NNN Options History — February 2013 In February 2013, NNN traded between $32.00 and $34.54. ATM implied volatility averaged 11.3%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 2.5% (HV 20d: 8.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.02.
Notable Days 2013-02-01 : Highest Volume — 250 contracts2013-02-07 : Largest IV drop — 52.7% change2013-02-06 : Highest IV Rank — 24.5%2013-02-12 : Largest Expected Move — 3.5%Monthly Statistics Metric Avg Min Max Open Close Price $33.36 $32.00 $34.54 $32.00 $34.45 Max Pain $30.00 $30.00 $30.00 $30.00 $30.00 ATM IV 11.3% 6.8% 19.5% 16.9% 9.1% Expected Move 2.8% 1.9% 3.5% 2.9% 2.6% HV 20d 8.8% 7.0% 11.4% 8.3% 11.0% HV 60d 8.6% 7.9% 9.4% 8.9% 9.3% IV Rank 6.5% 0.0% 24.5% 18.2% 5.3% IV Percentile 13.6% 0.0% 65.5% 44.4% 2.4% Term Structure 3.8% -1.4% 7.2% 2.8% 2.1% VWIV 16.7% 12.0% 23.7% 14.2% 23.7% Skew 25d 14.8% 1.0% 63.8% 1.0% 59.5% Skew 10d 19.5% 0.6% 80.9% 0.6% 72.4% Call IV 25d 10.9% 6.7% 26.9% 9.0% 11.1% Put IV 25d 25.8% 10.1% 72.1% 10.1% 70.6% Bid-Ask Spread % 24.17 7.70 52.57 14.31 41.65 Gamma HHI 0.57 0.50 0.66 0.50 0.64 Net GEX -4.4K -44.5K 40.9K -15.3K 40.9K Net DEX -416.7K -822.5K 45.4K -254.9K -822.5K Net VEX -4.8K -5.9K -3.6K -3.6K -5.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.02 0.00 0.23 0.00 0.00 Total Volume 41.105 0 250 250 17 Total OI 1,555.737 1,182 1,707 1,182 1,705
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 2013-02-01 $32.00 $30.00 16.9% 2.9% 8.3% 18.2% 0.0% 1.0% 2.8% -15.3K -254.9K -3.6K 0.00 14.31 N/A N/A 0 250 276 906 2013-02-04 $32.11 $30.00 18.5% 3.3% 8.0% 22.1% 0.0% 2.7% 4.8% -44.5K 45.4K -5.9K 0.00 36.52 N/A N/A 0 0 276 1,156 2013-02-05 $32.30 $30.00 18.5% 3.3% 7.8% 22.1% 0.0% 3.8% 0.8% -39.2K -57.9K -5.2K 0.00 34.08 N/A N/A 0 0 276 1,156 2013-02-06 $32.36 $30.00 19.5% 3.2% 7.7% 24.5% 0.0% 3.1% 5.8% -35.4K -91.2K -5.4K 0.00 13.40 N/A N/A 0 18 276 1,156 2013-02-07 $32.65 $30.00 9.2% 2.6% 8.2% 0.0% 0.0% 3.1% -0.8% -32.2K -157.0K -4.6K 0.00 12.40 N/A N/A 15 0 276 1,174 2013-02-08 $32.80 $30.00 9.4% 2.7% 8.0% 0.3% 0.0% 3.6% 4.8% -30.6K -189.8K -4.6K 0.00 16.55 N/A N/A 30 0 291 1,174 2013-02-11 $33.02 $30.00 9.3% 2.7% 8.1% 0.1% 14.2% 3.5% 5.6% -21.9K -211.5K -4.6K 0.00 10.15 N/A N/A 8 0 321 1,174 2013-02-12 $33.31 $30.00 12.2% 3.5% 8.1% 7.2% 0.0% 6.9% 5.5% -20.4K -311.2K -4.2K 0.00 16.83 N/A N/A 10 0 325 1,174 2013-02-13 $33.33 $30.00 8.6% 2.5% 8.0% 0.0% 0.0% 4.6% 6.1% -14.8K -293.9K -4.5K 0.00 17.78 N/A N/A 5 0 335 1,174 2013-02-14 $33.50 $30.00 9.8% 2.8% 7.0% 2.8% 0.0% 7.1% 6.3% -13.7K -358.2K -4.3K 0.00 7.70 N/A N/A 50 0 340 1,174 2013-02-15 $33.67 $30.00 8.8% 2.5% 7.0% 0.4% 0.0% 6.9% 7.2% -6.0K -530.0K -4.1K 0.00 30.67 N/A N/A 160 0 390 1,174 2013-02-19 $34.21 $30.00 11.8% 3.4% 8.6% 7.8% 12.0% 37.9% -1.4% 13.3K -637.0K -5.3K 0.23 40.01 N/A N/A 35 8 485 1,174 2013-02-20 $34.14 $30.00 8.6% 2.5% 8.7% 0.0% 0.0% 14.9% 5.8% 14.8K -697.5K -5.4K 0.00 43.07 N/A N/A 0 0 519 1,182 2013-02-21 $33.73 $30.00 8.7% 2.5% 10.0% 0.3% 0.0% 3.8% 0.3% 16.7K -639.3K -4.9K 0.00 19.02 N/A N/A 0 0 519 1,182 2013-02-22 $33.89 $30.00 9.7% 2.8% 9.8% 2.6% 0.0% 5.1% 3.5% 16.8K -650.6K -5.1K 0.00 11.29 N/A N/A 141 0 519 1,182 2013-02-25 $33.64 $30.00 10.6% 3.0% 10.0% 4.9% 0.0% 5.6% 2.1% 18.8K -550.3K -5.5K 0.00 27.90 N/A N/A 30 0 525 1,182 2013-02-26 $34.23 $30.00 6.8% 1.9% 11.4% 0.0% 23.7% 45.2% 5.0% 30.6K -723.0K -4.9K 0.00 13.35 N/A N/A 3 0 525 1,182 2013-02-27 $34.54 $30.00 8.6% 2.5% 11.0% 4.2% 0.0% 63.8% 5.0% 38.0K -787.8K -5.0K 0.00 52.57 N/A N/A 1 0 522 1,182 2013-02-28 $34.45 $30.00 9.1% 2.6% 11.0% 5.3% 0.0% 59.5% 2.1% 40.9K -822.5K -5.0K 0.00 41.65 N/A N/A 17 0 523 1,182
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