VNQ Options History — June 2015

In June 2015, VNQ traded between $74.77 and $80.05. ATM implied volatility averaged 15.9%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.4% (HV 20d: 14.5%). Max pain ranged from $78.00 to $82.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.46.

Notable Days

2015-06-04: Highest Volume — 13,711 contracts
2015-06-10: Largest IV drop — 23.9% change
2015-06-09: Highest IV Rank — 94.4%
2015-06-03: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.47	$74.77	$80.05	$80.05	$74.83
Max Pain	$79.05	$78.00	$82.00	$82.00	$78.00
ATM IV	15.9%	12.4%	21.3%	16.7%	17.7%
Expected Move	4.4%	3.6%	5.5%	4.8%	5.1%
HV 20d	14.5%	11.7%	18.0%	17.7%	13.3%
HV 60d	16.1%	15.0%	18.3%	18.3%	15.0%
IV Rank	58.3%	34.7%	94.4%	63.4%	70.4%
IV Percentile	75.3%	42.5%	99.6%	92.1%	91.7%
Term Structure	0.6%	-2.4%	2.5%	-1.1%	-0.5%
VWIV	15.7%	12.6%	18.4%	17.5%	18.0%
Skew 25d	3.3%	1.1%	4.8%	4.2%	3.4%
Skew 10d	5.6%	1.7%	9.6%	9.6%	4.0%
Call IV 25d	14.3%	11.2%	17.6%	15.3%	16.8%
Put IV 25d	17.5%	14.2%	20.9%	19.5%	20.1%
Bid-Ask Spread %	56.77	37.34	81.45	55.57	37.47
Gamma HHI	0.29	0.20	0.44	0.20	0.44
Net GEX	-10.1M	-16.2M	-3.9M	-7.8M	-7.1M
Net DEX	98.7M	59.6M	139.8M	67.1M	106.8M
Net VEX	-605.7K	-668.6K	-534.4K	-592.0K	-605.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.47	5.85	1.57	1.03
Total Volume	5,261.818	377	13,711	3,368	3,621
Total OI	63,900.727	49,724	73,840	65,480	52,628

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
2015-06-01	$80.05	$82.00	16.7%	4.8%	17.7%	63.4%	17.5%	4.2%	-1.1%	-7.8M	67.1M	-592.0K	1.57	55.57	N/A	N/A	1,310	2,058	14,219	51,261
2015-06-02	$79.37	$82.00	17.8%	5.1%	18.0%	71.1%	18.4%	3.2%	-1.4%	-9.0M	78.4M	-602.3K	5.85	52.90	N/A	N/A	55	322	14,231	51,267
2015-06-03	$78.27	$82.00	19.0%	5.5%	16.9%	79.0%	18.3%	3.3%	-2.4%	-10.5M	98.6M	-611.7K	0.60	56.82	N/A	N/A	3,477	2,079	14,267	51,426
2015-06-04	$78.02	$80.00	19.0%	4.8%	16.9%	78.7%	18.3%	4.2%	0.4%	-11.1M	108.1M	-634.5K	4.55	47.86	N/A	N/A	2,469	11,242	14,420	51,666
2015-06-05	$77.26	$80.00	18.2%	4.7%	15.9%	73.2%	15.2%	4.4%	1.1%	-12.6M	124.2M	-668.6K	1.01	37.34	N/A	N/A	4,237	4,289	14,436	52,929
2015-06-08	$77.13	$79.00	19.1%	4.7%	15.0%	79.5%	15.4%	3.1%	1.1%	-13.7M	125.3M	-640.5K	0.91	40.90	N/A	N/A	4,204	3,821	15,104	54,217
2015-06-09	$76.43	$79.00	21.3%	5.3%	14.5%	94.4%	16.7%	4.8%	-0.6%	-14.1M	139.8M	-662.5K	0.72	48.82	N/A	N/A	3,370	2,410	15,101	54,349
2015-06-10	$77.09	$79.00	16.2%	4.7%	14.8%	60.2%	15.5%	3.0%	0.5%	-14.8M	131.0M	-654.3K	0.50	48.01	N/A	N/A	3,654	1,811	15,288	54,974
2015-06-11	$77.54	$79.00	15.2%	4.4%	14.7%	53.4%	15.1%	2.8%	1.2%	-14.2M	114.6M	-616.3K	0.47	48.18	N/A	N/A	3,364	1,567	15,478	54,968
2015-06-12	$77.46	$79.00	15.6%	4.5%	12.6%	55.8%	14.5%	2.8%	0.9%	-14.5M	117.1M	-623.4K	0.53	45.87	N/A	N/A	4,765	2,520	15,604	54,980
2015-06-15	$77.04	$79.00	15.9%	4.6%	11.7%	58.1%	15.6%	2.7%	1.0%	-15.8M	125.5M	-625.5K	0.74	53.25	N/A	N/A	3,847	2,842	16,169	55,967
2015-06-16	$77.63	$78.00	15.2%	4.4%	12.3%	53.3%	16.7%	4.0%	1.2%	-16.2M	114.0M	-623.7K	1.05	54.59	N/A	N/A	2,812	2,955	16,572	56,180
2015-06-17	$78.33	$78.00	14.6%	4.2%	12.9%	49.1%	16.9%	3.3%	1.1%	-12.3M	91.8M	-604.6K	2.56	56.51	N/A	N/A	2,020	5,171	16,649	56,140
2015-06-18	$79.41	$78.00	13.3%	3.8%	13.9%	40.5%	14.1%	3.5%	2.5%	-3.9M	59.6M	-576.2K	1.39	65.64	N/A	N/A	1,627	2,264	16,896	56,695
2015-06-19	$78.81	$78.00	12.4%	3.6%	14.0%	34.7%	12.7%	1.9%	2.5%	-4.5M	66.7M	-550.8K	1.85	79.12	N/A	N/A	1,525	2,827	16,836	57,004
2015-06-22	$78.46	$79.00	12.7%	3.6%	14.1%	36.8%	12.6%	3.1%	1.8%	-5.3M	59.8M	-534.4K	1.23	72.21	N/A	N/A	1,541	1,891	9,629	40,095
2015-06-23	$77.32	$78.00	12.8%	3.7%	14.7%	37.0%	14.5%	3.9%	1.8%	-6.5M	77.7M	-571.2K	1.40	73.25	N/A	N/A	1,443	2,023	10,159	40,407
2015-06-24	$76.96	$78.00	12.6%	3.6%	14.1%	36.1%	13.5%	3.7%	1.3%	-6.9M	84.4M	-582.2K	0.58	81.32	N/A	N/A	2,985	1,726	10,262	40,579
2015-06-25	$76.15	$78.00	13.0%	3.7%	14.4%	38.5%	12.7%	1.1%	1.0%	-7.6M	89.3M	-567.4K	1.28	70.49	N/A	N/A	1,539	1,976	11,267	40,664
2015-06-26	$75.90	$78.00	14.5%	4.2%	13.8%	48.7%	14.5%	2.6%	0.5%	-7.5M	90.4M	-573.1K	1.08	81.45	N/A	N/A	1,388	1,504	11,530	40,868
2015-06-29	$74.77	$78.00	17.8%	5.1%	13.4%	71.0%	17.9%	2.7%	-0.6%	-6.9M	101.7M	-604.0K	1.16	41.42	N/A	N/A	1,484	1,725	11,564	40,871
2015-06-30	$74.83	$78.00	17.7%	5.1%	13.3%	70.4%	18.0%	3.4%	-0.5%	-7.1M	106.8M	-605.3K	1.03	37.47	N/A	N/A	1,783	1,838	11,672	40,956