VNQ Options History — January 2010

In January 2010, VNQ traded between $42.27 and $45.50. ATM implied volatility averaged 26.8%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 8.4% (HV 20d: 18.5%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 5.32.

Notable Days

2010-01-12: Highest Volume — 634 contracts
2010-01-22: Largest IV spike — 19.7% change
2010-01-22: Highest IV Rank — 9.3%
2010-01-22: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.01	$42.27	$45.50	$44.55	$42.27
Max Pain	$44.74	$44.00	$45.00	$45.00	$44.00
ATM IV	26.8%	23.1%	31.8%	26.7%	29.8%
Expected Move	8.0%	6.8%	9.1%	8.5%	8.6%
HV 20d	18.5%	15.6%	21.6%	20.3%	21.1%
HV 60d	28.6%	26.0%	30.2%	30.2%	26.0%
IV Rank	4.4%	0.8%	9.3%	4.3%	7.4%
IV Percentile	5.4%	1.6%	14.7%	3.2%	13.1%
Term Structure	1.6%	-4.2%	5.6%	2.5%	-0.5%
VWIV	27.7%	22.7%	31.1%	30.4%	29.2%
Skew 25d	4.2%	1.4%	11.1%	4.1%	6.5%
Skew 10d	5.0%	1.5%	13.9%	4.1%	4.3%
Call IV 25d	24.5%	16.5%	28.6%	28.6%	22.8%
Put IV 25d	28.7%	24.8%	32.7%	32.7%	29.3%
Bid-Ask Spread %	42.11	16.17	73.82	28.02	73.07
Gamma HHI	0.20	0.17	0.25	0.21	0.18
Net GEX	-68.1K	-147.3K	30.1K	30.1K	-131.3K
Net DEX	167.6K	-1.4M	2.2M	-1.3M	2.2M
Net VEX	-20.3K	-26.6K	-12.8K	-12.8K	-26.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.32	0.22	47.00	1.45	0.98
Total Volume	184.474	13	634	147	206
Total OI	3,312.053	2,191	4,142	2,191	4,142

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
2010-01-04	$44.55	$45.00	26.7%	8.5%	20.3%	4.3%	30.4%	4.1%	2.5%	30.1K	-1.3M	-12.8K	1.45	28.02	N/A	N/A	60	87	1,056	1,135
2010-01-05	$44.50	$45.00	27.5%	8.8%	17.5%	5.1%	28.6%	3.8%	1.4%	8.8K	-1.1M	-13.4K	0.98	27.34	N/A	N/A	87	85	1,111	1,215
2010-01-06	$44.42	$45.00	28.2%	8.9%	15.6%	5.7%	31.1%	5.0%	-0.8%	15.4K	-1.1M	-14.0K	1.00	16.17	N/A	N/A	26	26	1,157	1,271
2010-01-07	$44.90	$45.00	27.2%	8.4%	15.8%	4.8%	30.4%	5.8%	1.5%	26.0K	-1.4M	-13.8K	0.94	26.66	N/A	N/A	50	47	1,182	1,293
2010-01-08	$44.57	$45.00	26.2%	7.9%	16.0%	3.8%	27.3%	2.1%	1.6%	20.9K	-1.2M	-14.4K	12.25	29.51	N/A	N/A	20	245	1,215	1,339
2010-01-11	$44.83	$45.00	26.1%	7.9%	16.0%	3.7%	27.0%	1.9%	2.1%	-24.6K	-997.8K	-15.0K	5.14	22.79	N/A	N/A	36	185	1,210	1,569
2010-01-12	$44.08	$45.00	27.0%	7.9%	16.5%	4.6%	27.7%	1.4%	5.6%	-56.2K	-94.3K	-16.5K	10.12	28.22	N/A	N/A	57	577	1,229	1,744
2010-01-13	$44.97	$45.00	23.1%	7.6%	16.8%	0.8%	25.9%	4.5%	1.4%	-89.7K	-252.5K	-21.1K	0.67	31.70	N/A	N/A	75	50	1,258	2,290
2010-01-14	$44.93	$45.00	26.2%	7.5%	16.3%	3.8%	26.3%	4.6%	1.9%	-124.9K	-347.2K	-22.2K	0.85	36.85	N/A	N/A	59	50	1,315	2,340
2010-01-15	$44.59	$45.00	25.0%	7.2%	16.4%	2.6%	27.4%	3.3%	4.1%	-121.7K	-39.0K	-22.1K	2.10	26.66	N/A	N/A	29	61	1,341	2,345
2010-01-19	$45.50	$45.00	23.6%	6.8%	17.6%	1.3%	22.7%	2.9%	3.3%	-59.4K	-838.5K	-19.7K	0.80	36.47	N/A	N/A	162	129	1,089	2,124
2010-01-20	$44.99	$45.00	23.7%	6.8%	18.1%	1.4%	24.1%	2.7%	2.9%	-54.5K	-502.6K	-21.0K	47.00	40.38	N/A	N/A	2	94	1,211	2,154
2010-01-21	$43.70	$45.00	26.5%	7.6%	20.3%	4.2%	27.4%	4.6%	2.3%	-59.1K	370.7K	-21.6K	2.71	50.99	N/A	N/A	149	404	1,212	2,163
2010-01-22	$42.60	$45.00	31.8%	9.1%	21.6%	9.3%	30.7%	4.8%	-4.2%	-109.3K	1.7M	-26.1K	0.84	73.82	N/A	N/A	136	114	1,331	2,547
2010-01-25	$42.90	$44.00	28.0%	8.0%	21.2%	5.6%	27.9%	3.5%	0.8%	-138.0K	1.9M	-26.6K	0.72	66.24	N/A	N/A	29	21	1,403	2,630
2010-01-26	$42.50	$44.00	28.3%	8.1%	21.2%	5.8%	27.3%	3.5%	1.4%	-134.0K	2.0M	-26.4K	0.27	64.63	N/A	N/A	30	8	1,426	2,650
2010-01-27	$42.88	$44.00	27.7%	7.9%	21.5%	5.3%	26.9%	11.1%	0.6%	-145.0K	2.0M	-26.3K	0.22	61.14	N/A	N/A	79	17	1,439	2,652
2010-01-28	$42.51	$44.00	27.1%	7.8%	21.1%	4.7%	0.0%	2.8%	2.1%	-147.3K	2.2M	-26.5K	12.00	59.33	N/A	N/A	1	12	1,488	2,653
2010-01-29	$42.27	$44.00	29.8%	8.6%	21.1%	7.4%	29.2%	6.5%	-0.5%	-131.3K	2.2M	-26.3K	0.98	73.07	N/A	N/A	104	102	1,489	2,653