VNQ Options History — April 2014 In April 2014, VNQ traded between $70.47 and $72.94. ATM implied volatility averaged 10.9%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 0.3% (HV 20d: 10.6%). Max pain ranged from $68.00 to $71.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.88.
Notable Days 2014-04-17 : Highest Volume — 2,188 contracts2014-04-10 : Largest IV spike — 42.3% change2014-04-11 : Highest IV Rank — 34.6%2014-04-11 : Largest Expected Move — 3.9%Monthly Statistics Metric Avg Min Max Open Close Price $71.70 $70.47 $72.94 $70.94 $72.94 Max Pain $69.81 $68.00 $71.00 $71.00 $71.00 ATM IV 10.9% 8.6% 13.7% 10.7% 9.9% Expected Move 3.2% 2.8% 3.9% 3.1% 2.8% HV 20d 10.6% 8.7% 12.4% 12.1% 8.7% HV 60d 11.1% 9.9% 11.5% 11.5% 9.9% IV Rank 17.3% 2.9% 34.6% 16.0% 11.2% IV Percentile 15.2% 0.4% 46.4% 11.9% 3.6% Term Structure 0.7% -0.3% 1.1% 1.0% 0.8% VWIV 11.4% 9.3% 13.7% 10.3% 10.9% Skew 25d 2.9% 2.1% 3.5% 3.0% 2.2% Skew 10d 7.1% 2.6% 9.5% 8.9% 8.2% Call IV 25d 10.0% 8.7% 11.6% 9.6% 9.4% Put IV 25d 12.9% 11.6% 14.9% 12.6% 11.6% Bid-Ask Spread % 79.18 70.29 87.42 81.50 87.42 Gamma HHI 0.36 0.17 0.53 0.38 0.37 Net GEX 3.2M 1.5M 6.2M 3.0M 2.9M Net DEX -13.7M -27.5M -6.4M -7.6M -17.6M Net VEX -80.2K -85.4K -72.9K -84.6K -78.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.02 3.41 0.83 0.36 Total Volume 283.476 52 2,188 126 120 Total OI 10,302.571 8,425 11,304 10,579 9,687
Daily Data (21 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 2014-04-01 $70.94 $71.00 10.7% 3.1% 12.1% 16.0% 10.3% 3.0% 1.0% 3.0M -7.6M -84.6K 0.83 81.50 N/A N/A 69 57 6,538 4,041 2014-04-02 $71.00 $71.00 10.6% 3.0% 12.1% 15.8% 11.6% 3.3% 1.0% 3.1M -8.7M -84.5K 0.02 79.93 N/A N/A 221 5 6,559 3,987 2014-04-03 $70.85 $71.00 10.5% 3.0% 11.7% 14.8% 10.9% 3.2% 0.9% 3.3M -8.1M -85.4K 0.21 78.25 N/A N/A 43 9 6,777 3,989 2014-04-04 $71.09 $68.00 10.4% 3.3% 11.1% 14.3% 11.8% 2.1% 0.7% 3.4M -10.3M -83.3K 0.27 76.94 N/A N/A 162 44 6,817 3,998 2014-04-07 $71.32 $69.00 11.6% 3.4% 10.9% 22.0% 12.6% 2.7% 0.2% 3.5M -12.6M -83.1K 0.32 70.29 N/A N/A 179 58 6,934 4,025 2014-04-08 $71.76 $69.00 9.8% 3.1% 10.9% 10.7% 11.4% 3.1% 0.7% 3.5M -16.7M -80.3K 0.46 70.73 N/A N/A 144 66 7,052 4,016 2014-04-09 $71.58 $69.00 8.6% 3.2% 10.9% 2.9% 12.2% 2.4% 0.6% 4.0M -15.3M -82.5K 0.59 76.29 N/A N/A 96 57 7,130 4,045 2014-04-10 $70.90 $69.00 12.2% 3.5% 11.4% 25.4% 13.7% 2.9% 0.3% 4.2M -10.0M -82.2K 0.18 74.76 N/A N/A 87 16 7,194 4,044 2014-04-11 $70.47 $69.00 13.7% 3.9% 11.6% 34.6% 12.8% 3.3% -0.3% 4.1M -6.4M -82.7K 0.50 71.98 N/A N/A 60 30 7,248 4,056 2014-04-14 $70.89 $69.00 12.4% 3.5% 11.7% 26.5% 0.0% 2.8% -0.1% 6.2M -10.2M -75.5K 3.41 76.73 N/A N/A 22 75 7,255 3,873 2014-04-15 $71.73 $69.00 11.2% 3.2% 12.4% 19.3% 11.5% 3.3% 1.1% 4.1M -20.9M -77.2K 0.27 78.35 N/A N/A 260 70 7,261 3,750 2014-04-16 $72.19 $70.00 11.1% 3.2% 10.1% 19.0% 11.2% 3.4% 1.0% 1.5M -27.5M -73.9K 0.14 83.00 N/A N/A 111 16 7,400 3,534 2014-04-17 $71.77 $70.00 10.9% 3.1% 10.5% 17.3% 10.6% 2.9% 1.1% 3.8M -24.1M -74.8K 0.06 81.48 N/A N/A 2,061 127 7,422 3,534 2014-04-21 $72.18 $70.00 11.0% 3.2% 10.2% 18.2% 11.1% 3.3% 0.2% 2.4M -12.4M -72.9K 1.96 82.00 N/A N/A 23 45 5,674 2,751 2014-04-22 $72.34 $70.00 10.6% 3.0% 9.8% 15.6% 10.4% 3.5% 1.0% 2.5M -13.5M -73.7K 3.27 83.69 N/A N/A 161 527 5,694 2,779 2014-04-23 $72.05 $70.00 10.5% 3.0% 10.0% 14.9% 10.4% 2.4% 0.9% 2.2M -10.4M -79.8K 0.02 77.98 N/A N/A 293 6 5,839 3,288 2014-04-24 $72.35 $70.00 10.7% 3.1% 8.8% 16.4% 9.3% 3.1% 0.6% 2.5M -12.8M -82.2K 0.03 85.45 N/A N/A 216 6 6,067 3,292 2014-04-25 $72.07 $70.00 11.3% 3.2% 8.9% 20.1% 10.9% 2.6% 0.6% 2.4M -12.0M -81.6K 0.89 82.15 N/A N/A 36 32 6,267 3,298 2014-04-28 $72.63 $70.00 10.5% 3.0% 9.1% 14.9% 11.5% 2.6% 0.8% 2.6M -14.9M -83.8K 3.12 82.04 N/A N/A 67 209 6,282 3,328 2014-04-29 $72.68 $71.00 10.2% 2.9% 8.7% 13.3% 12.4% 2.4% 1.1% 2.8M -15.3M -82.0K 1.58 81.85 N/A N/A 26 41 6,329 3,300 2014-04-30 $72.94 $71.00 9.9% 2.8% 8.7% 11.2% 10.9% 2.2% 0.8% 2.9M -17.6M -78.3K 0.36 87.42 N/A N/A 88 32 6,351 3,336
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