VNQ Options History — February 2013 In February 2013, VNQ traded between $68.19 and $69.79. ATM implied volatility averaged 9.8%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.5% (HV 20d: 8.3%). Max pain ranged from $66.00 to $66.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 3.69.
Notable Days 2013-02-04 : Highest Volume — 671 contracts2013-02-25 : Largest IV spike — 53.5% change2013-02-25 : Highest IV Rank — 33.2%2013-02-25 : Largest Expected Move — 4.0%Monthly Statistics Metric Avg Min Max Open Close Price $68.97 $68.19 $69.79 $68.66 $69.09 Max Pain $66.00 $66.00 $66.00 $66.00 $66.00 ATM IV 9.8% 7.9% 13.8% 8.3% 10.3% Expected Move 2.9% 2.4% 4.0% 2.9% 3.0% HV 20d 8.3% 6.2% 12.0% 6.2% 11.5% HV 60d 9.0% 8.1% 9.7% 9.7% 9.6% IV Rank 11.1% 0.7% 33.2% 2.9% 14.0% IV Percentile 11.6% 0.4% 49.6% 1.6% 14.7% Term Structure 1.4% -1.0% 2.9% 1.7% 0.5% VWIV 9.8% 8.2% 12.4% 9.3% 8.8% Skew 25d 3.2% 2.0% 4.9% 3.5% 2.2% Skew 10d 6.2% 1.4% 10.9% 7.4% 1.4% Call IV 25d 8.6% 5.5% 11.5% 8.4% 8.7% Put IV 25d 11.8% 10.5% 15.0% 11.9% 10.9% Bid-Ask Spread % 60.45 28.18 85.48 80.61 28.18 Gamma HHI 0.29 0.22 0.41 0.29 0.29 Net GEX 2.6M 1.6M 3.5M 2.4M 3.4M Net DEX -20.2M -27.6M -13.4M -20.5M -18.1M Net VEX -58.0K -69.6K -51.9K -69.6K -54.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.69 0.05 32.55 15.78 0.65 Total Volume 190.211 7 671 537 99 Total OI 8,454.947 7,003 9,532 9,001 7,841
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 2013-02-01 $68.66 $66.00 8.3% 2.9% 6.2% 2.9% 9.3% 3.5% 1.7% 2.4M -20.5M -69.6K 15.78 80.61 N/A N/A 32 505 6,511 2,490 2013-02-04 $68.50 $66.00 9.6% 3.2% 6.3% 9.7% 10.0% 2.5% 0.8% 2.7M -19.7M -67.3K 32.55 83.92 N/A N/A 20 651 6,533 2,277 2013-02-05 $68.34 $66.00 8.8% 3.0% 6.4% 5.5% 0.0% 2.4% 1.9% 2.1M -18.0M -66.1K 4.38 83.70 N/A N/A 26 114 6,540 2,678 2013-02-06 $68.58 $66.00 7.9% 2.7% 6.3% 0.7% 9.2% 2.5% 2.7% 1.9M -19.4M -64.4K 1.55 81.19 N/A N/A 76 118 6,542 2,792 2013-02-07 $68.29 $66.00 10.7% 3.1% 6.6% 16.2% 9.7% 3.0% 1.7% 1.6M -17.6M -66.3K 8.38 82.56 N/A N/A 26 218 6,549 2,909 2013-02-08 $68.92 $66.00 9.3% 2.7% 7.2% 8.1% 10.8% 3.4% 2.2% 1.7M -22.4M -60.8K 0.50 85.30 N/A N/A 16 8 6,543 2,924 2013-02-11 $69.02 $66.00 9.6% 2.8% 7.2% 10.2% 8.9% 3.4% 1.9% 1.8M -23.8M -58.8K 0.05 72.04 N/A N/A 80 4 6,543 2,923 2013-02-12 $69.54 $66.00 8.8% 2.5% 7.5% 5.8% 10.0% 4.8% 2.4% 2.4M -27.4M -57.0K 0.09 85.48 N/A N/A 139 12 6,572 2,920 2013-02-13 $69.50 $66.00 10.0% 2.9% 7.4% 12.0% 10.0% 2.5% 1.9% 2.4M -27.6M -57.3K 0.17 75.37 N/A N/A 6 1 6,609 2,923 2013-02-14 $69.21 $66.00 9.2% 2.6% 7.6% 7.9% 8.2% 2.0% 2.5% 2.6M -24.3M -55.8K 0.43 77.08 N/A N/A 47 20 6,279 2,518 2013-02-15 $69.24 $66.00 9.3% 2.7% 7.6% 8.0% 9.0% 3.3% 2.9% 2.9M -24.1M -54.6K 0.48 81.93 N/A N/A 102 49 6,278 2,538 2013-02-19 $69.79 $66.00 8.2% 2.4% 7.9% 2.3% 8.9% 4.9% 1.2% 3.5M -20.8M -52.4K 0.49 40.08 N/A N/A 111 54 5,328 1,675 2013-02-20 $69.34 $66.00 10.5% 3.0% 8.2% 14.7% 9.5% 2.5% 0.5% 3.1M -19.5M -54.2K 0.25 30.69 N/A N/A 253 62 5,433 1,724 2013-02-21 $68.82 $66.00 11.0% 3.1% 8.7% 17.7% 11.7% 3.1% -0.2% 2.9M -15.7M -54.0K 1.16 29.70 N/A N/A 31 36 5,559 1,759 2013-02-22 $69.51 $66.00 9.0% 2.6% 9.4% 6.5% 8.6% 4.6% 1.6% 3.5M -19.0M -52.6K 0.30 28.91 N/A N/A 40 12 5,572 1,794 2013-02-25 $68.19 $66.00 13.8% 4.0% 11.5% 33.2% 12.4% 3.4% -1.0% 2.5M -13.4M -51.9K 1.19 34.04 N/A N/A 68 81 5,591 1,804 2013-02-26 $68.66 $66.00 11.4% 3.3% 11.8% 20.2% 11.5% 3.9% 0.2% 2.8M -14.9M -52.4K 1.50 38.26 N/A N/A 90 135 5,638 1,883 2013-02-27 $69.16 $66.00 10.4% 3.0% 12.0% 14.6% 10.2% 2.5% 0.8% 3.4M -17.9M -52.2K 0.16 29.41 N/A N/A 235 37 5,719 1,933 2013-02-28 $69.09 $66.00 10.3% 3.0% 11.5% 14.0% 8.8% 2.2% 0.5% 3.4M -18.1M -54.2K 0.65 28.18 N/A N/A 60 39 5,881 1,960
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