VNQ Options History — October 2014 In October 2014, VNQ traded between $71.79 and $79.00. ATM implied volatility averaged 14.3%, placing in the 59.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.4% (HV 20d: 13.9%). Max pain ranged from $75.00 to $76.00. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 4.76.
Notable Days 2014-10-15 : Highest Volume — 9,546 contracts2014-10-15 : Largest IV spike — 16.5% change2014-10-13 : Highest IV Rank — 100.0%2014-10-15 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $75.03 $71.79 $79.00 $71.91 $79.00 Max Pain $75.74 $75.00 $76.00 $76.00 $76.00 ATM IV 14.3% 11.5% 18.6% 13.9% 11.5% Expected Move 4.5% 3.8% 5.4% 4.5% 3.8% HV 20d 13.9% 11.9% 17.0% 15.5% 12.6% HV 60d 12.9% 11.8% 13.5% 11.8% 13.3% IV Rank 59.2% 37.8% 100.0% 48.9% 37.8% IV Percentile 80.1% 54.8% 100.0% 82.9% 54.8% Term Structure 0.4% -1.0% 1.6% 1.3% 0.5% VWIV 14.9% 6.4% 18.3% 14.6% 15.1% Skew 25d 4.5% 3.0% 6.8% 3.8% 3.6% Skew 10d 10.9% 7.7% 19.2% 10.1% 8.8% Call IV 25d 12.9% 10.6% 17.0% 12.9% 10.8% Put IV 25d 17.4% 14.0% 23.0% 16.7% 14.4% Bid-Ask Spread % 32.39 21.97 40.87 40.87 27.38 Gamma HHI 0.13 0.09 0.21 0.19 0.09 Net GEX -4.5M -13.1M 1.2M -11.3M 1.1M Net DEX 22.5M -34.9M 84.2M 81.8M -34.9M Net VEX -284.6K -340.1K -192.6K -340.1K -192.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.76 0.09 28.50 2.30 4.83 Total Volume 3,245.696 42 9,546 221 5,991 Total OI 36,799.826 28,852 43,621 39,739 31,449
Daily Data (23 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 2014-10-01 $71.91 $76.00 13.9% 4.5% 15.5% 48.9% 14.6% 3.8% 1.3% -11.3M 81.8M -340.1K 2.30 40.87 N/A N/A 67 154 7,644 32,095 2014-10-02 $71.79 $75.00 13.9% 4.6% 15.5% 48.7% 11.8% 4.0% 1.6% -11.8M 84.2M -337.6K 16.30 39.35 N/A N/A 254 4,141 7,702 32,133 2014-10-03 $72.24 $75.00 13.8% 4.5% 15.0% 48.2% 13.1% 3.8% 1.3% -11.7M 77.8M -339.8K 28.50 35.99 N/A N/A 132 3,762 7,940 33,326 2014-10-06 $72.43 $75.00 14.0% 4.5% 15.2% 49.7% 14.6% 4.2% 0.4% -12.0M 70.3M -316.4K 5.43 37.89 N/A N/A 652 3,540 8,032 33,328 2014-10-07 $71.86 $76.00 14.5% 4.6% 15.2% 53.3% 14.2% 4.3% 0.4% -13.1M 83.9M -329.7K 23.13 40.10 N/A N/A 78 1,804 8,469 33,248 2014-10-08 $73.44 $76.00 13.5% 4.4% 17.0% 46.2% 16.5% 4.0% 0.3% -8.5M 45.9M -293.0K 5.74 32.77 N/A N/A 1,186 6,812 8,501 31,726 2014-10-09 $73.42 $76.00 14.4% 4.6% 17.0% 52.9% 14.3% 4.5% -0.0% -8.0M 46.7M -310.0K 0.61 35.47 N/A N/A 461 280 8,587 31,831 2014-10-10 $73.49 $76.00 16.3% 4.8% 13.0% 82.5% 15.6% 4.4% -0.3% -7.6M 44.1M -313.3K 1.31 35.98 N/A N/A 112 147 8,939 31,936 2014-10-13 $73.56 $75.00 18.6% 4.9% 12.8% 100.0% 16.5% 5.3% -0.3% -7.4M 43.8M -308.7K 0.09 34.07 N/A N/A 1,661 154 9,020 31,883 2014-10-14 $74.97 $75.00 16.0% 4.8% 14.1% 76.7% 17.2% 5.5% 0.0% -2.7M 16.6M -297.4K 2.16 23.35 N/A N/A 2,765 5,986 10,063 31,928 2014-10-15 $74.48 $75.00 18.6% 5.4% 14.3% 99.8% 18.3% 5.9% -1.0% -4.2M 23.1M -303.0K 4.27 31.23 N/A N/A 1,810 7,736 10,309 32,412 2014-10-16 $74.58 $76.00 18.0% 5.1% 14.0% 94.7% 17.1% 6.8% -0.3% -4.2M 23.8M -305.6K 1.14 38.09 N/A N/A 470 538 10,596 32,583 2014-10-17 $74.67 $76.00 16.0% 4.9% 13.9% 77.2% 16.4% 5.9% 0.0% -4.4M 21.9M -291.1K 0.63 33.60 N/A N/A 218 137 10,634 32,987 2014-10-20 $75.78 $76.00 14.3% 4.6% 14.4% 62.1% 17.0% 5.5% 0.5% -801.8K 6.8M -269.7K 0.97 28.79 N/A N/A 2,266 2,197 8,513 20,339 2014-10-21 $76.39 $76.00 13.3% 4.4% 14.1% 53.6% 15.9% 4.7% 0.6% -73.5K -2.8M -262.8K 1.03 29.19 N/A N/A 2,065 2,120 9,325 20,680 2014-10-22 $76.51 $76.00 13.0% 4.2% 13.1% 50.5% 15.7% 4.2% 0.3% 112.2K -5.4M -272.4K 1.75 22.83 N/A N/A 1,185 2,075 9,909 20,885 2014-10-23 $77.05 $76.00 12.9% 4.2% 12.8% 49.6% 15.7% 3.9% 0.6% 337.7K -12.8M -259.7K 1.89 30.59 N/A N/A 1,074 2,030 10,062 20,913 2014-10-24 $77.10 $76.00 12.8% 4.1% 12.3% 49.0% 15.9% 3.8% 1.0% 420.4K -13.2M -260.3K 1.86 21.97 N/A N/A 1,047 1,950 10,187 20,947 2014-10-27 $77.62 $76.00 12.4% 3.9% 12.3% 45.6% 10.1% 4.0% 0.9% 545.3K -17.8M -250.0K 0.89 34.49 N/A N/A 130 116 10,220 21,046 2014-10-28 $77.96 $76.00 11.9% 3.9% 11.9% 40.9% 6.4% 3.5% 0.6% 688.9K -21.3M -241.2K 0.24 34.34 N/A N/A 34 8 10,275 21,039 2014-10-29 $77.50 $76.00 13.1% 4.1% 12.3% 51.1% 14.7% 4.0% 0.6% 605.0K -17.0M -243.2K 2.10 30.33 N/A N/A 859 1,808 10,303 21,047 2014-10-30 $77.96 $76.00 12.0% 3.9% 12.2% 41.4% 15.4% 3.0% 0.7% 1.2M -27.0M -209.2K 2.24 26.22 N/A N/A 815 1,824 10,345 21,060 2014-10-31 $79.00 $76.00 11.5% 3.8% 12.6% 37.8% 15.1% 3.6% 0.5% 1.1M -34.9M -192.6K 4.83 27.38 N/A N/A 1,028 4,963 10,371 21,078
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