VNQ Options History — August 2011

In August 2011, VNQ traded between $48.88 and $60.12. ATM implied volatility averaged 36.6%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 13.4% (HV 20d: 50.0%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 6.26.

Notable Days

2011-08-04: Highest Volume — 14,075 contracts
2011-08-08: Largest IV spike — 54.9% change
2011-08-05: Highest IV Rank — 100.0%
2011-08-10: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.21	$48.88	$60.12	$60.12	$57.61
Max Pain	$56.13	$55.00	$60.00	$60.00	$55.00
ATM IV	36.6%	24.2%	58.9%	25.3%	29.4%
Expected Move	10.2%	6.9%	14.6%	7.3%	8.4%
HV 20d	50.0%	18.1%	62.2%	18.1%	61.3%
HV 60d	33.0%	18.2%	38.5%	18.2%	38.4%
IV Rank	59.1%	34.5%	100.0%	59.4%	34.5%
IV Percentile	96.4%	85.3%	100.0%	91.3%	92.5%
Term Structure	-3.2%	-16.2%	0.9%	-0.9%	0.9%
VWIV	35.4%	22.6%	50.1%	23.9%	28.9%
Skew 25d	10.0%	4.4%	13.7%	6.1%	8.2%
Skew 10d	20.1%	8.2%	26.7%	12.1%	16.4%
Call IV 25d	31.4%	21.9%	44.1%	22.3%	26.7%
Put IV 25d	41.4%	27.3%	55.0%	28.4%	35.0%
Bid-Ask Spread %	29.80	14.64	54.51	26.13	27.85
Gamma HHI	0.25	0.06	0.67	0.14	0.08
Net GEX	487.5K	-1.3M	2.6M	855.7K	516.3K
Net DEX	2.2M	-10.9M	31.5M	-7.9M	-6.7M
Net VEX	-65.4K	-119.2K	-35.7K	-51.7K	-45.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.26	0.13	126.83	0.18	0.13
Total Volume	1,449.478	132	14,075	522	132
Total OI	13,602.261	6,007	23,323	7,213	7,740

Daily Data (23 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
2011-08-01	$60.12	$60.00	25.3%	7.3%	18.1%	59.4%	23.9%	6.1%	-0.9%	855.7K	-7.9M	-51.7K	0.18	26.13	N/A	N/A	442	80	5,242	1,971
2011-08-02	$58.20	$60.00	25.4%	7.3%	20.9%	60.0%	22.6%	4.4%	0.1%	552.4K	-3.4M	-46.0K	0.35	25.39	N/A	N/A	296	105	5,561	2,007
2011-08-03	$57.72	$60.00	24.2%	6.9%	20.7%	53.8%	22.7%	5.7%	0.8%	428.0K	-2.0M	-42.4K	0.46	21.85	N/A	N/A	408	186	5,579	2,031
2011-08-04	$54.90	$59.00	32.0%	9.2%	25.6%	94.4%	30.5%	7.2%	-0.1%	151.5K	2.6M	-35.8K	1.97	18.35	N/A	N/A	4,746	9,329	5,527	2,107
2011-08-05	$53.53	$56.00	38.0%	9.9%	26.3%	100.0%	31.3%	9.4%	-3.4%	-1.3M	22.6M	-97.6K	0.72	47.92	N/A	N/A	162	116	5,677	11,258
2011-08-08	$48.88	$56.00	58.9%	13.5%	39.4%	100.0%	37.9%	13.7%	-11.0%	-721.9K	31.5M	-85.4K	0.60	54.38	N/A	N/A	875	528	10,164	11,318
2011-08-09	$53.33	$56.00	42.2%	11.8%	52.6%	62.9%	36.4%	11.8%	-11.1%	-126.6K	17.1M	-108.5K	0.50	54.51	N/A	N/A	726	361	10,363	11,447
2011-08-10	$52.10	$56.00	54.5%	14.6%	52.9%	90.3%	50.1%	10.8%	-16.2%	-248.9K	21.9M	-108.1K	1.28	49.90	N/A	N/A	399	512	10,828	11,688
2011-08-11	$54.80	$56.00	39.8%	11.4%	56.9%	57.5%	40.7%	10.8%	-6.3%	504.9K	6.5M	-119.2K	0.36	23.82	N/A	N/A	213	77	11,344	11,979
2011-08-12	$54.79	$55.00	37.8%	10.8%	56.6%	53.0%	35.5%	10.0%	-5.2%	617.9K	7.8M	-112.8K	0.15	22.25	N/A	N/A	181	28	11,163	12,030
2011-08-15	$56.79	$55.00	30.2%	8.6%	58.5%	36.1%	34.8%	7.7%	-0.4%	1.7M	-10.0M	-98.8K	0.71	31.73	N/A	N/A	109	77	11,120	12,032
2011-08-16	$56.62	$55.00	31.8%	9.1%	58.0%	39.7%	32.2%	8.6%	-0.6%	1.9M	-8.8M	-96.6K	1.16	29.84	N/A	N/A	77	89	11,094	12,053
2011-08-17	$56.78	$56.00	29.9%	8.6%	57.9%	35.7%	37.4%	8.0%	-0.5%	2.6M	-10.9M	-91.3K	126.83	30.40	N/A	N/A	71	9,005	11,148	12,066
2011-08-18	$54.25	$56.00	40.1%	11.5%	59.5%	58.3%	40.3%	12.3%	-3.3%	2.0M	-1.2M	-43.6K	0.55	25.10	N/A	N/A	185	101	11,157	3,105
2011-08-19	$53.21	$55.00	42.2%	12.1%	59.4%	63.0%	45.7%	13.2%	-5.4%	28.7K	4.8M	-35.7K	0.77	19.76	N/A	N/A	524	401	11,219	3,093
2011-08-22	$53.27	$55.00	42.4%	12.1%	59.5%	63.3%	41.2%	12.1%	-2.7%	114.0K	706.1K	-35.8K	0.94	17.97	N/A	N/A	257	242	3,864	2,143
2011-08-23	$54.58	$55.00	37.7%	10.8%	60.5%	52.8%	36.1%	13.7%	-1.6%	159.1K	-707.7K	-38.8K	0.96	14.64	N/A	N/A	142	136	3,985	2,307
2011-08-24	$55.30	$55.00	37.4%	10.7%	60.4%	52.1%	37.6%	12.7%	-1.3%	202.3K	-1.6M	-40.1K	0.47	23.67	N/A	N/A	412	194	4,074	2,400
2011-08-25	$54.27	$55.00	42.6%	12.2%	60.5%	63.7%	38.8%	13.4%	-3.3%	189.5K	-862.1K	-42.0K	0.62	27.41	N/A	N/A	172	107	4,420	2,537
2011-08-26	$54.93	$55.00	36.7%	10.5%	60.8%	50.6%	41.4%	12.6%	-1.2%	233.0K	-1.3M	-42.6K	2.45	29.60	N/A	N/A	119	291	4,524	2,644
2011-08-29	$56.81	$55.00	31.2%	8.9%	62.2%	38.5%	35.0%	10.5%	-0.5%	375.6K	-4.1M	-42.2K	0.96	36.11	N/A	N/A	161	154	4,605	2,745
2011-08-30	$56.97	$55.00	31.4%	9.0%	61.3%	38.9%	33.5%	7.6%	-0.3%	440.5K	-5.3M	-43.9K	0.81	26.81	N/A	N/A	227	183	4,720	2,773
2011-08-31	$57.61	$55.00	29.4%	8.4%	61.3%	34.5%	28.9%	8.2%	0.9%	516.3K	-6.7M	-45.5K	0.13	27.85	N/A	N/A	117	15	4,880	2,860