VNQ Options History — February 2011

In February 2011, VNQ traded between $57.05 and $59.86. ATM implied volatility averaged 16.9%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.3% (HV 20d: 12.6%). Max pain ranged from $53.00 to $56.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.36.

Notable Days

2011-02-14: Highest Volume — 1,754 contracts
2011-02-22: Largest IV spike — 21.6% change
2011-02-24: Highest IV Rank — 14.8%
2011-02-24: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.06	$57.05	$59.86	$57.31	$59.86
Max Pain	$54.26	$53.00	$56.00	$55.00	$55.00
ATM IV	16.9%	14.0%	20.2%	17.7%	15.6%
Expected Move	5.0%	4.5%	5.8%	5.1%	4.5%
HV 20d	12.6%	11.4%	14.8%	14.8%	13.9%
HV 60d	14.2%	12.3%	17.7%	17.7%	13.8%
IV Rank	5.8%	0.0%	14.8%	4.5%	4.0%
IV Percentile	4.7%	0.0%	22.6%	2.8%	1.6%
Term Structure	1.5%	0.1%	2.8%	1.7%	1.6%
VWIV	18.2%	15.8%	24.4%	18.7%	20.1%
Skew 25d	4.3%	3.1%	5.7%	4.7%	5.7%
Skew 10d	11.4%	3.7%	16.2%	9.2%	13.0%
Call IV 25d	15.7%	13.6%	18.3%	15.3%	13.6%
Put IV 25d	20.0%	17.9%	22.6%	20.0%	19.2%
Bid-Ask Spread %	46.99	30.99	58.76	37.90	30.99
Gamma HHI	0.22	0.18	0.31	0.20	0.31
Net GEX	1.7M	1.1M	2.0M	1.5M	1.7M
Net DEX	-13.5M	-17.6M	-7.9M	-11.8M	-17.6M
Net VEX	-52.6K	-63.6K	-44.4K	-63.6K	-44.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.36	0.02	9.81	0.16	0.13
Total Volume	427.579	27	1,754	644	217
Total OI	9,432.053	8,148	10,073	10,009	8,595

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
2011-02-01	$57.31	$55.00	17.7%	5.1%	14.8%	4.5%	18.7%	4.7%	1.7%	1.5M	-11.8M	-63.6K	0.16	37.90	N/A	N/A	556	88	6,358	3,651
2011-02-02	$57.31	$55.00	17.6%	5.0%	12.8%	4.2%	17.8%	4.0%	0.8%	1.5M	-11.2M	-61.1K	0.56	40.47	N/A	N/A	133	74	6,195	3,739
2011-02-03	$57.47	$56.00	17.2%	4.9%	12.8%	3.3%	0.0%	4.4%	1.6%	1.6M	-12.0M	-62.5K	0.43	41.43	N/A	N/A	157	67	6,273	3,792
2011-02-04	$57.05	$53.00	17.3%	5.5%	12.6%	3.5%	17.3%	4.8%	1.1%	1.4M	-9.8M	-60.6K	0.11	48.94	N/A	N/A	502	56	6,252	3,821
2011-02-07	$57.61	$54.00	15.3%	4.9%	12.8%	0.0%	17.8%	4.7%	1.8%	1.6M	-12.1M	-57.1K	0.53	48.43	N/A	N/A	104	55	5,870	3,867
2011-02-08	$57.86	$54.00	14.5%	4.8%	12.8%	0.0%	17.6%	4.1%	2.1%	1.7M	-13.1M	-55.5K	0.07	52.11	N/A	N/A	92	6	5,902	3,890
2011-02-09	$57.90	$54.00	14.0%	4.7%	12.7%	0.0%	17.3%	4.1%	2.6%	1.8M	-13.7M	-54.0K	0.23	53.83	N/A	N/A	56	13	5,950	3,893
2011-02-10	$58.14	$54.00	16.9%	4.8%	12.7%	7.0%	17.3%	4.4%	2.0%	1.9M	-14.9M	-52.6K	1.13	53.90	N/A	N/A	109	123	5,961	3,893
2011-02-11	$58.52	$54.00	15.8%	4.5%	12.8%	4.4%	17.3%	4.8%	2.1%	2.0M	-16.9M	-51.9K	0.36	54.37	N/A	N/A	39	14	6,037	3,995
2011-02-14	$58.53	$54.00	16.2%	4.7%	12.8%	5.4%	15.8%	4.8%	2.0%	2.0M	-17.5M	-49.5K	0.02	51.87	N/A	N/A	1,715	39	6,061	3,996
2011-02-15	$58.31	$54.00	17.2%	4.9%	12.7%	7.7%	17.2%	3.7%	1.6%	1.9M	-15.6M	-45.8K	6.04	58.76	N/A	N/A	135	815	5,556	4,018
2011-02-16	$58.44	$54.00	17.1%	4.9%	11.4%	7.5%	15.8%	4.3%	1.6%	1.9M	-16.4M	-47.5K	2.59	42.16	N/A	N/A	220	570	5,591	3,895
2011-02-17	$58.50	$54.00	16.9%	4.9%	11.4%	7.1%	24.4%	3.6%	2.1%	1.9M	-16.8M	-48.5K	9.81	38.68	N/A	N/A	86	844	5,659	3,757
2011-02-18	$58.73	$54.00	15.5%	4.5%	11.4%	3.7%	19.6%	3.1%	2.8%	1.8M	-17.1M	-48.2K	0.37	38.76	N/A	N/A	392	144	5,637	3,621
2011-02-22	$58.22	$54.00	18.9%	5.4%	12.0%	11.7%	17.6%	3.5%	0.4%	1.3M	-11.4M	-48.8K	0.39	38.79	N/A	N/A	75	29	4,887	3,261
2011-02-23	$57.73	$54.00	19.1%	5.5%	12.1%	12.3%	19.0%	4.3%	0.6%	1.2M	-9.6M	-49.1K	1.51	58.70	N/A	N/A	132	199	4,936	3,290
2011-02-24	$57.29	$54.00	20.2%	5.8%	12.5%	14.8%	20.6%	5.1%	0.1%	1.1M	-7.9M	-48.8K	1.32	58.03	N/A	N/A	104	137	5,026	3,487
2011-02-25	$58.41	$55.00	17.9%	5.1%	13.1%	9.3%	17.0%	4.1%	0.6%	1.6M	-11.8M	-49.1K	0.04	44.72	N/A	N/A	26	1	5,050	3,547
2011-02-28	$59.86	$55.00	15.6%	4.5%	13.9%	4.0%	20.1%	5.7%	1.6%	1.7M	-17.6M	-44.4K	0.13	30.99	N/A	N/A	192	25	5,047	3,548