VNQ Options History — February 2014

In February 2014, VNQ traded between $66.25 and $70.73. ATM implied volatility averaged 11.6%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 1.0% (HV 20d: 12.5%). Max pain ranged from $67.00 to $69.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 3.37.

Notable Days

2014-02-11: Highest Volume — 1,990 contracts
2014-02-13: Largest IV spike — 24.8% change
2014-02-03: Highest IV Rank — 47.9%
2014-02-03: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.95	$66.25	$70.73	$66.25	$70.73
Max Pain	$68.37	$67.00	$69.00	$67.00	$69.00
ATM IV	11.6%	9.1%	15.7%	15.7%	10.7%
Expected Move	3.4%	3.1%	4.5%	4.5%	3.1%
HV 20d	12.5%	9.5%	14.0%	13.4%	9.5%
HV 60d	12.6%	11.9%	13.2%	12.9%	12.0%
IV Rank	21.4%	5.8%	47.9%	47.9%	15.8%
IV Percentile	29.6%	7.9%	64.7%	64.7%	20.2%
Term Structure	1.1%	-0.1%	2.2%	0.3%	0.2%
VWIV	12.2%	10.3%	15.3%	14.7%	11.6%
Skew 25d	3.5%	2.3%	4.8%	3.6%	2.3%
Skew 10d	8.9%	6.1%	13.7%	13.7%	8.9%
Call IV 25d	10.7%	9.7%	13.9%	13.9%	10.0%
Put IV 25d	14.2%	12.4%	17.5%	17.5%	12.4%
Bid-Ask Spread %	22.11	16.11	35.77	18.40	24.44
Gamma HHI	0.26	0.16	0.47	0.20	0.23
Net GEX	787.7K	-472.0K	3.4M	-472.0K	1.8M
Net DEX	-11.3M	-23.7M	11.0M	11.0M	-17.6M
Net VEX	-95.2K	-101.6K	-87.7K	-95.8K	-97.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.37	0.05	49.86	1.38	0.05
Total Volume	648.211	69	1,990	169	1,821
Total OI	14,702.789	11,986	17,221	13,401	13,727

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
2014-02-03	$66.25	$67.00	15.7%	4.5%	13.4%	47.9%	14.7%	3.6%	0.3%	-472.0K	11.0M	-95.8K	1.38	18.40	N/A	N/A	71	98	6,032	7,369
2014-02-04	$67.05	$67.00	14.3%	4.1%	13.9%	39.1%	15.3%	4.5%	0.4%	-195.4K	5.1M	-98.3K	0.17	22.09	N/A	N/A	59	10	6,050	7,433
2014-02-05	$66.91	$67.00	13.8%	4.0%	13.9%	36.2%	14.6%	4.8%	0.8%	-171.5K	6.6M	-97.2K	0.20	17.15	N/A	N/A	168	34	6,093	7,443
2014-02-06	$67.40	$67.00	13.7%	3.9%	13.9%	35.6%	13.4%	3.9%	0.6%	115.7K	591.7K	-96.0K	1.05	20.37	N/A	N/A	93	98	6,236	7,473
2014-02-07	$67.91	$68.00	10.4%	3.6%	14.0%	14.0%	12.3%	4.8%	2.1%	469.7K	-4.3M	-92.3K	0.08	18.40	N/A	N/A	1,390	113	6,301	7,507
2014-02-10	$68.55	$68.00	9.9%	3.3%	13.7%	10.9%	12.5%	4.2%	2.2%	859.5K	-11.5M	-93.8K	0.29	35.77	N/A	N/A	149	43	6,995	7,561
2014-02-11	$68.82	$68.00	9.8%	3.4%	13.3%	10.5%	11.0%	2.9%	1.7%	1.1M	-17.6M	-87.7K	0.08	23.15	N/A	N/A	1,839	151	7,084	7,572
2014-02-12	$68.86	$68.00	9.1%	3.2%	13.2%	5.8%	10.7%	3.6%	2.1%	3.4M	-23.7M	-101.6K	49.86	20.97	N/A	N/A	21	1,047	9,523	7,698
2014-02-13	$69.12	$69.00	11.3%	3.2%	13.0%	19.8%	12.0%	2.5%	1.7%	1.1M	-18.2M	-98.5K	0.09	23.82	N/A	N/A	645	55	8,034	8,695
2014-02-14	$69.39	$69.00	11.4%	3.3%	13.1%	20.2%	11.0%	3.1%	1.5%	878.1K	-19.1M	-98.2K	0.50	26.26	N/A	N/A	133	67	7,974	8,678
2014-02-18	$69.73	$69.00	10.9%	3.1%	12.8%	16.9%	12.9%	3.3%	2.1%	271.5K	-22.6M	-90.8K	3.15	26.17	N/A	N/A	85	268	8,027	8,701
2014-02-19	$69.69	$69.00	11.3%	3.2%	12.6%	19.6%	12.1%	3.0%	1.6%	319.3K	-22.5M	-91.3K	0.38	19.43	N/A	N/A	475	179	8,070	8,924
2014-02-20	$69.54	$69.00	11.2%	3.2%	12.6%	19.1%	13.4%	3.7%	1.7%	471.7K	-18.5M	-95.8K	0.36	20.16	N/A	N/A	528	190	8,007	8,927
2014-02-21	$69.71	$69.00	11.0%	3.2%	12.5%	18.0%	10.5%	3.6%	2.0%	338.5K	-18.0M	-97.8K	0.56	25.95	N/A	N/A	212	118	8,030	9,054
2014-02-24	$69.88	$69.00	10.8%	3.1%	11.3%	16.9%	10.3%	2.9%	0.4%	1.1M	-12.8M	-95.8K	4.01	21.23	N/A	N/A	153	614	6,850	5,136
2014-02-25	$70.11	$69.00	11.4%	3.3%	10.6%	20.4%	11.5%	3.0%	0.1%	1.2M	-10.7M	-94.1K	0.92	16.11	N/A	N/A	95	87	6,923	5,694
2014-02-26	$70.27	$69.00	11.4%	3.3%	10.4%	20.3%	10.3%	2.6%	-0.1%	1.2M	-11.2M	-93.7K	0.78	20.57	N/A	N/A	85	66	6,949	5,768
2014-02-27	$70.08	$69.00	11.4%	3.3%	10.2%	20.1%	11.6%	3.5%	-0.0%	1.2M	-9.4M	-92.9K	0.08	19.56	N/A	N/A	982	74	7,008	5,807
2014-02-28	$70.73	$69.00	10.7%	3.1%	9.5%	15.8%	11.6%	2.3%	0.2%	1.8M	-17.6M	-97.9K	0.05	24.44	N/A	N/A	1,732	89	7,875	5,852