NNN Options History — February 2012

In February 2012, NNN traded between $26.39 and $27.50. ATM implied volatility averaged 22.1%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 11.4% (HV 20d: 10.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.79.

Notable Days

2012-02-21: Highest Volume — 47 contracts
2012-02-09: Largest IV drop — 55.4% change
2012-02-08: Highest IV Rank — 51.3%
2012-02-16: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.91	$26.39	$27.50	$27.17	$26.65
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	22.1%	14.5%	37.2%	25.3%	18.6%
Expected Move	5.4%	4.0%	7.4%	7.2%	5.3%
HV 20d	10.7%	8.4%	12.5%	11.5%	11.6%
HV 60d	18.1%	16.1%	19.9%	19.9%	16.1%
IV Rank	18.5%	2.2%	51.3%	25.4%	10.9%
IV Percentile	40.7%	0.8%	94.0%	75.0%	14.7%
Term Structure	0.1%	-8.0%	8.9%	-8.0%	-3.2%
VWIV	19.1%	13.6%	24.7%	16.9%	21.2%
Skew 25d	0.8%	-11.2%	11.1%	3.1%	0.0%
Skew 10d	0.2%	-14.0%	28.6%	1.7%	-2.8%
Call IV 25d	19.4%	13.4%	27.2%	24.0%	21.5%
Put IV 25d	20.2%	15.0%	27.0%	27.0%	21.6%
Bid-Ask Spread %	106.62	95.49	123.12	113.18	109.79
Gamma HHI	0.44	0.39	0.51	0.46	0.48
Net GEX	-2.7K	-12.8K	11.9K	3.9K	-12.1K
Net DEX	1.4K	-133.4K	81.9K	-71.5K	61.5K
Net VEX	-2.2K	-2.5K	-1.9K	-2.3K	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.79	0.00	10.75	0.00	10.75
Total Volume	9.75	0	47	5	0
Total OI	846.2	794	878	794	861

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
2012-02-01	$27.17	$25.00	25.3%	7.2%	11.5%	25.4%	0.0%	3.1%	-8.0%	3.9K	-71.5K	-2.3K	0.00	113.18	N/A	N/A	5	0	396	398
2012-02-02	$27.10	$25.00	22.8%	6.5%	10.6%	20.0%	0.0%	0.5%	-5.3%	3.9K	-88.6K	-2.5K	0.00	112.30	N/A	N/A	0	5	401	398
2012-02-03	$27.26	$25.00	27.7%	4.9%	9.7%	30.6%	16.9%	4.1%	4.0%	4.5K	-78.2K	-2.2K	0.43	103.88	N/A	N/A	30	13	401	403
2012-02-06	$27.23	$25.00	27.2%	4.0%	8.4%	29.6%	0.0%	-2.9%	8.9%	3.9K	-77.3K	-2.1K	0.00	108.38	N/A	N/A	0	0	429	406
2012-02-07	$27.50	$25.00	35.4%	4.6%	8.9%	47.3%	0.0%	-1.3%	4.0%	10.5K	-111.3K	-2.1K	0.00	104.69	N/A	N/A	0	10	429	406
2012-02-08	$27.49	$25.00	37.2%	4.2%	8.6%	51.3%	0.0%	4.5%	-1.3%	11.9K	-133.4K	-2.2K	0.40	123.12	N/A	N/A	5	2	429	416
2012-02-09	$27.23	$25.00	16.6%	4.8%	9.2%	6.7%	0.0%	-1.3%	-2.8%	3.9K	-78.9K	-2.1K	0.00	111.32	N/A	N/A	0	7	434	418
2012-02-10	$26.93	$25.00	15.7%	4.5%	10.0%	4.7%	0.0%	-1.6%	4.2%	-3.5K	-3.7K	-2.1K	0.00	111.61	N/A	N/A	0	10	434	425
2012-02-13	$27.01	$25.00	22.6%	6.5%	10.0%	19.7%	13.6%	11.1%	2.7%	2.6K	-18.2K	-2.4K	0.00	96.34	N/A	N/A	1	0	434	435
2012-02-14	$26.73	$25.00	21.3%	6.1%	10.7%	16.9%	0.0%	9.1%	4.0%	-3.1K	28.4K	-2.3K	1.50	95.49	N/A	N/A	2	3	434	435
2012-02-15	$26.39	$25.00	24.7%	7.1%	11.5%	24.2%	24.7%	5.4%	-2.9%	-8.1K	76.5K	-2.4K	0.91	103.66	N/A	N/A	11	10	436	438
2012-02-16	$26.52	$25.00	25.7%	7.4%	11.6%	26.2%	0.0%	7.0%	-3.9%	-6.2K	80.1K	-2.4K	0.00	96.04	N/A	N/A	0	0	430	448
2012-02-17	$26.63	$25.00	18.5%	5.3%	11.7%	10.7%	21.2%	1.8%	5.8%	-6.2K	70.1K	-2.3K	0.33	106.58	N/A	N/A	6	2	430	448
2012-02-21	$26.55	$25.00	16.5%	4.7%	11.5%	6.4%	0.0%	-2.2%	1.3%	-9.9K	63.2K	-2.1K	10.75	106.12	N/A	N/A	4	43	403	428
2012-02-22	$26.46	$25.00	15.0%	4.3%	11.2%	3.3%	0.0%	-6.5%	5.1%	-12.8K	69.9K	-2.3K	0.00	111.34	N/A	N/A	0	0	402	443
2012-02-23	$26.88	$25.00	14.5%	4.2%	12.5%	2.2%	0.0%	-4.7%	-2.1%	-9.1K	72.1K	-2.0K	0.00	102.62	N/A	N/A	0	0	402	443
2012-02-24	$26.85	$25.00	17.2%	4.9%	12.0%	8.0%	0.0%	-4.0%	-4.6%	-9.1K	50.2K	-2.0K	0.00	105.11	N/A	N/A	0	10	402	443
2012-02-27	$26.82	$25.00	18.5%	5.3%	11.7%	10.8%	0.0%	-11.2%	0.0%	-8.9K	34.3K	-1.9K	0.00	106.75	N/A	N/A	0	16	402	443
2012-02-28	$26.83	$25.00	20.8%	6.0%	11.7%	15.8%	0.0%	5.7%	-4.2%	-10.4K	81.9K	-2.1K	0.00	104.00	N/A	N/A	0	0	402	459
2012-02-29	$26.65	$25.00	18.6%	5.3%	11.6%	10.9%	0.0%	0.0%	-3.2%	-12.1K	61.5K	-1.9K	0.00	109.79	N/A	N/A	0	0	402	459