VNQ Options History — January 2015

In January 2015, VNQ traded between $82.24 and $88.65. ATM implied volatility averaged 12.5%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 0.9% (HV 20d: 13.4%). Max pain ranged from $77.00 to $86.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 3.90.

Notable Days

2015-01-14: Highest Volume — 7,756 contracts
2015-01-07: Largest IV drop — 17.1% change
2015-01-13: Highest IV Rank — 65.2%
2015-01-13: Largest Expected Move — 4.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$86.22	$82.24	$88.65	$82.24	$86.65
Max Pain	$83.00	$77.00	$86.00	$83.00	$86.00
ATM IV	12.5%	10.4%	14.7%	11.9%	14.2%
Expected Move	3.7%	3.0%	4.2%	3.8%	4.1%
HV 20d	13.4%	11.5%	14.4%	13.7%	13.9%
HV 60d	11.4%	11.0%	12.1%	12.0%	12.1%
IV Rank	46.6%	27.9%	65.2%	41.4%	61.1%
IV Percentile	71.9%	28.6%	95.2%	67.9%	92.1%
Term Structure	0.9%	-0.0%	1.6%	1.4%	0.8%
VWIV	14.2%	11.2%	17.6%	12.5%	14.0%
Skew 25d	3.3%	2.1%	4.3%	3.6%	2.7%
Skew 10d	7.7%	3.5%	13.1%	6.7%	4.8%
Call IV 25d	11.5%	9.9%	13.2%	10.7%	13.2%
Put IV 25d	14.9%	12.0%	16.8%	14.3%	15.9%
Bid-Ask Spread %	69.02	55.40	81.40	55.40	73.48
Gamma HHI	0.13	0.08	0.25	0.14	0.09
Net GEX	-846.5K	-3.7M	1.2M	-2.4M	87.6K
Net DEX	-39.9M	-59.7M	-6.1M	-6.1M	-38.6M
Net VEX	-220.9K	-253.4K	-177.4K	-241.5K	-253.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.90	0.45	24.75	2.45	1.89
Total Volume	4,613.65	641	7,756	4,849	5,007
Total OI	31,685.7	26,808	36,980	26,808	33,193

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
2015-01-02	$82.24	$83.00	11.9%	3.8%	13.7%	41.4%	12.5%	3.6%	1.4%	-2.4M	-6.1M	-241.5K	2.45	55.40	N/A	N/A	1,404	3,445	7,235	19,573
2015-01-05	$82.67	$77.00	12.3%	3.8%	13.7%	44.7%	13.5%	4.3%	1.2%	-3.7M	-7.9M	-251.2K	2.04	67.53	N/A	N/A	249	507	7,746	21,968
2015-01-06	$83.49	$77.00	14.0%	4.1%	13.7%	59.6%	14.2%	4.1%	0.6%	-2.2M	-19.1M	-237.4K	4.00	55.51	N/A	N/A	950	3,800	7,839	20,941
2015-01-07	$84.77	$77.00	11.6%	3.6%	14.4%	38.5%	12.8%	3.8%	1.0%	-2.2M	-29.0M	-216.2K	3.90	73.08	N/A	N/A	545	2,124	7,892	23,490
2015-01-08	$84.99	$80.00	11.7%	3.8%	14.4%	39.3%	14.6%	3.2%	0.9%	-2.2M	-29.7M	-213.9K	4.11	67.35	N/A	N/A	1,330	5,464	8,071	23,489
2015-01-09	$85.21	$82.00	11.8%	3.8%	14.3%	40.2%	15.2%	3.9%	0.4%	-2.6M	-34.8M	-177.4K	3.54	66.94	N/A	N/A	1,340	4,740	8,201	23,517
2015-01-12	$85.80	$82.00	12.9%	3.8%	14.4%	49.8%	14.9%	3.9%	0.7%	-2.5M	-35.1M	-204.8K	3.40	57.01	N/A	N/A	1,483	5,042	8,351	23,815
2015-01-13	$85.47	$82.00	14.7%	4.2%	14.2%	65.2%	16.9%	4.2%	-0.0%	-3.1M	-35.4M	-201.0K	2.57	65.44	N/A	N/A	1,690	4,351	8,668	24,343
2015-01-14	$86.29	$82.00	13.9%	4.0%	13.1%	58.4%	14.3%	4.0%	0.4%	-1.4M	-44.5M	-186.7K	0.78	64.26	N/A	N/A	4,350	3,406	9,103	24,723
2015-01-15	$86.49	$83.00	14.0%	4.0%	12.9%	59.4%	16.9%	3.9%	0.6%	88.8K	-59.7M	-244.9K	1.22	61.98	N/A	N/A	3,246	3,972	11,790	25,160
2015-01-16	$87.34	$83.00	13.1%	3.7%	11.5%	51.0%	13.8%	4.0%	0.8%	910.2K	-59.2M	-231.0K	0.45	72.87	N/A	N/A	606	271	11,058	25,922
2015-01-20	$86.65	$84.00	13.0%	3.7%	12.1%	50.7%	14.3%	3.4%	0.6%	1.2M	-43.7M	-226.2K	2.48	66.32	N/A	N/A	958	2,375	9,531	18,197
2015-01-21	$86.59	$86.00	12.2%	3.5%	12.1%	43.1%	13.4%	2.6%	1.3%	219.6K	-40.0M	-233.3K	3.71	69.07	N/A	N/A	136	505	9,827	20,138
2015-01-22	$88.09	$86.00	11.6%	3.3%	13.1%	38.2%	14.1%	2.5%	1.0%	610.8K	-50.1M	-219.4K	2.86	72.67	N/A	N/A	1,610	4,609	9,853	20,316
2015-01-23	$87.91	$86.00	10.9%	3.1%	13.2%	31.8%	12.5%	2.1%	1.3%	1.0M	-53.7M	-207.1K	4.67	76.12	N/A	N/A	1,117	5,216	10,116	20,360
2015-01-26	$88.62	$86.00	10.4%	3.0%	13.0%	27.9%	11.2%	2.3%	1.5%	-97.4K	-54.1M	-208.0K	2.87	81.40	N/A	N/A	168	482	10,119	21,978
2015-01-27	$88.65	$86.00	11.1%	3.2%	13.1%	33.6%	12.9%	2.4%	1.6%	-332.1K	-52.2M	-219.6K	24.75	81.38	N/A	N/A	89	2,203	10,206	22,473
2015-01-28	$88.15	$86.00	12.7%	3.6%	13.5%	48.2%	15.0%	2.4%	0.8%	611.2K	-52.8M	-211.3K	2.63	77.98	N/A	N/A	2,040	5,365	10,263	21,152
2015-01-29	$88.33	$86.00	12.8%	3.7%	13.5%	48.8%	17.6%	3.2%	0.6%	904.9K	-51.4M	-233.3K	3.61	74.51	N/A	N/A	1,319	4,759	10,773	22,324
2015-01-30	$86.65	$86.00	14.2%	4.1%	13.9%	61.1%	14.0%	2.7%	0.8%	87.6K	-38.6M	-253.4K	1.89	73.48	N/A	N/A	1,733	3,274	10,830	22,363