NNN Options History — September 2012

In September 2012, NNN traded between $30.40 and $31.73. ATM implied volatility averaged 14.4%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 5.7% (HV 20d: 8.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 2.19.

Notable Days

2012-09-21: Highest Volume — 194 contracts
2012-09-05: Largest IV spike — 37.8% change
2012-09-05: Highest IV Rank — 27.2%
2012-09-05: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.01	$30.40	$31.73	$31.33	$30.50
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	14.4%	11.8%	21.9%	15.9%	12.3%
Expected Move	4.1%	3.4%	6.3%	4.6%	3.5%
HV 20d	8.7%	6.0%	10.9%	7.4%	10.9%
HV 60d	11.1%	10.5%	12.1%	12.1%	10.5%
IV Rank	7.7%	1.1%	27.2%	11.7%	2.4%
IV Percentile	10.2%	0.4%	54.4%	15.9%	1.6%
Term Structure	6.1%	-1.8%	31.9%	-1.8%	6.5%
VWIV	12.0%	11.2%	12.6%	11.2%	12.6%
Skew 25d	0.5%	-4.9%	6.6%	-1.4%	-2.4%
Skew 10d	12.1%	-8.3%	33.5%	-5.5%	30.3%
Call IV 25d	18.5%	14.0%	34.0%	21.8%	19.5%
Put IV 25d	19.0%	13.6%	36.7%	20.4%	17.1%
Bid-Ask Spread %	106.76	95.78	126.55	111.31	104.24
Gamma HHI	0.95	0.91	0.98	0.96	0.94
Net GEX	47.1K	21.0K	89.4K	65.9K	23.0K
Net DEX	-996.6K	-1.4M	-267.2K	-1.4M	-308.1K
Net VEX	-2.4K	-2.8K	-2.0K	-2.3K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.19	0.00	12.00	0.93	0.00
Total Volume	24.895	0	194	20	0
Total OI	832.211	579	937	907	602

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
2012-09-04	$31.33	$30.00	15.9%	4.6%	7.4%	11.7%	0.0%	-1.4%	-1.8%	65.9K	-1.4M	-2.3K	0.00	111.31	N/A	N/A	0	20	587	320
2012-09-05	$31.29	$30.00	21.9%	6.3%	6.0%	27.2%	11.2%	2.7%	0.9%	67.9K	-1.3M	-2.6K	0.93	126.55	N/A	N/A	14	13	587	340
2012-09-06	$31.27	$30.00	14.8%	4.2%	6.2%	8.8%	12.1%	2.9%	31.9%	59.8K	-1.3M	-2.2K	0.08	126.51	N/A	N/A	12	1	573	347
2012-09-07	$31.12	$0.00	17.7%	3.8%	6.7%	16.2%	0.0%	2.3%	11.7%	68.4K	-1.1M	-2.6K	0.00	120.78	N/A	N/A	0	0	576	346
2012-09-10	$31.00	$0.00	12.7%	3.8%	7.0%	3.6%	0.0%	1.0%	6.4%	72.6K	-1.3M	-2.3K	4.00	102.87	N/A	N/A	5	20	576	346
2012-09-11	$31.16	$0.00	11.8%	3.7%	7.1%	1.1%	0.0%	0.1%	6.7%	50.9K	-1.4M	-2.2K	0.00	102.18	N/A	N/A	0	0	571	366
2012-09-12	$31.19	$0.00	12.9%	3.9%	7.1%	4.0%	0.0%	0.2%	6.4%	50.0K	-1.4M	-2.2K	0.00	95.78	N/A	N/A	100	0	571	366
2012-09-13	$31.57	$0.00	15.1%	4.3%	7.5%	9.6%	0.0%	0.8%	4.8%	33.9K	-1.3M	-2.0K	2.50	103.95	N/A	N/A	8	20	526	366
2012-09-14	$31.73	$0.00	15.3%	4.4%	7.2%	10.1%	0.0%	4.4%	6.0%	28.0K	-1.3M	-2.1K	0.00	101.61	N/A	N/A	0	0	523	386
2012-09-17	$31.26	$0.00	14.3%	4.1%	9.1%	7.7%	0.0%	1.6%	5.4%	44.0K	-1.2M	-2.2K	0.00	100.58	N/A	N/A	0	0	523	386
2012-09-18	$31.03	$0.00	13.9%	4.0%	9.5%	6.6%	0.0%	0.4%	5.8%	56.9K	-1.1M	-2.3K	0.00	107.55	N/A	N/A	5	0	523	386
2012-09-19	$31.03	$0.00	14.1%	4.1%	9.3%	7.2%	0.0%	0.4%	4.4%	54.6K	-1.2M	-2.2K	0.00	107.55	N/A	N/A	5	0	524	386
2012-09-20	$30.64	$0.00	13.0%	3.7%	10.4%	4.2%	0.0%	-2.2%	4.9%	89.4K	-919.1K	-2.4K	4.00	108.48	N/A	N/A	5	20	521	386
2012-09-21	$30.82	$0.00	12.6%	3.6%	10.6%	3.4%	12.6%	-4.9%	3.8%	40.4K	-1.1M	-2.3K	0.55	102.32	N/A	N/A	125	69	516	406
2012-09-24	$30.83	$30.00	11.9%	3.4%	10.4%	1.5%	0.0%	-3.1%	5.9%	23.5K	-420.0K	-2.6K	12.00	104.45	N/A	N/A	2	24	303	276
2012-09-25	$30.53	$30.00	15.4%	4.4%	10.9%	10.4%	0.0%	-1.6%	1.0%	21.0K	-297.3K	-2.8K	0.00	99.79	N/A	N/A	5	0	303	294
2012-09-26	$30.55	$30.00	13.6%	3.9%	10.8%	5.9%	0.0%	1.5%	3.2%	21.8K	-297.2K	-2.8K	0.00	99.59	N/A	N/A	0	0	308	294
2012-09-27	$30.40	$30.00	13.5%	3.9%	10.9%	5.4%	0.0%	6.6%	3.0%	22.7K	-267.2K	-2.7K	0.00	102.26	N/A	N/A	0	0	308	294
2012-09-28	$30.50	$30.00	12.3%	3.5%	10.9%	2.4%	0.0%	-2.4%	6.5%	23.0K	-308.1K	-2.7K	0.00	104.24	N/A	N/A	0	0	308	294