NNN Options History — January 2012

In January 2012, NNN traded between $26.48 and $27.42. ATM implied volatility averaged 25.5%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 8.4% (HV 20d: 17.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.59.

Notable Days

2012-01-26: Highest Volume — 545 contracts
2012-01-25: Largest IV spike — 107.9% change
2012-01-27: Highest IV Rank — 79.2%
2012-01-27: Largest Expected Move — 14.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.81	$26.48	$27.42	$26.80	$27.01
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	25.5%	19.5%	50.2%	19.5%	19.8%
Expected Move	7.3%	5.6%	14.4%	5.6%	5.7%
HV 20d	17.1%	12.5%	22.0%	20.7%	12.6%
HV 60d	22.1%	19.9%	25.2%	25.2%	19.9%
IV Rank	26.0%	12.9%	79.2%	12.9%	13.6%
IV Percentile	51.1%	18.3%	99.6%	18.3%	21.4%
Term Structure	-10.0%	-54.8%	14.8%	14.8%	-6.0%
VWIV	18.2%	14.8%	25.3%	15.7%	14.8%
Skew 25d	0.2%	-8.8%	12.7%	8.6%	1.3%
Skew 10d	3.1%	-6.2%	8.4%	7.5%	-0.6%
Call IV 25d	21.1%	16.0%	25.5%	16.0%	19.2%
Put IV 25d	21.4%	14.4%	33.7%	24.6%	20.5%
Bid-Ask Spread %	112.93	99.94	142.97	102.18	99.94
Gamma HHI	0.46	0.38	0.56	0.48	0.43
Net GEX	32.2K	192	55.8K	43.7K	192
Net DEX	-970.3K	-1.5M	10.3K	-1.5M	-46.5K
Net VEX	-3.4K	-4.2K	-1.4K	-4.0K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.00	3.33	0.00	0.00
Total Volume	40.55	0	545	2	4
Total OI	1,330.65	790	1,618	1,451	790

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
2012-01-03	$26.80	$25.00	19.5%	5.6%	20.7%	12.9%	15.7%	8.6%	14.8%	43.7K	-1.5M	-4.0K	0.00	102.18	N/A	N/A	2	0	1,012	439
2012-01-04	$26.49	$25.00	22.7%	6.5%	21.3%	19.9%	0.0%	2.8%	8.6%	55.8K	-1.3M	-4.2K	0.00	101.36	N/A	N/A	37	0	1,010	439
2012-01-05	$26.86	$25.00	22.6%	6.5%	21.4%	19.7%	0.0%	9.6%	-3.1%	44.8K	-1.4M	-4.2K	0.00	101.79	N/A	N/A	0	0	1,047	439
2012-01-06	$26.52	$25.00	21.6%	6.1%	22.0%	17.6%	0.0%	-5.9%	-7.1%	53.9K	-1.4M	-4.2K	0.00	114.89	N/A	N/A	0	0	1,047	439
2012-01-09	$26.61	$25.00	21.6%	7.9%	21.0%	17.4%	0.0%	6.0%	-4.2%	45.5K	-1.4M	-3.9K	0.00	106.15	N/A	N/A	0	0	1,047	439
2012-01-10	$26.82	$25.00	26.8%	7.1%	21.0%	28.8%	20.1%	-3.8%	-10.8%	46.0K	-1.5M	-3.8K	0.50	111.26	N/A	N/A	4	2	1,047	439
2012-01-11	$26.69	$25.00	23.7%	6.2%	19.7%	22.0%	25.3%	7.0%	4.5%	42.6K	-1.4M	-3.7K	0.00	105.84	N/A	N/A	0	10	1,043	437
2012-01-12	$26.60	$25.00	19.8%	5.7%	18.5%	13.5%	15.2%	-5.4%	-1.8%	32.6K	-1.4M	-3.7K	0.00	115.02	N/A	N/A	0	128	1,043	447
2012-01-13	$26.54	$25.00	21.7%	6.2%	18.6%	17.7%	0.0%	-4.7%	-5.7%	44.8K	-1.0M	-3.7K	3.33	111.74	N/A	N/A	3	10	1,043	575
2012-01-17	$26.48	$25.00	24.3%	7.0%	17.4%	23.4%	0.0%	-7.2%	-11.3%	35.9K	-1.1M	-3.5K	0.00	111.05	N/A	N/A	1	0	1,040	575
2012-01-18	$26.64	$25.00	21.9%	6.3%	15.9%	18.1%	0.0%	-4.1%	-6.1%	28.9K	-1.1M	-3.5K	0.00	105.89	N/A	N/A	0	0	1,041	575
2012-01-19	$26.67	$25.00	21.0%	6.0%	14.9%	16.2%	0.0%	-8.8%	-5.7%	29.0K	-1.1M	-3.4K	0.00	112.42	N/A	N/A	2	0	1,041	575
2012-01-20	$26.67	$25.00	21.0%	6.0%	14.3%	16.1%	0.0%	-8.8%	-7.7%	28.9K	-1.1M	-3.2K	0.00	115.62	N/A	N/A	0	0	1,043	575
2012-01-23	$26.85	$25.00	26.3%	7.5%	14.4%	27.6%	0.0%	-3.8%	-9.0%	23.9K	-517.1K	-3.2K	0.00	112.90	N/A	N/A	0	32	684	386
2012-01-24	$27.02	$25.00	21.6%	6.2%	14.3%	17.5%	14.8%	-4.7%	-9.0%	23.1K	-572.0K	-3.2K	2.00	105.99	N/A	N/A	2	4	684	404
2012-01-25	$27.19	$25.00	44.9%	12.9%	14.4%	67.9%	0.0%	3.5%	-42.7%	26.5K	-612.7K	-3.6K	0.05	140.40	N/A	N/A	21	1	686	404
2012-01-26	$27.42	$25.00	40.0%	11.5%	14.0%	57.3%	0.0%	7.8%	-35.4%	30.9K	-826.1K	-1.4K	0.00	142.97	N/A	N/A	545	0	683	405
2012-01-27	$27.18	$25.00	50.2%	14.4%	13.2%	79.2%	0.0%	12.7%	-54.8%	5.0K	10.3K	-2.8K	0.00	140.79	N/A	N/A	2	0	394	405
2012-01-30	$27.21	$25.00	19.6%	5.6%	12.5%	13.3%	0.0%	2.7%	-8.0%	2.8K	-59.6K	-2.1K	0.00	100.35	N/A	N/A	0	1	396	395
2012-01-31	$27.01	$25.00	19.8%	5.7%	12.6%	13.6%	0.0%	1.3%	-6.0%	192	-46.5K	-2.1K	0.00	99.94	N/A	N/A	0	4	396	394