VNQ Options History — September 2012

In September 2012, VNQ traded between $64.79 and $68.76. ATM implied volatility averaged 11.7%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 3.2% (HV 20d: 8.5%). Max pain ranged from $64.00 to $67.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.51.

Notable Days

2012-09-26: Highest Volume — 1,406 contracts
2012-09-13: Largest IV spike — 22.7% change
2012-09-13: Highest IV Rank — 5.3%
2012-09-11: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.92	$64.79	$68.76	$67.20	$64.97
Max Pain	$65.79	$64.00	$67.00	$64.00	$66.00
ATM IV	11.7%	10.2%	13.0%	13.0%	12.0%
Expected Move	3.5%	3.0%	4.0%	3.7%	3.4%
HV 20d	8.5%	5.6%	12.1%	7.3%	12.1%
HV 60d	11.0%	10.0%	12.5%	12.5%	10.0%
IV Rank	3.1%	0.0%	5.3%	3.4%	4.0%
IV Percentile	3.4%	0.0%	8.7%	4.8%	5.2%
Term Structure	2.9%	1.1%	4.7%	2.8%	1.1%
VWIV	12.2%	10.9%	14.5%	13.3%	11.4%
Skew 25d	4.1%	2.1%	6.9%	6.4%	3.7%
Skew 10d	7.9%	1.7%	12.2%	9.0%	8.7%
Call IV 25d	10.6%	8.3%	11.9%	10.0%	9.8%
Put IV 25d	14.7%	12.6%	17.6%	16.4%	13.5%
Bid-Ask Spread %	78.06	66.18	87.04	66.18	76.40
Gamma HHI	0.32	0.17	0.52	0.28	0.26
Net GEX	3.6M	814.9K	6.0M	3.7M	1.8M
Net DEX	-19.7M	-36.7M	-2.5M	-21.9M	-4.7M
Net VEX	-78.6K	-91.4K	-68.5K	-91.4K	-79.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.01	2.57	0.50	0.07
Total Volume	358.789	50	1,406	172	58
Total OI	10,648.368	6,783	12,078	11,395	8,563

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
2012-09-04	$67.20	$64.00	13.0%	3.7%	7.3%	3.4%	13.3%	6.4%	2.8%	3.7M	-21.9M	-91.4K	0.50	66.18	N/A	N/A	115	57	8,184	3,211
2012-09-05	$67.08	$64.00	12.5%	3.6%	5.8%	2.5%	11.3%	4.9%	2.9%	3.9M	-21.5M	-89.6K	0.22	79.78	N/A	N/A	60	13	8,248	3,257
2012-09-06	$67.68	$64.00	11.0%	3.2%	5.8%	0.0%	11.5%	4.9%	1.9%	4.4M	-25.7M	-87.3K	0.09	73.90	N/A	N/A	242	21	8,268	3,268
2012-09-07	$67.74	$66.00	10.2%	3.6%	5.6%	0.0%	12.3%	4.9%	3.5%	4.5M	-26.9M	-86.8K	2.57	71.26	N/A	N/A	14	36	8,334	3,275
2012-09-10	$67.21	$66.00	12.0%	3.9%	6.5%	4.1%	14.5%	4.9%	2.7%	4.4M	-21.8M	-82.8K	0.15	71.17	N/A	N/A	106	16	8,337	3,280
2012-09-11	$67.41	$66.00	12.4%	4.0%	6.5%	5.1%	0.0%	5.6%	2.4%	4.8M	-23.2M	-81.8K	0.02	73.70	N/A	N/A	101	2	8,362	3,277
2012-09-12	$67.55	$66.00	10.2%	3.6%	6.4%	0.1%	0.0%	5.2%	3.2%	5.0M	-24.9M	-80.9K	0.79	73.22	N/A	N/A	28	22	8,374	3,277
2012-09-13	$68.38	$66.00	12.5%	3.6%	7.4%	5.3%	11.1%	6.9%	2.8%	4.7M	-32.8M	-78.3K	0.30	81.32	N/A	N/A	98	29	8,381	3,275
2012-09-14	$68.76	$66.00	11.7%	3.3%	7.2%	3.4%	11.6%	4.0%	3.1%	4.3M	-36.7M	-75.3K	0.04	80.91	N/A	N/A	517	20	8,413	3,280
2012-09-17	$68.56	$66.00	11.0%	3.2%	7.4%	1.9%	13.0%	4.1%	4.2%	4.6M	-35.2M	-78.0K	1.85	84.90	N/A	N/A	96	178	8,611	3,280
2012-09-18	$67.91	$66.00	12.1%	3.5%	8.2%	4.3%	12.8%	3.1%	3.9%	6.0M	-28.3M	-77.8K	0.02	82.85	N/A	N/A	625	13	8,622	3,456
2012-09-19	$67.53	$67.00	11.8%	3.4%	8.6%	3.6%	13.1%	2.6%	4.0%	5.8M	-24.3M	-74.7K	0.44	87.04	N/A	N/A	93	41	8,567	3,469
2012-09-20	$66.53	$67.00	12.4%	3.5%	10.3%	4.9%	12.2%	3.1%	3.0%	3.3M	-15.4M	-68.6K	0.34	84.15	N/A	N/A	484	165	8,564	3,508
2012-09-21	$66.54	$66.00	10.3%	3.0%	10.2%	0.4%	11.1%	2.9%	4.7%	3.3M	-15.1M	-68.5K	0.01	80.81	N/A	N/A	1,334	20	8,466	3,573
2012-09-24	$65.77	$66.00	11.3%	3.2%	11.0%	2.6%	11.6%	3.2%	2.5%	1.0M	-5.4M	-73.9K	0.52	80.48	N/A	N/A	259	134	4,545	2,238
2012-09-25	$64.80	$66.00	12.5%	3.6%	12.0%	5.2%	13.1%	2.1%	2.0%	830.3K	-3.0M	-69.5K	1.12	77.01	N/A	N/A	110	123	4,713	2,315
2012-09-26	$64.79	$66.00	12.5%	3.6%	11.9%	5.3%	11.8%	3.0%	1.2%	814.9K	-2.5M	-70.2K	0.11	78.92	N/A	N/A	1,271	135	4,744	2,381
2012-09-27	$65.07	$66.00	11.5%	3.3%	12.1%	2.9%	10.9%	2.9%	2.4%	1.9M	-5.3M	-78.9K	0.48	79.13	N/A	N/A	122	59	5,916	2,487
2012-09-28	$64.97	$66.00	12.0%	3.4%	12.1%	4.0%	11.4%	3.7%	1.1%	1.8M	-4.7M	-79.1K	0.07	76.40	N/A	N/A	54	4	6,019	2,544