VNQ Options History — October 2015 In October 2015, VNQ traded between $75.26 and $81.48. ATM implied volatility averaged 13.8%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.6% (HV 20d: 15.4%). Max pain ranged from $74.00 to $79.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.56.
Notable Days 2015-10-02 : Highest Volume — 32,568 contracts2015-10-12 : Largest IV spike — 18.9% change2015-10-01 : Highest IV Rank — 53.6%2015-10-01 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $79.38 $75.26 $81.48 $75.26 $79.87 Max Pain $77.68 $74.00 $79.00 $74.00 $79.00 ATM IV 13.8% 10.9% 19.0% 19.0% 14.3% Expected Move 4.0% 3.1% 5.4% 5.4% 4.1% HV 20d 15.4% 13.6% 17.3% 16.7% 13.8% HV 60d 19.0% 18.1% 19.4% 18.1% 19.3% IV Rank 24.4% 8.5% 53.6% 53.6% 27.8% IV Percentile 39.7% 4.8% 88.9% 88.9% 48.4% Term Structure 1.3% -0.1% 2.7% -0.1% 0.6% VWIV 14.1% 10.8% 19.3% 19.3% 14.4% Skew 25d 3.4% 2.3% 4.2% 3.6% 2.4% Skew 10d 7.1% 3.8% 9.5% 4.8% 3.8% Call IV 25d 12.7% 10.2% 17.0% 17.0% 13.0% Put IV 25d 16.1% 12.9% 20.6% 20.6% 15.4% Bid-Ask Spread % 68.29 39.93 86.09 85.78 81.27 Gamma HHI 0.13 0.11 0.16 0.11 0.13 Net GEX 2.7M -398.0K 4.7M 1.5M 2.6M Net DEX -30.2M -59.3M 7.1M 7.1M -20.4M Net VEX -522.4K -682.3K -444.8K -447.3K -510.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.56 0.81 17.32 2.15 1.96 Total Volume 8,883.5 1,012 32,568 5,213 5,405 Total OI 77,432.5 51,207 83,748 51,207 80,178
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 2015-10-01 $75.26 $74.00 19.0% 5.4% 16.7% 53.6% 19.3% 3.6% -0.1% 1.5M 7.1M -447.3K 2.15 85.78 N/A N/A 1,657 3,556 20,734 30,473 2015-10-02 $76.32 $74.00 17.3% 5.0% 17.3% 44.3% 17.8% 3.8% 0.6% 2.2M -395.8K -449.8K 17.32 86.09 N/A N/A 1,778 30,790 20,823 30,694 2015-10-05 $77.75 $76.00 15.6% 4.6% 16.6% 35.0% 16.3% 4.0% 2.0% -271 2.2M -644.8K 1.26 69.57 N/A N/A 448 564 20,959 57,998 2015-10-06 $77.57 $76.00 14.2% 4.5% 16.3% 26.9% 16.8% 4.1% 0.9% -398.0K 5.0M -682.3K 15.94 65.69 N/A N/A 1,890 30,123 21,356 58,397 2015-10-07 $78.33 $76.00 14.1% 4.3% 15.4% 26.1% 15.5% 4.2% 2.3% 1.1M -11.5M -604.1K 16.41 72.71 N/A N/A 1,829 30,013 21,410 58,469 2015-10-08 $79.14 $77.00 13.0% 4.2% 15.6% 20.4% 14.9% 4.2% 1.5% 626.5K -26.4M -578.1K 1.64 67.48 N/A N/A 1,899 3,108 21,429 58,574 2015-10-09 $78.74 $77.00 11.8% 4.1% 15.1% 13.3% 13.5% 3.6% 1.8% 1.4M -26.4M -572.9K 0.81 71.88 N/A N/A 3,726 3,032 21,583 58,692 2015-10-12 $79.47 $77.00 14.0% 4.2% 15.2% 25.8% 12.9% 3.3% 1.9% 3.0M -44.6M -562.4K 0.87 74.71 N/A N/A 3,416 2,958 23,634 58,684 2015-10-13 $78.88 $77.00 13.0% 3.8% 15.5% 20.0% 13.0% 3.5% 1.0% 3.7M -34.7M -577.8K 1.82 78.08 N/A N/A 1,728 3,146 24,472 58,744 2015-10-14 $78.18 $78.00 14.3% 4.1% 15.7% 27.4% 13.6% 3.5% 1.0% 2.6M -25.6M -576.3K 1.79 78.12 N/A N/A 1,751 3,126 24,594 58,824 2015-10-15 $79.35 $78.00 13.3% 3.8% 16.0% 21.8% 12.9% 3.0% 2.3% 1.6M -44.1M -534.7K 1.97 74.99 N/A N/A 1,709 3,370 24,595 59,064 2015-10-16 $79.97 $79.00 12.1% 3.5% 16.1% 15.4% 12.7% 3.5% 2.1% 4.2M -59.3M -485.6K 1.42 76.59 N/A N/A 2,256 3,212 24,605 59,143 2015-10-19 $81.04 $79.00 10.9% 3.1% 16.4% 8.5% 10.8% 2.7% 2.7% 4.6M -47.9M -444.8K 1.05 76.33 N/A N/A 2,395 2,503 19,234 57,535 2015-10-20 $80.86 $79.00 11.8% 3.4% 15.4% 13.4% 12.3% 2.8% 1.1% 4.7M -46.2M -490.4K 1.34 47.01 N/A N/A 2,278 3,059 19,615 57,513 2015-10-21 $80.76 $79.00 12.0% 3.4% 15.4% 14.5% 12.0% 2.3% 1.2% 4.4M -48.1M -470.6K 1.21 50.38 N/A N/A 2,217 2,689 19,664 58,166 2015-10-22 $81.48 $79.00 12.4% 3.6% 14.7% 16.9% 11.9% 3.3% 1.4% 4.3M -54.3M -446.7K 1.23 40.09 N/A N/A 2,430 2,984 19,650 58,273 2015-10-23 $80.66 $79.00 13.8% 4.0% 15.5% 24.7% 13.7% 3.4% 0.9% 3.1M -35.7M -513.0K 1.41 39.93 N/A N/A 2,357 3,333 19,704 58,486 2015-10-26 $80.69 $79.00 13.9% 4.0% 14.0% 25.2% 13.8% 3.3% 0.7% 4.0M -39.1M -471.0K 1.38 57.09 N/A N/A 2,343 3,244 19,829 59,118 2015-10-27 $80.72 $79.00 14.2% 4.1% 13.9% 27.1% 13.9% 3.9% 0.3% 3.4M -38.2M -488.8K 1.43 61.10 N/A N/A 2,344 3,344 19,839 59,262 2015-10-28 $80.70 $79.00 13.9% 4.0% 13.8% 25.4% 14.4% 3.4% 0.5% 3.8M -39.6M -476.0K 1.91 64.24 N/A N/A 2,052 3,917 19,840 59,571 2015-10-29 $80.62 $79.00 13.7% 3.9% 13.6% 24.4% 14.3% 3.9% 1.1% 3.5M -37.1M -466.1K 1.91 83.32 N/A N/A 1,878 3,580 19,979 60,109 2015-10-30 $79.87 $79.00 14.3% 4.1% 13.8% 27.8% 14.4% 2.4% 0.6% 2.6M -20.4M -510.5K 1.96 81.27 N/A N/A 1,823 3,582 19,953 60,225
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