VNQ Options History — March 2013

In March 2013, VNQ traded between $69.32 and $70.53. ATM implied volatility averaged 9.2%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded below realized volatility by 1.3% (HV 20d: 10.4%). Max pain ranged from $66.00 to $71.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.35.

Notable Days

2013-03-14: Highest Volume — 1,396 contracts
2013-03-12: Largest IV drop — 11.8% change
2013-03-01: Highest IV Rank — 13.5%
2013-03-04: Largest Expected Move — 3.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.97	$69.32	$70.53	$69.32	$70.53
Max Pain	$70.25	$66.00	$71.00	$66.00	$70.00
ATM IV	9.2%	8.2%	10.2%	10.2%	8.2%
Expected Move	2.8%	2.3%	3.1%	2.9%	2.3%
HV 20d	10.4%	7.0%	11.8%	11.3%	7.0%
HV 60d	9.4%	8.6%	9.7%	9.6%	8.6%
IV Rank	7.5%	2.0%	13.5%	13.5%	2.0%
IV Percentile	9.5%	1.6%	16.3%	14.3%	1.6%
Term Structure	1.4%	0.6%	2.4%	1.0%	1.0%
VWIV	10.1%	7.4%	17.3%	9.4%	9.1%
Skew 25d	3.1%	2.0%	4.6%	3.0%	3.7%
Skew 10d	6.9%	3.1%	10.5%	7.5%	3.1%
Call IV 25d	8.6%	6.2%	9.7%	8.5%	6.2%
Put IV 25d	11.7%	9.6%	13.7%	11.5%	9.9%
Bid-Ask Spread %	51.00	14.63	86.27	24.07	30.47
Gamma HHI	0.41	0.18	0.65	0.32	0.45
Net GEX	3.4M	987.0K	5.9M	3.6M	2.4M
Net DEX	-18.3M	-26.1M	-8.8M	-18.5M	-17.3M
Net VEX	-57.0K	-72.9K	-45.8K	-54.6K	-70.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.01	1.30	0.11	0.13
Total Volume	317.35	39	1,396	170	43
Total OI	7,127.65	4,529	8,254	7,885	6,605

Daily Data (20 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
2013-03-01	$69.32	$66.00	10.2%	2.9%	11.3%	13.5%	9.4%	3.0%	1.0%	3.6M	-18.5M	-54.6K	0.11	24.07	N/A	N/A	153	17	5,886	1,999
2013-03-04	$69.84	$71.00	9.3%	3.1%	11.4%	8.3%	10.9%	3.5%	0.9%	4.1M	-22.3M	-52.6K	0.62	78.06	N/A	N/A	55	34	5,916	2,016
2013-03-05	$70.39	$71.00	9.5%	3.1%	11.6%	9.3%	17.3%	3.5%	0.7%	4.2M	-26.1M	-49.3K	0.27	82.11	N/A	N/A	121	33	5,925	2,035
2013-03-06	$70.18	$71.00	10.1%	3.1%	11.6%	12.6%	11.6%	3.4%	0.6%	4.1M	-24.7M	-51.2K	0.40	76.67	N/A	N/A	108	43	5,953	2,066
2013-03-07	$69.85	$71.00	9.0%	3.0%	11.8%	6.8%	11.5%	4.0%	1.3%	4.4M	-22.6M	-51.1K	0.12	85.66	N/A	N/A	212	26	6,008	2,106
2013-03-08	$69.97	$71.00	9.0%	3.1%	11.6%	6.8%	0.0%	4.6%	1.0%	4.5M	-23.0M	-51.4K	0.11	82.71	N/A	N/A	45	5	6,075	2,128
2013-03-11	$70.03	$71.00	9.5%	3.1%	11.3%	9.6%	7.4%	3.3%	1.2%	4.9M	-23.3M	-49.9K	1.30	78.64	N/A	N/A	53	69	6,038	2,133
2013-03-12	$69.77	$71.00	8.4%	2.9%	11.4%	3.4%	0.0%	3.4%	1.8%	5.4M	-21.6M	-48.4K	0.08	82.24	N/A	N/A	244	20	6,059	2,195
2013-03-13	$69.84	$71.00	8.4%	2.7%	11.1%	3.6%	11.4%	3.5%	2.4%	5.9M	-20.7M	-48.0K	0.25	83.17	N/A	N/A	117	29	5,951	2,215
2013-03-14	$70.28	$71.00	9.4%	2.7%	11.3%	9.0%	10.7%	3.1%	2.1%	5.6M	-24.5M	-45.8K	0.01	86.27	N/A	N/A	1,377	19	5,917	2,200
2013-03-15	$70.44	$70.00	8.9%	2.6%	11.1%	6.3%	9.0%	3.1%	2.0%	5.1M	-26.1M	-46.3K	0.12	60.60	N/A	N/A	960	112	6,010	2,206
2013-03-18	$70.05	$70.00	9.3%	2.7%	11.4%	8.3%	9.6%	3.4%	1.3%	1.0M	-9.9M	-53.4K	0.82	24.73	N/A	N/A	99	81	3,338	1,191
2013-03-19	$69.71	$70.00	9.7%	2.8%	11.2%	10.2%	9.3%	3.3%	1.2%	987.0K	-8.8M	-55.2K	0.35	21.13	N/A	N/A	297	103	3,437	1,272
2013-03-20	$69.93	$70.00	9.2%	2.6%	11.0%	7.9%	8.8%	3.1%	1.3%	1.1M	-9.6M	-58.0K	0.01	21.00	N/A	N/A	1,376	19	3,727	1,372
2013-03-21	$69.72	$70.00	8.8%	2.5%	10.7%	5.5%	9.1%	2.0%	1.5%	2.0M	-11.9M	-68.4K	0.41	21.33	N/A	N/A	93	38	5,089	1,390
2013-03-22	$69.55	$70.00	9.1%	2.6%	10.1%	7.0%	9.8%	2.3%	1.8%	1.9M	-11.9M	-71.1K	0.36	18.34	N/A	N/A	119	43	5,044	1,425
2013-03-25	$69.56	$70.00	9.6%	2.8%	7.1%	10.1%	10.5%	2.2%	0.8%	2.0M	-12.8M	-71.1K	0.38	15.89	N/A	N/A	50	19	5,120	1,382
2013-03-26	$70.16	$70.00	9.0%	2.6%	7.3%	6.7%	8.3%	2.1%	1.5%	2.3M	-15.7M	-72.9K	0.15	14.63	N/A	N/A	34	5	5,167	1,394
2013-03-27	$70.29	$70.00	8.4%	2.4%	7.0%	3.2%	7.9%	2.1%	2.0%	2.4M	-15.8M	-71.7K	0.95	32.34	N/A	N/A	39	37	5,167	1,396
2013-03-28	$70.53	$70.00	8.2%	2.3%	7.0%	2.0%	9.1%	3.7%	1.0%	2.4M	-17.3M	-70.8K	0.13	30.47	N/A	N/A	38	5	5,174	1,431