VNQ Options History — July 2015

In July 2015, VNQ traded between $75.83 and $78.95. ATM implied volatility averaged 14.0%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.3% (HV 20d: 12.7%). Max pain ranged from $74.00 to $78.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 7.31.

Notable Days

2015-07-23: Highest Volume — 32,780 contracts
2015-07-10: Largest IV drop — 11.6% change
2015-07-09: Highest IV Rank — 64.6%
2015-07-08: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.92	$75.83	$78.95	$75.83	$78.95
Max Pain	$75.64	$74.00	$78.00	$78.00	$77.00
ATM IV	14.0%	11.2%	16.9%	16.5%	11.2%
Expected Move	4.0%	3.2%	4.8%	4.7%	3.2%
HV 20d	12.7%	9.4%	14.8%	13.8%	9.6%
HV 60d	14.8%	13.7%	15.3%	15.0%	13.7%
IV Rank	45.2%	26.7%	64.6%	62.0%	26.7%
IV Percentile	54.2%	17.1%	88.9%	86.9%	17.1%
Term Structure	1.0%	-0.3%	1.7%	-0.3%	1.5%
VWIV	14.7%	12.0%	17.9%	15.4%	12.0%
Skew 25d	3.0%	2.3%	3.9%	3.0%	2.4%
Skew 10d	6.5%	4.1%	9.6%	7.9%	7.2%
Call IV 25d	12.8%	10.5%	15.1%	15.1%	10.5%
Put IV 25d	15.8%	12.9%	18.6%	18.0%	12.9%
Bid-Ask Spread %	70.05	32.82	89.17	32.82	89.17
Gamma HHI	0.27	0.18	0.44	0.44	0.18
Net GEX	-4.5M	-7.1M	-3.1M	-7.1M	-3.2M
Net DEX	54.3M	32.6M	92.8M	92.8M	47.1M
Net VEX	-526.5K	-599.4K	-448.8K	-580.8K	-515.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.31	0.43	27.91	0.43	12.10
Total Volume	10,052.636	2,748	32,780	5,127	18,068
Total OI	52,744.318	48,836	56,009	53,113	50,966

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
2015-07-01	$75.83	$78.00	16.5%	4.7%	13.8%	62.0%	15.4%	3.0%	-0.3%	-7.1M	92.8M	-580.8K	0.43	32.82	N/A	N/A	3,590	1,537	12,003	41,110
2015-07-02	$76.15	$77.00	16.0%	4.6%	14.0%	58.7%	15.2%	2.4%	0.3%	-5.8M	80.8M	-599.4K	0.67	57.82	N/A	N/A	2,425	1,625	12,672	41,140
2015-07-06	$76.60	$74.00	16.1%	4.5%	13.8%	59.3%	16.7%	3.9%	0.4%	-6.0M	78.2M	-560.9K	0.70	53.84	N/A	N/A	2,383	1,670	12,831	41,271
2015-07-07	$77.74	$74.00	15.2%	4.4%	14.8%	53.1%	16.0%	3.2%	0.9%	-5.4M	53.0M	-536.7K	2.06	64.25	N/A	N/A	1,288	2,649	12,937	41,289
2015-07-08	$77.50	$74.00	16.6%	4.8%	14.4%	62.8%	17.9%	3.9%	0.4%	-4.9M	60.0M	-578.6K	1.51	67.42	N/A	N/A	1,175	1,769	13,018	41,457
2015-07-09	$77.24	$74.00	16.9%	4.6%	14.2%	64.6%	16.3%	3.5%	0.2%	-5.3M	62.4M	-555.1K	1.36	45.41	N/A	N/A	1,420	1,937	13,046	41,475
2015-07-10	$77.79	$75.00	14.9%	4.3%	14.3%	51.4%	16.8%	3.1%	0.5%	-4.9M	52.4M	-527.8K	1.69	56.34	N/A	N/A	1,138	1,920	13,198	41,546
2015-07-13	$77.93	$75.00	15.6%	4.1%	14.3%	55.9%	14.5%	3.6%	0.9%	-4.6M	48.0M	-513.5K	1.36	61.65	N/A	N/A	1,399	1,901	13,231	41,469
2015-07-14	$78.04	$74.00	13.9%	3.8%	14.1%	44.8%	13.7%	3.0%	1.1%	-4.0M	45.0M	-497.3K	1.42	68.16	N/A	N/A	1,407	2,000	13,537	41,908
2015-07-15	$78.14	$74.00	13.6%	3.9%	13.9%	42.5%	15.5%	3.1%	1.1%	-4.4M	47.7M	-502.4K	1.54	69.85	N/A	N/A	1,245	1,916	13,642	42,253
2015-07-16	$78.82	$75.00	12.2%	3.5%	13.9%	33.1%	14.7%	3.1%	1.6%	-3.1M	32.6M	-487.2K	1.52	79.08	N/A	N/A	1,319	2,007	13,729	42,280
2015-07-17	$78.55	$75.00	12.2%	3.5%	13.0%	33.1%	14.5%	3.4%	1.7%	-4.0M	40.8M	-477.9K	1.42	80.01	N/A	N/A	1,484	2,101	13,578	42,364
2015-07-20	$78.59	$75.00	12.6%	3.6%	12.7%	35.9%	13.4%	2.5%	1.3%	-3.7M	40.7M	-454.1K	1.30	76.60	N/A	N/A	1,226	1,591	9,565	39,271
2015-07-21	$78.47	$76.00	13.1%	3.8%	12.6%	39.5%	13.8%	2.7%	1.3%	-4.0M	46.2M	-480.8K	1.22	74.94	N/A	N/A	1,236	1,512	9,803	39,486
2015-07-22	$78.68	$76.00	12.4%	3.6%	11.4%	34.5%	13.5%	2.7%	1.5%	-3.8M	38.2M	-448.8K	24.72	79.23	N/A	N/A	1,267	31,319	9,961	39,497
2015-07-23	$77.63	$76.00	13.3%	3.8%	12.3%	40.5%	14.0%	3.5%	1.2%	-4.2M	59.7M	-576.6K	27.91	77.14	N/A	N/A	1,134	31,646	10,029	40,538
2015-07-24	$78.08	$77.00	13.6%	3.9%	11.7%	42.6%	14.7%	2.8%	1.6%	-5.0M	52.9M	-533.0K	16.29	76.53	N/A	N/A	1,031	16,796	10,066	40,711
2015-07-27	$78.11	$77.00	14.7%	4.2%	11.6%	50.0%	15.4%	3.0%	1.2%	-4.5M	55.7M	-547.3K	16.00	78.10	N/A	N/A	1,044	16,704	10,072	40,696
2015-07-28	$78.26	$77.00	13.2%	3.8%	9.9%	40.1%	14.4%	2.9%	1.0%	-3.8M	57.6M	-558.5K	15.89	80.76	N/A	N/A	1,049	16,664	10,042	40,818
2015-07-29	$78.75	$77.00	11.9%	3.4%	10.0%	31.3%	13.5%	2.3%	1.3%	-3.7M	51.9M	-535.1K	15.01	85.46	N/A	N/A	1,109	16,647	10,061	40,843
2015-07-30	$78.39	$77.00	11.9%	3.4%	9.4%	31.3%	12.5%	2.3%	1.5%	-4.0M	50.8M	-514.9K	14.78	86.46	N/A	N/A	1,129	16,681	10,079	40,887
2015-07-31	$78.95	$77.00	11.2%	3.2%	9.6%	26.7%	12.0%	2.4%	1.5%	-3.2M	47.1M	-515.8K	12.10	89.17	N/A	N/A	1,379	16,689	10,084	40,882