VNQ Options History — March 2015 In March 2015, VNQ traded between $80.34 and $87.03. ATM implied volatility averaged 15.5%, placing in the 59.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 5.0% (HV 20d: 20.5%). Max pain ranged from $81.00 to $85.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 7.00.
Notable Days 2015-03-16 : Highest Volume — 122,267 contracts2015-03-06 : Largest IV spike — 25.6% change2015-03-06 : Highest IV Rank — 100.0%2015-03-10 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $83.61 $80.34 $87.03 $83.87 $84.36 Max Pain $84.00 $81.00 $85.00 $81.00 $85.00 ATM IV 15.5% 10.2% 22.1% 14.7% 15.6% Expected Move 4.3% 2.9% 5.1% 4.2% 4.5% HV 20d 20.5% 18.5% 22.5% 18.7% 22.5% HV 60d 17.3% 15.4% 18.7% 15.4% 18.4% IV Rank 59.6% 19.5% 100.0% 65.7% 55.7% IV Percentile 85.0% 24.2% 100.0% 90.9% 91.3% Term Structure 0.4% -1.7% 3.1% -1.3% -0.2% VWIV 15.9% 12.0% 21.1% 16.4% 15.5% Skew 25d 4.0% 2.3% 5.6% 3.2% 4.1% Skew 10d 7.5% 4.0% 11.0% 6.1% 4.9% Call IV 25d 13.5% 9.2% 16.0% 13.5% 13.4% Put IV 25d 17.5% 13.7% 21.2% 16.7% 17.5% Bid-Ask Spread % 60.95 29.96 83.65 55.09 80.27 Gamma HHI 0.21 0.13 0.39 0.13 0.26 Net GEX -12.5M -44.2M 2.1M -204.0K -16.8M Net DEX 27.3M -40.9M 179.3M -19.2M 26.6M Net VEX -450.9K -1.1M -230.4K -230.4K -498.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 7.00 0.16 116.45 1.30 3.88 Total Volume 9,537.409 677 122,267 5,198 10,083 Total OI 111,945.545 35,391 186,770 35,391 166,525
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 2015-03-02 $83.87 $81.00 14.7% 4.2% 18.7% 65.7% 16.4% 3.2% -1.3% -204.0K -19.2M -230.4K 1.30 55.09 N/A N/A 2,263 2,935 12,664 22,727 2015-03-03 $83.75 $81.00 15.0% 4.3% 18.7% 68.0% 16.8% 3.4% -1.1% -270.1K -16.2M -242.7K 1.17 57.04 N/A N/A 2,236 2,627 12,816 22,995 2015-03-04 $82.92 $82.00 16.0% 4.6% 18.5% 76.8% 17.4% 3.6% -1.7% -912.5K -9.0M -240.5K 1.01 49.22 N/A N/A 2,065 2,081 12,890 23,462 2015-03-05 $83.25 $85.00 16.4% 4.3% 18.6% 80.8% 16.2% 3.3% 0.5% -767.7K -13.0M -243.0K 1.77 66.53 N/A N/A 2,177 3,852 13,017 23,541 2015-03-06 $80.34 $85.00 20.6% 5.0% 21.3% 100.0% 18.6% 5.1% -0.1% -2.4M 26.2M -247.3K 7.83 66.48 N/A N/A 2,912 22,799 13,256 25,432 2015-03-09 $81.01 $85.00 21.2% 4.8% 19.4% 100.0% 18.4% 4.6% 0.2% -11.4M 64.1M -411.7K 6.99 29.96 N/A N/A 355 2,481 14,005 45,746 2015-03-10 $80.95 $84.00 22.1% 5.1% 19.4% 100.0% 18.0% 4.7% -0.4% -11.2M 66.7M -439.5K 0.90 32.95 N/A N/A 1,236 1,108 14,166 47,774 2015-03-11 $81.02 $84.00 17.7% 5.1% 19.4% 70.1% 17.6% 5.6% -0.2% -10.6M 70.0M -492.4K 1.17 38.04 N/A N/A 402 472 15,239 48,783 2015-03-12 $82.43 $84.00 15.9% 4.6% 20.6% 58.1% 17.5% 5.3% 1.0% -10.1M 39.0M -477.9K 0.90 34.69 N/A N/A 392 354 15,543 49,090 2015-03-13 $82.38 $84.00 16.0% 4.6% 20.0% 58.9% 14.8% 4.3% 0.6% -12.0M 31.8M -421.2K 3.28 45.56 N/A N/A 171 561 15,319 49,268 2015-03-16 $83.23 $84.00 15.5% 4.4% 20.4% 55.4% 21.1% 5.4% 1.0% -8.9M 19.3M -441.8K 116.45 61.94 N/A N/A 1,041 121,226 15,432 49,510 2015-03-17 $83.20 $84.00 15.5% 4.4% 20.3% 55.4% 16.5% 5.1% 1.0% -44.2M 179.3M -1.1M 0.81 63.84 N/A N/A 373 304 15,308 169,987 2015-03-18 $84.94 $84.00 12.1% 3.5% 21.5% 32.3% 12.0% 3.2% 2.0% -20.4M -13.4M -398.5K 0.56 80.24 N/A N/A 2,631 1,470 15,385 170,272 2015-03-19 $84.90 $84.00 12.1% 3.5% 19.9% 32.7% 12.0% 2.5% 1.7% -18.9M -13.7M -405.8K 0.28 83.65 N/A N/A 636 179 15,857 170,913 2015-03-20 $87.03 $84.00 10.2% 2.9% 21.5% 19.5% 14.4% 4.6% 3.1% 2.1M -40.9M -416.7K 1.23 73.07 N/A N/A 791 969 15,589 170,895 2015-03-23 $86.92 $84.00 11.6% 3.3% 21.4% 29.1% 12.2% 3.1% 0.6% -6.6M -20.9M -388.7K 0.26 73.52 N/A N/A 2,541 655 11,182 152,551 2015-03-24 $86.18 $84.00 13.1% 3.7% 20.5% 39.0% 13.0% 2.3% 0.7% -788.9K -32.7M -320.3K 0.57 68.62 N/A N/A 1,246 710 12,714 152,602 2015-03-25 $84.19 $85.00 15.7% 4.5% 22.3% 56.6% 15.4% 3.2% 0.0% -26.2M 68.8M -654.7K 0.91 60.27 N/A N/A 676 613 12,072 152,531 2015-03-26 $83.68 $85.00 15.9% 4.6% 22.0% 58.0% 16.3% 3.8% -0.1% -28.3M 76.3M -667.9K 1.21 67.15 N/A N/A 1,935 2,332 12,215 152,564 2015-03-27 $83.86 $85.00 15.0% 4.3% 21.8% 52.3% 15.1% 3.7% 0.5% -25.7M 64.1M -614.5K 0.16 81.17 N/A N/A 1,634 258 12,139 152,704 2015-03-30 $85.04 $85.00 14.2% 4.1% 22.3% 47.0% 15.0% 3.6% 0.5% -21.0M 46.5M -578.7K 1.32 71.53 N/A N/A 1,744 2,297 13,225 152,897 2015-03-31 $84.36 $85.00 15.6% 4.5% 22.5% 55.7% 15.5% 4.1% -0.2% -16.8M 26.6M -498.5K 3.88 80.27 N/A N/A 2,068 8,015 13,543 152,982
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