NNN Options History — February 2014 In February 2014, NNN traded between $32.07 and $35.89. ATM implied volatility averaged 19.5%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.1% (HV 20d: 20.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.18.
Notable Days 2014-02-10 : Highest Volume — 64 contracts2014-02-04 : Largest IV drop — 31.8% change2014-02-03 : Highest IV Rank — 40.9%2014-02-03 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $33.84 $32.07 $35.89 $32.14 $35.89 Max Pain $33.95 $30.00 $35.00 $30.00 $35.00 ATM IV 19.5% 14.2% 28.6% 28.6% 18.3% Expected Move 5.1% 4.1% 8.2% 8.2% 5.2% HV 20d 20.6% 15.4% 25.1% 25.1% 15.4% HV 60d 20.0% 18.9% 21.8% 21.8% 19.1% IV Rank 23.8% 13.9% 40.9% 40.9% 20.4% IV Percentile 45.3% 19.4% 90.5% 90.5% 37.3% Term Structure -0.5% -18.7% 3.9% -18.7% 1.6% VWIV 17.2% 15.1% 19.7% 17.1% 18.0% Skew 25d 11.6% -11.7% 30.7% -11.7% 6.9% Skew 10d 18.1% -8.1% 38.7% -1.0% 37.9% Call IV 25d 20.6% 15.3% 29.0% 29.0% 19.6% Put IV 25d 32.2% 17.1% 48.7% 17.3% 26.5% Bid-Ask Spread % 107.85 99.82 113.96 112.77 112.43 Gamma HHI 0.70 0.51 0.82 0.55 0.78 Net GEX 45.6K 10.1K 80.2K 17.7K 66.5K Net DEX -624.8K -1.5M 26.0K -96.2K -1.5M Net VEX -5.9K -6.3K -5.6K -5.6K -5.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.18 0.00 10.00 1.17 0.00 Total Volume 18.737 0 64 26 12 Total OI 1,179 1,093 1,228 1,093 1,228
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 2014-02-03 $32.14 $30.00 28.6% 8.2% 25.1% 40.9% 17.1% -11.7% -18.7% 17.7K -96.2K -5.6K 1.17 112.77 N/A N/A 12 14 626 467 2014-02-04 $32.14 $30.00 19.5% 5.6% 25.1% 23.9% 0.0% -0.1% -6.0% 10.1K -67.3K -5.7K 10.00 109.07 N/A N/A 2 20 633 478 2014-02-05 $32.07 $30.00 21.7% 6.2% 25.0% 28.0% 0.0% -2.7% -9.2% 11.2K 26.0K -5.8K 0.00 107.35 N/A N/A 0 0 631 498 2014-02-06 $32.44 $30.00 20.9% 6.0% 25.1% 26.5% 0.0% 2.3% -5.5% 14.4K -9.4K -5.8K 0.00 108.76 N/A N/A 0 6 631 498 2014-02-07 $32.57 $35.00 21.9% 5.6% 24.9% 28.4% 0.0% 6.1% 1.1% 16.2K -53.1K -5.8K 0.00 99.82 N/A N/A 1 0 631 494 2014-02-10 $33.02 $35.00 27.8% 4.6% 22.6% 39.4% 19.7% 4.8% 1.9% 22.0K -244.3K -5.8K 0.03 103.97 N/A N/A 62 2 632 494 2014-02-11 $33.42 $35.00 25.6% 4.5% 21.7% 35.3% 0.0% 20.2% 2.7% 37.6K -379.6K -5.9K 1.82 103.35 N/A N/A 11 20 694 494 2014-02-12 $33.56 $35.00 21.0% 4.4% 21.5% 26.6% 0.0% 22.6% 2.9% 42.0K -382.8K -5.8K 0.00 107.07 N/A N/A 0 23 695 474 2014-02-13 $33.72 $35.00 17.4% 5.0% 21.2% 20.0% 17.8% -0.9% 1.7% 45.9K -549.6K -5.9K 0.00 106.75 N/A N/A 44 0 695 473 2014-02-14 $33.98 $35.00 14.8% 4.2% 21.1% 15.0% 15.1% 30.7% 3.9% 55.7K -544.9K -6.3K 0.69 113.69 N/A N/A 16 11 731 473 2014-02-18 $34.15 $35.00 14.2% 4.1% 19.9% 13.9% 0.0% 26.2% 3.5% 61.3K -688.6K -6.0K 0.43 102.80 N/A N/A 7 3 743 477 2014-02-19 $34.26 $35.00 18.1% 5.2% 18.6% 21.1% 18.1% 28.7% 2.2% 62.2K -799.2K -6.2K 3.00 102.38 N/A N/A 7 21 750 477 2014-02-20 $34.45 $35.00 16.5% 4.7% 18.2% 18.2% 16.4% 29.6% 2.7% 69.7K -805.0K -6.2K 0.00 110.57 N/A N/A 0 1 747 477 2014-02-21 $34.73 $35.00 16.7% 4.8% 18.3% 18.5% 16.9% 25.2% 2.4% 80.2K -973.2K -5.7K 0.00 105.96 N/A N/A 14 0 747 478 2014-02-24 $34.84 $35.00 16.3% 4.7% 18.3% 17.8% 16.3% -3.6% 1.4% 59.4K -1.1M -6.0K 0.56 109.24 N/A N/A 9 5 718 475 2014-02-25 $35.06 $35.00 16.7% 4.8% 17.0% 18.6% 16.7% -5.6% 1.8% 62.7K -1.2M -5.8K 0.00 109.84 N/A N/A 15 0 725 480 2014-02-26 $35.22 $35.00 17.4% 5.0% 16.7% 20.0% 0.0% 22.3% -0.3% 66.4K -1.2M -5.6K 0.07 113.96 N/A N/A 15 1 731 480 2014-02-27 $35.31 $35.00 17.4% 5.0% 15.6% 18.7% 0.0% 19.6% 0.4% 64.5K -1.3M -5.9K 0.00 109.48 N/A N/A 2 0 746 480 2014-02-28 $35.89 $35.00 18.3% 5.2% 15.4% 20.4% 18.0% 6.9% 1.6% 66.5K -1.5M -5.6K 0.00 112.43 N/A N/A 12 0 748 480
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