VNQ Options History — November 2008

In November 2008, VNQ traded between $24.21 and $42.40. ATM implied volatility averaged 86.0%, placing in the 62.7% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded below realized volatility by 32.1% (HV 20d: 118.1%). Max pain ranged from $35.00 to $55.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.76.

Notable Days

2008-11-26: Highest Volume — 83 contracts
2008-11-10: Largest IV spike — 51.6% change
2008-11-12: Highest IV Rank — 99.7%
2008-11-21: Largest Expected Move — 28.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.13	$24.21	$42.40	$40.15	$32.08
Max Pain	$45.95	$35.00	$55.00	$46.00	$35.00
ATM IV	86.0%	64.0%	127.7%	78.3%	85.2%
Expected Move	23.0%	18.4%	28.6%	22.4%	24.4%
HV 20d	118.1%	102.6%	140.1%	112.6%	128.5%
HV 60d	92.5%	80.3%	105.7%	80.3%	105.7%
IV Rank	62.7%	43.4%	99.7%	55.9%	62.1%
IV Percentile	95.1%	85.7%	99.6%	96.4%	93.7%
Term Structure	-6.2%	-31.5%	26.3%	-7.1%	1.0%
VWIV	79.2%	48.8%	104.0%	80.6%	76.3%
Skew 25d	12.1%	-27.7%	36.7%	-16.6%	28.2%
Skew 10d	27.8%	-11.4%	68.6%	1.8%	58.3%
Call IV 25d	76.6%	42.0%	107.6%	88.1%	61.9%
Put IV 25d	88.7%	69.0%	113.5%	71.6%	90.2%
Bid-Ask Spread %	108.31	92.76	127.73	122.52	92.76
Gamma HHI	0.18	0.05	0.53	0.07	0.25
Net GEX	4.0K	-2.5K	16.7K	14.0K	4
Net DEX	805.1K	473.9K	1.2M	941.4K	473.9K
Net VEX	-3.1K	-6.3K	-1.5K	-4.9K	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.76	0.00	10.00	3.73	0.00
Total Volume	37.789	0	83	52	15
Total OI	1,525.263	1,438	1,615	1,481	1,579

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
2008-11-03	$40.15	$46.00	78.3%	22.4%	112.6%	55.9%	0.0%	-16.6%	-7.1%	14.0K	941.4K	-4.9K	3.73	122.52	N/A	N/A	11	41	1,047	434
2008-11-04	$42.40	$46.00	73.6%	21.1%	111.1%	51.8%	80.6%	3.4%	-15.8%	16.7K	857.2K	-6.3K	1.67	127.73	N/A	N/A	12	20	1,057	475
2008-11-05	$38.23	$46.00	83.6%	24.0%	116.4%	60.7%	0.0%	3.6%	-23.6%	8.0K	1.2M	-4.6K	0.00	121.83	N/A	N/A	0	2	1,069	495
2008-11-06	$36.44	$46.00	84.8%	24.3%	114.2%	61.7%	74.2%	8.4%	-15.1%	7.4K	967.4K	-3.6K	0.31	118.13	N/A	N/A	35	11	1,069	415
2008-11-07	$38.75	$55.00	67.3%	19.2%	111.2%	46.3%	67.9%	33.2%	-8.7%	8.2K	1.0M	-3.9K	0.00	114.35	N/A	N/A	20	0	1,079	426
2008-11-10	$35.28	$55.00	102.1%	20.0%	111.7%	77.0%	80.0%	1.8%	-7.8%	6.0K	995.5K	-3.2K	0.14	115.56	N/A	N/A	14	2	1,099	426
2008-11-11	$34.79	$55.00	103.9%	20.5%	109.9%	78.6%	0.0%	2.1%	-12.7%	5.3K	1.0M	-2.9K	0.00	115.29	N/A	N/A	0	0	1,113	427
2008-11-12	$32.30	$52.00	127.7%	23.9%	102.6%	99.7%	94.0%	5.6%	-7.9%	4.9K	866.0K	-2.7K	10.00	113.23	N/A	N/A	2	20	1,113	393
2008-11-13	$35.85	$48.00	71.6%	20.5%	108.0%	50.0%	48.8%	13.7%	23.8%	8.7K	643.9K	-3.3K	0.12	108.32	N/A	N/A	42	5	1,115	349
2008-11-14	$31.81	$47.00	72.6%	20.8%	115.0%	50.9%	75.7%	20.4%	20.6%	3.9K	627.2K	-2.7K	0.92	102.90	N/A	N/A	13	12	1,150	353
2008-11-17	$30.66	$47.00	86.5%	24.8%	114.9%	63.2%	75.0%	-4.2%	-27.2%	2.4K	680.7K	-2.6K	0.00	99.91	N/A	N/A	0	1	1,162	364
2008-11-18	$30.37	$47.00	84.7%	24.3%	114.7%	61.6%	84.6%	26.9%	-9.8%	701	785.5K	-1.9K	2.86	103.32	N/A	N/A	21	60	1,162	365
2008-11-19	$26.29	$45.00	77.8%	22.3%	122.0%	55.5%	71.4%	3.4%	-6.0%	-501	690.5K	-1.8K	3.13	104.25	N/A	N/A	16	50	1,183	382
2008-11-20	$24.21	$45.00	87.0%	24.9%	124.1%	63.7%	92.1%	-27.7%	-17.1%	-2.2K	791.3K	-1.5K	0.48	99.15	N/A	N/A	31	15	1,171	420
2008-11-21	$25.99	$44.00	99.8%	28.6%	127.5%	74.9%	59.6%	23.3%	-31.5%	-2.4K	846.5K	-1.5K	0.65	102.83	N/A	N/A	17	11	1,190	425
2008-11-24	$30.41	$44.00	90.9%	26.1%	140.1%	67.1%	103.8%	36.4%	-4.5%	-2.5K	692.1K	-2.2K	1.18	100.22	N/A	N/A	33	39	1,048	390
2008-11-25	$30.89	$35.00	91.7%	26.3%	128.8%	67.8%	79.7%	30.7%	5.5%	-2.4K	616.0K	-2.8K	0.08	97.22	N/A	N/A	59	5	1,075	423
2008-11-26	$32.56	$35.00	64.0%	18.4%	130.4%	43.4%	104.0%	36.7%	26.3%	-105	581.2K	-3.0K	2.95	98.38	N/A	N/A	21	62	1,109	428
2008-11-28	$32.08	$35.00	85.2%	24.4%	128.5%	62.1%	76.3%	28.2%	1.0%	4	473.9K	-3.1K	0.00	92.76	N/A	N/A	15	0	1,129	450