VNQ Options History — August 2015 In August 2015, VNQ traded between $73.00 and $80.66. ATM implied volatility averaged 16.0%, placing in the 51.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.3% (HV 20d: 12.8%). Max pain ranged from $78.00 to $82.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 4.92.
Notable Days 2015-08-04 : Highest Volume — 20,099 contracts2015-08-24 : Largest IV spike — 38.2% change2015-08-24 : Highest IV Rank — 100.0%2015-08-24 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $77.96 $73.00 $80.66 $79.44 $74.19 Max Pain $81.38 $78.00 $82.00 $78.00 $81.00 ATM IV 16.0% 11.8% 26.0% 11.9% 24.5% Expected Move 4.7% 3.4% 7.5% 3.4% 7.0% HV 20d 12.8% 8.5% 23.4% 9.6% 23.4% HV 60d 13.4% 11.9% 16.7% 13.3% 16.7% IV Rank 51.5% 29.7% 100.0% 31.1% 91.5% IV Percentile 56.4% 23.4% 100.0% 23.8% 99.2% Term Structure 0.6% -2.7% 2.9% 1.3% -2.7% VWIV 16.5% 12.4% 26.3% 12.4% 23.9% Skew 25d 3.8% 1.8% 7.4% 1.8% 5.6% Skew 10d 7.8% 3.3% 13.2% 6.5% 10.2% Call IV 25d 14.8% 10.6% 23.7% 10.6% 21.9% Put IV 25d 18.6% 12.4% 31.0% 12.4% 27.5% Bid-Ask Spread % 72.99 47.47 90.66 90.66 70.08 Gamma HHI 0.21 0.14 0.36 0.17 0.32 Net GEX -4.0M -10.0M -469.2K -2.8M -8.3M Net DEX 58.7M 9.6M 136.5M 39.8M 120.2M Net VEX -550.9K -769.1K -407.4K -509.3K -769.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.92 0.09 12.24 0.09 1.77 Total Volume 9,671.286 793 20,099 2,254 8,006 Total OI 58,491.429 51,271 71,835 51,271 71,434
Daily Data (21 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 2015-08-03 $79.44 $78.00 11.9% 3.4% 9.6% 31.1% 12.4% 1.8% 1.3% -2.8M 39.8M -509.3K 0.09 90.66 N/A N/A 2,060 194 10,332 40,939 2015-08-04 $78.75 $78.00 12.1% 3.5% 9.0% 32.3% 12.9% 2.6% 1.1% -2.4M 39.4M -520.1K 5.57 86.42 N/A N/A 3,060 17,039 12,376 41,082 2015-08-05 $78.40 $78.00 12.0% 3.4% 9.1% 32.0% 12.6% 2.6% 1.3% -3.2M 48.6M -501.2K 7.67 88.86 N/A N/A 2,166 16,619 12,397 41,709 2015-08-06 $78.52 $82.00 12.3% 3.8% 9.0% 33.8% 13.8% 3.0% 1.2% -3.2M 48.6M -514.1K 4.21 73.08 N/A N/A 2,237 9,417 12,473 41,737 2015-08-07 $78.79 $82.00 11.8% 3.8% 8.7% 30.9% 13.3% 3.1% 1.1% -2.3M 41.6M -487.3K 3.92 71.80 N/A N/A 2,380 9,336 12,691 41,395 2015-08-10 $78.43 $82.00 12.3% 4.0% 8.9% 34.2% 14.0% 2.5% 1.4% -2.8M 44.9M -496.3K 7.18 74.48 N/A N/A 1,274 9,144 12,822 41,595 2015-08-11 $79.06 $82.00 12.4% 3.8% 9.3% 34.8% 12.8% 3.0% 1.0% -1.6M 33.3M -450.3K 1.08 66.18 N/A N/A 381 412 12,857 41,745 2015-08-12 $79.31 $82.00 13.7% 3.9% 9.3% 43.6% 14.3% 3.1% 1.3% -1.9M 36.5M -506.2K 6.96 69.95 N/A N/A 1,355 9,434 12,933 41,775 2015-08-13 $79.40 $82.00 13.3% 3.8% 8.9% 40.3% 13.7% 2.8% 1.5% -712.1K 25.3M -423.0K 7.65 69.35 N/A N/A 1,219 9,320 13,036 41,732 2015-08-14 $79.77 $82.00 12.2% 3.5% 8.9% 29.7% 13.3% 3.2% 2.9% -1.1M 28.5M -486.2K 8.39 80.52 N/A N/A 1,078 9,043 13,045 41,651 2015-08-17 $80.49 $82.00 12.6% 3.6% 9.3% 32.5% 12.6% 2.7% 1.7% -469.2K 11.0M -448.0K 4.91 78.49 N/A N/A 1,912 9,395 13,086 41,665 2015-08-18 $80.66 $82.00 12.3% 3.5% 9.3% 29.9% 13.5% 3.0% 2.0% -1.4M 9.6M -437.1K 7.56 53.48 N/A N/A 1,237 9,354 12,714 41,810 2015-08-19 $80.22 $82.00 13.1% 3.7% 9.6% 35.5% 12.4% 2.4% 1.3% -946.7K 13.8M -432.6K 0.78 47.47 N/A N/A 452 352 12,758 41,761 2015-08-20 $79.66 $82.00 14.3% 4.1% 8.5% 44.1% 15.6% 3.2% 0.8% -1.1M 20.3M -407.4K 7.76 81.79 N/A N/A 1,203 9,332 12,716 42,035 2015-08-21 $78.31 $82.00 18.8% 5.4% 10.5% 76.4% 17.9% 4.4% -1.6% -3.9M 48.5M -485.3K 12.24 71.16 N/A N/A 1,390 17,008 12,789 42,037 2015-08-24 $74.94 $82.00 26.0% 7.5% 18.9% 100.0% 26.3% 7.4% -0.7% -8.2M 127.9M -767.9K 6.38 71.78 N/A N/A 1,547 9,866 10,795 55,339 2015-08-25 $73.00 $82.00 24.7% 7.1% 20.6% 92.9% 23.9% 6.7% 2.3% -8.9M 135.1M -735.0K 1.52 68.85 N/A N/A 1,477 2,243 11,139 55,676 2015-08-26 $74.40 $82.00 23.8% 6.8% 21.9% 87.6% 23.2% 6.4% -1.9% -10.0M 136.5M -747.9K 2.33 71.07 N/A N/A 2,455 5,730 11,288 55,913 2015-08-27 $75.71 $82.00 20.6% 5.9% 23.0% 70.1% 22.6% 4.8% -0.8% -9.6M 108.5M -703.6K 3.15 75.94 N/A N/A 1,363 4,296 12,366 58,842 2015-08-28 $75.66 $82.00 22.1% 6.3% 22.8% 78.2% 21.9% 5.4% -1.9% -8.5M 115.5M -740.9K 2.16 71.45 N/A N/A 2,310 5,001 12,542 59,293 2015-08-31 $74.19 $81.00 24.5% 7.0% 23.4% 91.5% 23.9% 5.6% -2.7% -8.3M 120.2M -769.1K 1.77 70.08 N/A N/A 2,893 5,113 13,679 57,755
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