VNQ Options History — February 2010

In February 2010, VNQ traded between $41.04 and $44.65. ATM implied volatility averaged 27.5%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.6% (HV 20d: 25.9%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.02.

Notable Days

2010-02-08: Highest Volume — 351 contracts
2010-02-08: Largest IV spike — 22.4% change
2010-02-08: Highest IV Rank — 12.4%
2010-02-08: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.01	$41.04	$44.65	$43.04	$44.63
Max Pain	$42.42	$42.00	$44.00	$44.00	$42.00
ATM IV	27.5%	22.6%	35.0%	28.3%	22.6%
Expected Move	7.8%	6.5%	9.6%	8.1%	6.5%
HV 20d	25.9%	21.8%	29.0%	21.8%	24.3%
HV 60d	24.8%	22.2%	26.7%	26.1%	22.2%
IV Rank	5.1%	0.3%	12.4%	5.8%	0.3%
IV Percentile	9.9%	0.8%	29.0%	10.3%	0.8%
Term Structure	2.0%	0.3%	3.6%	1.4%	0.9%
VWIV	27.0%	23.0%	34.5%	26.8%	23.1%
Skew 25d	6.0%	1.5%	10.9%	3.4%	8.3%
Skew 10d	13.9%	1.8%	27.6%	6.7%	4.1%
Call IV 25d	24.3%	17.0%	29.4%	26.0%	17.0%
Put IV 25d	30.3%	25.3%	37.4%	29.4%	25.3%
Bid-Ask Spread %	68.64	54.34	86.12	60.93	84.02
Gamma HHI	0.20	0.17	0.34	0.18	0.20
Net GEX	-133.2K	-383.0K	140.5K	-146.3K	140.5K
Net DEX	1.1M	-2.6M	4.4M	1.8M	-2.6M
Net VEX	-30.7K	-33.3K	-27.7K	-27.7K	-33.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.00	5.25	0.71	0.97
Total Volume	159.895	43	351	116	71
Total OI	5,015.053	4,348	5,740	4,348	5,130

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
2010-02-01	$43.04	$44.00	28.3%	8.1%	21.8%	5.8%	26.8%	3.4%	1.4%	-146.3K	1.8M	-27.7K	0.71	60.93	N/A	N/A	68	48	1,593	2,755
2010-02-02	$43.63	$44.00	25.5%	7.3%	22.4%	3.1%	27.6%	4.4%	2.8%	-143.7K	1.1M	-27.8K	0.45	71.19	N/A	N/A	194	88	1,614	2,771
2010-02-03	$42.92	$44.00	25.9%	7.4%	23.1%	3.6%	0.0%	1.5%	2.1%	-162.1K	1.7M	-28.9K	0.21	76.66	N/A	N/A	47	10	1,728	2,837
2010-02-04	$41.33	$44.00	28.6%	8.2%	26.4%	6.2%	27.9%	1.8%	1.1%	-153.6K	3.1M	-27.9K	5.25	73.12	N/A	N/A	20	105	1,745	2,840
2010-02-05	$42.09	$42.00	28.6%	8.3%	27.0%	6.2%	28.8%	8.4%	1.6%	-183.5K	3.4M	-29.1K	0.49	72.62	N/A	N/A	45	22	1,759	2,944
2010-02-08	$41.17	$42.00	35.0%	9.6%	27.8%	12.4%	34.5%	8.0%	1.3%	-145.3K	3.5M	-28.6K	1.83	54.34	N/A	N/A	124	227	1,761	2,952
2010-02-09	$41.04	$42.00	34.2%	9.3%	27.6%	11.6%	30.1%	9.2%	0.9%	-150.0K	4.1M	-30.2K	0.83	58.82	N/A	N/A	47	39	1,880	3,146
2010-02-10	$41.12	$42.00	34.4%	9.1%	27.3%	11.9%	32.1%	10.9%	0.7%	-157.2K	4.4M	-29.4K	0.40	62.76	N/A	N/A	63	25	1,918	3,162
2010-02-11	$41.51	$42.00	28.4%	8.1%	26.3%	6.0%	30.1%	6.1%	3.3%	-188.3K	4.4M	-28.8K	0.00	60.36	N/A	N/A	326	0	1,895	3,183
2010-02-12	$42.00	$42.00	28.5%	8.2%	26.9%	6.1%	27.8%	5.8%	3.1%	-184.7K	3.6M	-30.7K	2.09	68.48	N/A	N/A	90	188	2,121	3,183
2010-02-16	$43.19	$42.00	26.7%	7.7%	29.0%	4.3%	27.0%	5.4%	3.2%	-313.0K	1.6M	-32.1K	0.78	67.53	N/A	N/A	132	103	2,193	3,291
2010-02-17	$43.58	$42.00	25.8%	7.4%	28.2%	3.5%	23.6%	5.9%	3.5%	-347.6K	637.5K	-32.9K	0.37	66.60	N/A	N/A	76	28	2,256	3,331
2010-02-18	$44.23	$42.00	26.3%	7.5%	28.6%	3.9%	24.2%	8.3%	2.3%	-383.0K	-1.1M	-31.8K	0.55	79.52	N/A	N/A	88	48	2,315	3,341
2010-02-19	$44.26	$42.00	25.9%	7.4%	26.5%	3.5%	25.9%	5.2%	3.6%	-340.9K	-1.2M	-33.1K	0.68	68.36	N/A	N/A	87	59	2,373	3,367
2010-02-22	$44.37	$42.00	25.3%	7.3%	24.7%	3.0%	23.4%	4.5%	1.3%	51.5K	-1.5M	-31.7K	0.18	64.09	N/A	N/A	249	45	1,991	2,754
2010-02-23	$44.03	$42.00	26.1%	7.5%	24.8%	3.7%	24.5%	5.1%	0.3%	79.5K	-1.6M	-33.3K	1.43	86.12	N/A	N/A	56	80	2,211	2,776
2010-02-24	$44.48	$42.00	23.7%	6.8%	24.7%	1.4%	23.0%	4.6%	2.0%	87.6K	-1.9M	-32.8K	0.33	61.70	N/A	N/A	73	24	2,247	2,817
2010-02-25	$44.65	$42.00	23.5%	6.7%	24.6%	1.2%	24.8%	6.9%	2.1%	109.7K	-2.2M	-33.1K	1.87	66.91	N/A	N/A	15	28	2,303	2,803
2010-02-26	$44.63	$42.00	22.6%	6.5%	24.3%	0.3%	23.1%	8.3%	0.9%	140.5K	-2.6M	-33.3K	0.97	84.02	N/A	N/A	36	35	2,316	2,814