 21.0% 29.7% 28.5% 24.4% Put IV 25d 25.3% 18.6% 50.1% 21.9% 19.0% Bid-Ask Spread % 59.73 24.75 104.74 83.00 104.74 Gamma HHI 0.71 0.64 0.84 0.64 0.83 Net GEX 23.1K 14.6K 48.5K 15.7K 37.0K Net DEX -31.5K -625.0K 142.9K -70.6K -625.0K Net VEX -3.4K -3.5K -3.0K -3.5K -3.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.00 5.00 0.00 0.87 Total Volume 31.895 0 96 61 43 Total OI 1,177.737 1,073 1,244 1,118 1,186
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 2011-02-01 $24.80 $25.00 24.1% 6.9% 16.3% 30.1% 24.1% -6.5% -2.6% 15.7K -70.6K -3.5K 0.00 83.00 N/A N/A 61 0 540 578 2011-02-02 $24.78 $25.00 24.0% 6.9% 15.2% 29.7% 0.0% -7.7% -2.7% 18.9K -75.5K -3.5K 0.00 83.19 N/A N/A 63 0 561 578 2011-02-03 $24.84 $25.00 22.9% 6.6% 15.3% 26.8% 0.0% 4.6% -0.6% 18.4K -90.7K -3.5K 0.00 82.96 N/A N/A 10 0 555 578 2011-02-04 $24.41 $25.00 24.0% 6.0% 15.1% 29.7% 0.0% 3.7% 1.4% 18.0K 42.7K -3.4K 5.00 24.75 N/A N/A 3 15 565 578 2011-02-07 $24.60 $25.00 22.7% 6.1% 15.3% 26.1% 22.0% 3.7% 1.4% 18.8K 26.6K -3.4K 1.48 27.63 N/A N/A 21 31 568 593 2011-02-08 $24.67 $25.00 22.6% 6.2% 15.0% 26.0% 0.0% 3.7% 0.6% 20.7K 11.0K -3.5K 0.00 26.96 N/A N/A 0 0 588 609 2011-02-09 $24.52 $25.00 24.9% 6.1% 14.7% 32.4% 21.4% 3.3% 2.2% 19.7K 67.7K -3.5K 0.00 30.50 N/A N/A 0 2 588 609 2011-02-10 $24.64 $25.00 21.1% 6.0% 14.8% 21.6% 0.0% 3.7% 2.4% 21.3K 59.9K -3.4K 0.00 27.77 N/A N/A 0 10 588 611 2011-02-11 $24.69 $25.00 21.2% 6.1% 14.7% 21.9% 21.2% 3.3% 1.9% 23.1K 18.5K -3.5K 0.00 27.01 N/A N/A 12 0 588 621 2011-02-14 $24.61 $25.00 23.3% 6.7% 14.8% 27.9% 23.3% 3.1% -1.3% 22.1K 61.5K -3.3K 0.00 28.36 N/A N/A 1 0 600 621 2011-02-15 $24.45 $25.00 23.3% 6.7% 14.5% 27.8% 23.2% 1.2% -1.0% 21.3K 130.0K -3.2K 0.00 48.12 N/A N/A 0 11 600 621 2011-02-16 $24.52 $25.00 22.0% 6.3% 14.1% 24.1% 22.0% 1.8% 1.2% 23.1K 86.3K -3.3K 0.48 36.50 N/A N/A 31 15 600 627 2011-02-17 $24.56 $25.00 19.5% 5.6% 13.9% 17.2% 19.5% 1.3% 3.5% 28.9K 142.9K -3.2K 2.20 92.53 N/A N/A 5 11 614 630 2011-02-18 $24.75 $25.00 18.2% 5.2% 14.1% 13.6% 18.2% 1.6% 3.8% 48.5K 63.2K -3.2K 0.12 62.30 N/A N/A 43 5 614 627 2011-02-22 $24.73 $25.00 22.1% 6.3% 14.1% 24.4% 22.1% -6.4% -2.3% 14.6K 37.2K -3.0K 0.00 92.73 N/A N/A 73 0 506 567 2011-02-23 $24.73 $25.00 23.2% 6.7% 11.5% 27.7% 23.2% -4.9% -1.4% 19.0K -126.9K -3.4K 0.78 59.98 N/A N/A 54 42 569 567 2011-02-24 $24.58 $25.00 21.5% 6.2% 11.4% 22.9% 21.5% -5.3% -0.3% 23.0K -46.5K -3.4K 0.56 101.44 N/A N/A 18 10 602 557 2011-02-25 $25.22 $25.00 22.1% 6.3% 13.8% 24.5% 0.0% 26.0% 1.9% 25.9K -310.4K -3.5K 0.14 94.35 N/A N/A 14 2 606 567 2011-02-28 $25.69 $25.00 16.6% 4.8% 14.5% 9.2% 14.3% -5.4% 6.8% 37.0K -625.0K -3.2K 0.87 104.74 N/A N/A 23 20 617 569
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