VNQ Options History — December 2014

In December 2014, VNQ traded between $79.68 and $82.39. ATM implied volatility averaged 12.6%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.5% (HV 20d: 10.1%). Max pain ranged from $76.00 to $83.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 4.50.

Notable Days

2014-12-16: Highest Volume — 10,226 contracts
2014-12-19: Largest IV drop — 17.6% change
2014-12-15: Highest IV Rank — 76.8%
2014-12-16: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.28	$79.68	$82.39	$80.42	$81.00
Max Pain	$78.33	$76.00	$83.00	$76.00	$83.00
ATM IV	12.6%	9.8%	16.0%	12.4%	12.5%
Expected Move	4.0%	3.6%	4.7%	3.8%	3.9%
HV 20d	10.1%	8.1%	12.6%	9.5%	12.6%
HV 60d	11.8%	11.1%	13.5%	13.5%	11.9%
IV Rank	47.1%	22.8%	76.8%	45.7%	46.5%
IV Percentile	69.2%	22.6%	96.8%	72.2%	76.2%
Term Structure	1.2%	0.1%	3.7%	1.0%	1.0%
VWIV	15.0%	11.8%	17.6%	15.1%	12.3%
Skew 25d	3.4%	1.9%	4.9%	1.9%	3.4%
Skew 10d	7.3%	2.1%	9.7%	4.7%	8.0%
Call IV 25d	11.4%	9.3%	14.8%	11.7%	11.2%
Put IV 25d	14.9%	11.9%	19.7%	13.7%	14.6%
Bid-Ask Spread %	47.37	28.76	76.97	36.95	32.90
Gamma HHI	0.16	0.11	0.21	0.18	0.16
Net GEX	-2.7M	-7.9M	505.8K	-1.9M	-3.4M
Net DEX	-17.8M	-43.0M	19.1M	-21.0M	5.7M
Net VEX	-285.2K	-338.2K	-217.8K	-299.3K	-248.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.50	0.17	21.28	2.88	21.28
Total Volume	5,846.182	601	10,226	6,434	9,779
Total OI	40,967.091	23,232	52,634	42,647	27,071

Daily Data (22 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
2014-12-01	$80.42	$76.00	12.4%	3.8%	9.5%	45.7%	15.1%	1.9%	1.0%	-1.9M	-21.0M	-299.3K	2.88	36.95	N/A	N/A	1,660	4,774	11,989	30,658
2014-12-02	$80.86	$76.00	11.8%	3.8%	9.2%	40.1%	14.9%	2.7%	0.4%	-1.7M	-25.2M	-312.3K	2.21	34.90	N/A	N/A	1,697	3,747	12,394	31,422
2014-12-03	$80.76	$76.00	11.4%	3.7%	9.3%	36.5%	15.4%	2.0%	0.8%	-1.5M	-26.2M	-312.6K	1.66	43.61	N/A	N/A	2,169	3,596	12,577	31,420
2014-12-04	$81.00	$76.00	11.6%	3.7%	9.3%	38.5%	14.0%	2.6%	0.5%	-783.1K	-32.1M	-296.5K	1.92	44.24	N/A	N/A	1,435	2,760	12,919	31,436
2014-12-05	$80.46	$76.00	12.2%	3.8%	8.9%	43.7%	16.8%	4.0%	0.1%	505.8K	-26.8M	-329.4K	4.05	34.92	N/A	N/A	1,431	5,799	14,895	32,118
2014-12-08	$81.03	$76.00	13.0%	3.8%	9.2%	50.4%	17.0%	3.9%	0.1%	-1.1M	-29.2M	-307.8K	7.53	37.72	N/A	N/A	817	6,154	13,802	33,309
2014-12-09	$81.45	$76.00	13.6%	4.0%	8.8%	56.2%	15.1%	4.0%	0.7%	-2.1M	-34.6M	-305.6K	3.00	29.60	N/A	N/A	2,091	6,266	13,801	34,499
2014-12-10	$81.30	$77.00	14.5%	4.1%	8.7%	64.3%	15.7%	4.0%	0.7%	-3.0M	-28.7M	-330.1K	3.74	35.62	N/A	N/A	1,900	7,108	13,988	35,840
2014-12-11	$81.46	$77.00	13.9%	4.2%	8.1%	58.4%	16.0%	4.3%	1.0%	-4.1M	-26.0M	-321.6K	6.79	31.43	N/A	N/A	873	5,928	13,006	35,917
2014-12-12	$80.91	$77.00	15.5%	4.6%	8.5%	72.8%	17.1%	4.2%	0.9%	-4.9M	-13.8M	-338.2K	8.61	28.76	N/A	N/A	708	6,097	13,032	35,987
2014-12-15	$79.88	$77.00	16.0%	4.7%	9.3%	76.8%	17.3%	4.9%	0.6%	-7.3M	11.0M	-326.0K	4.30	35.43	N/A	N/A	1,612	6,932	13,012	36,310
2014-12-16	$79.68	$77.00	15.6%	4.7%	9.3%	73.6%	17.6%	4.8%	1.4%	-7.9M	19.1M	-320.6K	5.75	32.40	N/A	N/A	1,516	8,710	13,681	37,055
2014-12-17	$81.40	$77.00	14.2%	4.5%	11.8%	61.3%	16.9%	4.9%	1.3%	-3.9M	-32.5M	-278.5K	9.84	51.68	N/A	N/A	887	8,725	13,381	39,253
2014-12-18	$81.93	$77.00	11.9%	4.2%	11.3%	41.3%	15.8%	4.4%	2.5%	-3.2M	-42.0M	-258.7K	6.62	52.69	N/A	N/A	982	6,496	13,003	39,360
2014-12-19	$82.03	$77.00	9.8%	3.8%	11.3%	22.8%	13.4%	2.3%	3.7%	-2.4M	-43.0M	-240.8K	0.17	57.89	N/A	N/A	1,169	197	12,278	39,343
2014-12-22	$82.06	$0.00	10.7%	3.7%	11.2%	30.3%	11.9%	3.7%	2.2%	-764.9K	-9.2M	-232.2K	1.03	76.97	N/A	N/A	1,484	1,532	6,187	17,045
2014-12-23	$82.02	$82.00	10.8%	3.6%	11.2%	31.0%	13.7%	3.0%	2.0%	-468.0K	-12.7M	-217.8K	2.47	61.73	N/A	N/A	1,243	3,071	6,679	17,222
2014-12-24	$81.71	$83.00	10.8%	3.6%	11.4%	31.0%	13.6%	1.9%	1.8%	-2.4M	-3.5M	-260.2K	1.00	69.11	N/A	N/A	1,040	1,040	6,873	19,159
2014-12-26	$81.97	$83.00	11.5%	3.7%	10.9%	37.4%	13.9%	3.0%	1.6%	-2.2M	-6.0M	-247.2K	0.98	73.60	N/A	N/A	1,038	1,022	6,893	19,312
2014-12-29	$82.37	$83.00	11.7%	3.7%	11.0%	39.3%	14.1%	2.9%	1.3%	-2.1M	-6.2M	-253.1K	1.35	68.90	N/A	N/A	1,077	1,453	6,913	19,404
2014-12-30	$82.39	$83.00	11.7%	3.7%	10.9%	38.7%	11.8%	2.5%	1.3%	-2.3M	-8.3M	-237.1K	1.92	71.20	N/A	N/A	206	395	6,931	19,902
2014-12-31	$81.00	$83.00	12.5%	3.9%	12.6%	46.5%	12.3%	3.4%	1.0%	-3.4M	5.7M	-248.3K	21.28	32.90	N/A	N/A	439	9,340	7,016	20,055