VNQ Options History — February 2007

Name: VNQ Options Analytics - February 2007
Creator: Options Analysis Suite

In February 2007, VNQ traded between $80.90 and $87.27. ATM implied volatility averaged 16.5%. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.8% (HV 20d: 14.8%). Max pain ranged from $75.00 to $85.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.84.

Notable Days

2007-02-26: Highest Volume — 68 contracts
2007-02-05: Largest IV spike — 104.2% change
2007-02-27: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$84.77	$80.90	$87.27	$84.09	$81.40
Max Pain	$81.32	$75.00	$85.00	$75.00	$85.00
ATM IV	16.5%	11.8%	25.0%	12.8%	20.7%
Expected Move	4.7%	3.7%	6.1%	3.7%	5.9%
HV 20d	14.8%	9.4%	20.5%	12.6%	20.5%
Term Structure	-0.1%	-5.4%	3.0%	3.0%	-2.8%
VWIV	16.8%	13.2%	24.1%	13.2%	13.5%
Skew 25d	4.1%	0.3%	9.9%	2.3%	4.3%
Skew 10d	2.8%	-4.0%	10.3%	0.1%	2.3%
Call IV 25d	14.6%	11.5%	23.1%	11.5%	17.6%
Put IV 25d	18.7%	13.7%	31.3%	13.7%	21.9%
Bid-Ask Spread %	91.18	77.88	149.05	100.99	101.46
Gamma HHI	0.20	0.16	0.30	0.30	0.19
Net GEX	18.1K	-457	43.8K	22.8K	12.7K
Net DEX	-469.9K	-756.4K	13.4K	-351.4K	-110.8K
Net VEX	-2.0K	-4.3K	-555	-555	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.84	0.00	13.33	13.33	1.50
Total Volume	20.737	0	68	43	25
Total OI	162.842	64	320	64	320

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
2007-02-01	$84.09	$75.00	12.8%	3.7%	12.6%	0.0%	13.2%	2.3%	3.0%	22.8K	-351.4K	-555	13.33	100.99	N/A	N/A	3	40	54	10
2007-02-02	$84.24	$75.00	12.2%	4.1%	12.6%	0.0%	14.1%	2.2%	1.0%	15.7K	-344.7K	-599	0.00	77.88	N/A	N/A	11	0	57	16
2007-02-05	$84.24	$75.00	25.0%	4.2%	9.4%	0.0%	0.0%	8.3%	-5.4%	20.0K	-346.8K	-766	0.00	149.05	N/A	N/A	0	0	66	16
2007-02-06	$85.48	$75.00	11.8%	4.1%	9.9%	0.0%	0.0%	0.9%	0.7%	12.5K	-439.7K	-588	0.00	89.67	N/A	N/A	11	0	66	16
2007-02-07	$87.27	$75.00	12.7%	4.1%	10.9%	0.0%	0.0%	0.3%	0.7%	12.8K	-561.5K	-706	0.00	99.80	N/A	N/A	0	3	76	16
2007-02-08	$86.60	$75.00	13.8%	3.9%	11.7%	0.0%	0.0%	2.9%	1.1%	11.5K	-534.5K	-816	0.00	84.75	N/A	N/A	9	0	76	19
2007-02-09	$85.60	$75.00	14.8%	4.3%	12.8%	0.0%	16.4%	3.1%	0.8%	15.6K	-545.0K	-1.1K	2.33	81.11	N/A	N/A	6	14	85	19
2007-02-12	$84.05	$85.00	16.1%	4.6%	15.1%	0.0%	15.9%	3.8%	0.2%	20.9K	-408.3K	-1.4K	0.91	80.56	N/A	N/A	11	10	90	33
2007-02-13	$85.68	$85.00	14.9%	4.3%	15.7%	0.0%	15.8%	3.2%	0.5%	-457	-552.0K	-1.6K	0.00	82.82	N/A	N/A	3	0	101	43
2007-02-14	$85.07	$85.00	15.3%	4.4%	16.1%	0.0%	0.0%	4.4%	-0.7%	3.0K	-531.6K	-1.7K	0.00	82.06	N/A	N/A	2	0	104	43
2007-02-15	$85.70	$85.00	14.8%	4.3%	16.0%	0.0%	13.2%	3.1%	0.4%	2.0K	-587.3K	-1.7K	0.36	84.90	N/A	N/A	14	5	106	43
2007-02-16	$85.48	$85.00	16.4%	4.7%	16.0%	0.0%	16.3%	3.8%	0.8%	4.1K	-576.5K	-1.9K	0.24	82.89	N/A	N/A	46	11	120	48
2007-02-20	$86.14	$85.00	17.5%	5.0%	15.5%	0.0%	20.5%	4.4%	0.7%	24.8K	-662.1K	-2.6K	0.04	81.46	N/A	N/A	27	1	136	47
2007-02-21	$85.86	$85.00	17.5%	5.0%	15.7%	0.0%	18.4%	4.0%	0.4%	40.4K	-756.4K	-2.9K	1.33	82.24	N/A	N/A	12	16	163	48
2007-02-22	$85.40	$85.00	18.1%	5.2%	15.5%	0.0%	0.0%	4.1%	0.6%	43.8K	-715.0K	-3.3K	0.00	81.85	N/A	N/A	0	7	175	56
2007-02-23	$83.91	$85.00	18.6%	5.3%	16.9%	0.0%	18.4%	4.2%	0.3%	39.3K	-514.7K	-3.5K	0.93	79.07	N/A	N/A	15	14	175	69
2007-02-26	$83.49	$85.00	19.5%	5.6%	17.1%	0.0%	18.2%	7.8%	-1.9%	31.2K	-404.1K	-3.6K	6.56	103.70	N/A	N/A	9	59	179	83
2007-02-27	$80.90	$85.00	21.3%	6.1%	20.5%	0.0%	24.1%	9.9%	-1.5%	11.7K	13.4K	-4.2K	0.00	106.19	N/A	N/A	0	10	188	132
2007-02-28	$81.40	$85.00	20.7%	5.9%	20.5%	0.0%	13.5%	4.3%	-2.8%	12.7K	-110.8K	-4.3K	1.50	101.46	N/A	N/A	10	15	188	132