VNQ Options History — January 2016

In January 2016, VNQ traded between $74.04 and $80.31. ATM implied volatility averaged 19.9%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.4% (HV 20d: 18.5%). Max pain ranged from $72.00 to $78.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 4.17.

Notable Days

2016-01-14: Highest Volume — 19,357 contracts
2016-01-07: Largest IV spike — 21.2% change
2016-01-20: Highest IV Rank — 74.3%
2016-01-20: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$76.92	$74.04	$80.31	$78.65	$76.99
Max Pain	$75.47	$72.00	$78.00	$72.00	$75.00
ATM IV	19.9%	16.4%	22.9%	18.0%	18.7%
Expected Move	5.5%	4.6%	6.6%	4.8%	5.4%
HV 20d	18.5%	14.8%	23.9%	14.8%	23.9%
HV 60d	17.9%	16.6%	19.9%	16.6%	19.9%
IV Rank	57.1%	36.3%	74.3%	46.2%	49.8%
IV Percentile	86.4%	66.3%	96.0%	79.0%	77.8%
Term Structure	0.3%	-0.4%	3.2%	0.4%	0.7%
VWIV	21.2%	17.0%	25.5%	19.2%	22.1%
Skew 25d	5.2%	4.5%	6.5%	5.4%	4.7%
Skew 10d	10.8%	8.6%	13.7%	11.9%	10.0%
Call IV 25d	17.0%	13.8%	20.1%	15.0%	16.8%
Put IV 25d	22.3%	18.6%	26.7%	20.3%	21.5%
Bid-Ask Spread %	58.76	32.96	74.09	32.96	57.26
Gamma HHI	0.27	0.14	0.38	0.17	0.31
Net GEX	-10.1M	-14.0M	-4.2M	-7.1M	-10.6M
Net DEX	97.7M	31.7M	150.9M	68.3M	85.7M
Net VEX	-696.3K	-801.4K	-480.3K	-566.0K	-689.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.17	0.46	7.72	0.49	1.86
Total Volume	13,373.632	418	19,357	6,077	418
Total OI	75,844.263	69,661	85,415	69,661	74,947

Daily Data (19 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
2016-01-04	$78.65	$72.00	18.0%	4.8%	14.8%	46.2%	19.2%	5.4%	0.4%	-7.1M	68.3M	-566.0K	0.49	32.96	N/A	N/A	4,074	2,003	12,575	57,086
2016-01-05	$80.31	$74.00	16.4%	4.6%	15.0%	36.3%	17.0%	4.7%	0.5%	-4.2M	31.7M	-480.3K	0.46	34.95	N/A	N/A	4,366	1,996	12,583	57,239
2016-01-06	$79.99	$75.00	16.7%	4.7%	15.1%	38.1%	17.8%	5.1%	0.6%	-4.5M	36.3M	-506.6K	0.49	52.49	N/A	N/A	3,327	1,630	13,541	57,254
2016-01-07	$78.73	$75.00	20.2%	5.3%	16.2%	58.8%	20.0%	5.1%	-0.1%	-7.1M	62.1M	-536.9K	3.74	49.25	N/A	N/A	3,467	12,981	13,561	57,299
2016-01-08	$77.38	$75.00	22.2%	5.8%	17.2%	70.4%	21.8%	4.8%	3.2%	-10.5M	100.5M	-733.7K	3.83	53.21	N/A	N/A	3,478	13,323	13,713	68,666
2016-01-11	$78.02	$77.00	21.8%	5.3%	17.2%	68.1%	22.1%	5.0%	-0.1%	-9.9M	96.1M	-694.6K	4.09	54.93	N/A	N/A	3,356	13,718	13,936	69,200
2016-01-12	$77.47	$78.00	20.9%	5.2%	17.4%	62.9%	19.2%	4.5%	-0.1%	-11.0M	102.7M	-688.7K	3.85	66.41	N/A	N/A	3,643	14,040	13,920	69,581
2016-01-13	$76.27	$78.00	19.7%	5.6%	18.1%	55.9%	19.1%	5.0%	0.2%	-13.1M	125.0M	-732.6K	4.32	70.01	N/A	N/A	3,359	14,507	13,945	69,544
2016-01-14	$76.13	$76.00	19.5%	5.6%	17.5%	54.6%	19.4%	5.5%	0.5%	-14.0M	130.5M	-753.1K	4.78	69.30	N/A	N/A	3,351	16,006	13,993	69,972
2016-01-15	$75.61	$76.00	20.5%	5.9%	15.7%	60.4%	20.9%	5.6%	-0.2%	-11.0M	150.9M	-784.9K	4.39	66.54	N/A	N/A	3,476	15,272	14,146	71,269
2016-01-19	$76.13	$76.00	20.0%	5.7%	16.1%	57.9%	20.2%	5.1%	-0.2%	-10.9M	104.1M	-743.9K	7.72	64.28	N/A	N/A	1,693	13,069	8,270	62,078
2016-01-20	$74.04	$76.00	22.9%	6.6%	18.3%	74.3%	25.5%	6.5%	-0.4%	-12.7M	137.0M	-801.4K	5.00	62.57	N/A	N/A	2,560	12,800	8,477	62,077
2016-01-21	$74.46	$76.00	22.3%	6.4%	18.5%	71.1%	24.1%	5.9%	-0.0%	-12.5M	130.0M	-787.9K	6.88	57.54	N/A	N/A	1,893	13,031	9,446	62,778
2016-01-22	$76.38	$75.00	19.4%	5.6%	21.0%	54.0%	22.1%	5.0%	0.2%	-10.4M	98.5M	-750.9K	6.03	65.97	N/A	N/A	2,199	13,253	9,859	63,021
2016-01-25	$75.90	$75.00	20.0%	5.7%	21.0%	57.5%	23.4%	5.3%	0.5%	-10.8M	103.8M	-749.1K	5.77	62.43	N/A	N/A	2,283	13,178	10,250	63,424
2016-01-26	$77.44	$75.00	19.5%	5.6%	22.4%	54.7%	22.2%	5.4%	0.2%	-8.6M	79.9M	-722.2K	6.59	74.09	N/A	N/A	2,055	13,540	10,422	63,482
2016-01-27	$76.02	$75.00	20.3%	5.8%	23.1%	59.7%	23.5%	5.4%	0.2%	-10.9M	103.7M	-750.3K	7.52	69.09	N/A	N/A	1,891	14,222	10,597	63,899
2016-01-28	$75.57	$75.00	19.6%	5.6%	22.6%	55.1%	23.2%	5.2%	0.4%	-11.7M	110.0M	-757.5K	1.46	53.11	N/A	N/A	1,886	2,755	10,599	64,392
2016-01-29	$76.99	$75.00	18.7%	5.4%	23.9%	49.8%	22.1%	4.7%	0.7%	-10.6M	85.7M	-689.7K	1.86	57.26	N/A	N/A	146	272	10,348	64,599