NNN Options History — December 2012

In December 2012, NNN traded between $30.62 and $31.39. ATM implied volatility averaged 13.8%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 5.4% (HV 20d: 8.4%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.25.

Notable Days

2012-12-21: Highest Volume — 24 contracts
2012-12-07: Largest IV drop — 40.5% change
2012-12-06: Highest IV Rank — 19.6%
2012-12-06: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.96	$30.62	$31.39	$30.79	$31.20
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	13.8%	9.6%	17.5%	9.6%	12.9%
Expected Move	4.1%	2.8%	5.0%	2.8%	3.7%
HV 20d	8.4%	6.7%	10.2%	10.2%	6.7%
HV 60d	10.3%	9.8%	10.9%	10.9%	9.8%
IV Rank	10.5%	0.4%	19.6%	0.4%	8.4%
IV Percentile	18.2%	1.2%	42.5%	1.2%	11.1%
Term Structure	2.0%	-1.2%	7.2%	7.2%	3.4%
VWIV	17.0%	17.0%	17.0%	17.0%	17.0%
Skew 25d	-2.7%	-16.8%	2.8%	-16.8%	-4.1%
Skew 10d	2.2%	-11.0%	37.4%	-11.0%	-6.4%
Call IV 25d	17.9%	13.7%	32.5%	32.5%	17.1%
Put IV 25d	15.2%	9.9%	19.4%	15.8%	13.0%
Bid-Ask Spread %	62.41	16.91	110.55	104.46	29.91
Gamma HHI	0.46	0.35	0.67	0.41	0.52
Net GEX	-8.7K	-29.8K	14.7K	-8.2K	12.6K
Net DEX	-225.5K	-418.4K	34.5K	-294.1K	-399.8K
Net VEX	-4.3K	-6.6K	-2.4K	-3.1K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.00	5.00	0.00	5.00
Total Volume	2.45	0	24	0	0
Total OI	1,102.65	951	1,155	1,152	961

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
2012-12-03	$30.79	$30.00	9.6%	2.8%	10.2%	0.4%	0.0%	-16.8%	7.2%	-8.2K	-294.1K	-3.1K	0.00	104.46	N/A	N/A	0	0	326	826
2012-12-04	$30.66	$30.00	12.2%	3.5%	10.2%	6.6%	0.0%	-10.3%	1.3%	-25.7K	14.8K	-6.2K	0.00	39.88	N/A	N/A	0	0	326	826
2012-12-05	$30.71	$30.00	13.5%	3.9%	9.9%	9.8%	0.0%	-7.6%	2.7%	-26.8K	-51.1K	-5.7K	0.00	67.76	N/A	N/A	0	0	326	826
2012-12-06	$30.87	$30.00	17.5%	5.0%	9.5%	19.6%	0.0%	-3.0%	0.4%	-18.9K	34.5K	-6.5K	0.00	62.30	N/A	N/A	0	0	326	826
2012-12-07	$30.96	$30.00	10.4%	4.6%	9.5%	2.3%	0.0%	2.8%	0.4%	-1.5K	-374.2K	-3.0K	0.00	22.07	N/A	N/A	0	0	326	826
2012-12-10	$30.92	$30.00	12.7%	4.7%	9.1%	7.8%	0.0%	2.6%	1.0%	-18.0K	-202.7K	-4.9K	0.00	16.91	N/A	N/A	0	0	326	826
2012-12-11	$30.90	$30.00	16.0%	4.7%	9.1%	15.9%	0.0%	0.9%	0.4%	-5.1K	-337.4K	-3.0K	0.00	89.58	N/A	N/A	6	0	326	826
2012-12-12	$30.97	$30.00	14.2%	4.7%	9.1%	11.6%	0.0%	2.4%	0.5%	-2.4K	-362.5K	-2.8K	0.00	27.28	N/A	N/A	0	0	324	826
2012-12-13	$30.65	$30.00	16.5%	4.7%	8.2%	17.3%	0.0%	2.5%	-0.7%	-29.0K	-123.1K	-5.1K	0.00	65.21	N/A	N/A	2	0	324	826
2012-12-14	$30.62	$30.00	17.0%	4.9%	8.2%	18.3%	0.0%	-0.1%	-0.8%	-29.8K	-64.1K	-5.5K	0.00	92.46	N/A	N/A	0	0	326	826
2012-12-17	$30.65	$30.00	17.0%	4.9%	7.5%	18.5%	17.0%	0.6%	-0.5%	-29.0K	-68.5K	-5.2K	0.00	90.72	N/A	N/A	0	3	326	826
2012-12-18	$30.77	$30.00	15.1%	4.3%	7.6%	13.7%	0.0%	-0.3%	1.7%	-8.8K	1.8K	-6.6K	0.00	19.46	N/A	N/A	0	0	326	829
2012-12-19	$30.97	$30.00	16.4%	4.7%	7.9%	16.9%	0.0%	-0.0%	1.0%	-13.3K	-242.8K	-4.6K	0.00	94.75	N/A	N/A	4	0	326	829
2012-12-20	$31.20	$30.00	12.0%	3.4%	8.2%	6.2%	0.0%	-3.6%	4.1%	-3.5K	-271.6K	-4.9K	0.00	110.55	N/A	N/A	0	0	326	829
2012-12-21	$31.13	$30.00	14.2%	4.1%	8.0%	11.5%	0.0%	-5.7%	-1.2%	-3.2K	-309.9K	-4.4K	5.00	95.74	N/A	N/A	4	20	326	829
2012-12-24	$31.26	$30.00	11.2%	3.2%	8.1%	4.3%	0.0%	-6.0%	5.1%	13.7K	-405.1K	-2.5K	0.00	109.72	N/A	N/A	0	0	303	648
2012-12-26	$31.33	$30.00	11.8%	3.4%	6.9%	5.7%	0.0%	-2.7%	4.8%	12.8K	-418.4K	-2.5K	0.00	35.29	N/A	N/A	0	0	303	648
2012-12-27	$31.39	$30.00	11.7%	3.4%	6.9%	5.5%	0.0%	-0.9%	6.7%	-4.6K	-227.1K	-4.7K	0.00	36.48	N/A	N/A	0	0	303	648
2012-12-28	$31.22	$30.00	13.4%	3.8%	7.1%	9.5%	0.0%	-4.5%	2.0%	14.7K	-408.4K	-2.4K	0.00	37.76	N/A	N/A	0	10	303	648
2012-12-31	$31.20	$30.00	12.9%	3.7%	6.7%	8.4%	0.0%	-4.1%	3.4%	12.6K	-399.8K	-2.4K	0.00	29.91	N/A	N/A	0	0	303	658