VNQ Options History — March 2016

In March 2016, VNQ traded between $78.67 and $83.87. ATM implied volatility averaged 14.5%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 2.9% (HV 20d: 17.4%). Max pain ranged from $76.00 to $81.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.69.

Notable Days

2016-03-01: Highest Volume — 25,746 contracts
2016-03-21: Largest IV spike — 44.3% change
2016-03-08: Highest IV Rank — 39.5%
2016-03-10: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.11	$78.67	$83.87	$78.67	$83.87
Max Pain	$78.41	$76.00	$81.00	$77.00	$81.00
ATM IV	14.5%	9.4%	17.8%	16.1%	12.5%
Expected Move	4.1%	2.7%	4.9%	4.6%	3.6%
HV 20d	17.4%	14.8%	22.1%	22.1%	16.0%
HV 60d	20.2%	19.8%	20.9%	20.3%	20.6%
IV Rank	23.5%	0.0%	39.5%	30.3%	15.2%
IV Percentile	31.1%	0.0%	64.7%	49.2%	10.3%
Term Structure	1.1%	-0.4%	2.9%	0.2%	1.2%
VWIV	15.7%	13.0%	18.7%	17.0%	13.0%
Skew 25d	4.7%	3.1%	5.9%	4.0%	4.9%
Skew 10d	9.9%	5.8%	13.0%	12.1%	8.9%
Call IV 25d	13.0%	10.0%	15.2%	15.2%	10.0%
Put IV 25d	17.7%	14.8%	20.5%	19.3%	14.8%
Bid-Ask Spread %	42.61	16.79	72.53	53.29	18.95
Gamma HHI	0.22	0.15	0.66	0.26	0.16
Net GEX	867.7K	-4.1M	27.8M	-4.1M	883.9K
Net DEX	2.2M	-59.0M	43.3M	43.3M	-29.5M
Net VEX	-733.8K	-921.2K	-545.1K	-765.5K	-779.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.69	0.61	9.44	9.44	0.84
Total Volume	15,298.773	4,471	25,746	25,746	5,982
Total OI	90,265.045	61,922	97,117	91,082	85,391

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
2016-03-01	$78.67	$77.00	16.1%	4.6%	22.1%	30.3%	17.0%	4.0%	0.2%	-4.1M	43.3M	-765.5K	9.44	53.29	N/A	N/A	2,466	23,280	14,371	76,711
2016-03-02	$79.39	$77.00	15.9%	4.6%	21.8%	29.5%	16.3%	3.1%	-0.4%	-2.9M	32.4M	-743.0K	5.65	71.53	N/A	N/A	2,538	14,352	14,767	77,001
2016-03-03	$79.80	$76.00	15.0%	4.4%	21.8%	25.0%	14.8%	5.8%	1.2%	-2.5M	25.9M	-742.2K	2.61	52.82	N/A	N/A	5,542	14,444	14,953	77,229
2016-03-04	$79.83	$76.00	14.5%	4.3%	21.8%	22.3%	16.5%	5.1%	1.0%	-906.0K	14.2M	-744.3K	5.93	53.28	N/A	N/A	2,435	14,444	17,966	77,211
2016-03-07	$80.02	$77.00	16.3%	4.4%	20.3%	31.7%	16.0%	5.2%	0.7%	-981.0K	14.3M	-741.9K	5.67	37.80	N/A	N/A	2,436	13,821	17,901	77,616
2016-03-08	$79.20	$77.00	17.8%	4.9%	17.2%	39.5%	16.2%	5.9%	0.3%	-1.7M	22.8M	-755.5K	5.63	58.11	N/A	N/A	2,433	13,692	17,997	77,694
2016-03-09	$79.64	$77.00	16.1%	4.6%	14.8%	30.6%	16.3%	5.7%	0.6%	-1.5M	18.9M	-757.3K	5.90	52.16	N/A	N/A	2,371	13,979	18,015	77,804
2016-03-10	$79.29	$77.00	17.0%	4.9%	15.2%	35.1%	15.9%	5.9%	0.7%	-2.4M	22.8M	-718.5K	5.33	47.85	N/A	N/A	2,590	13,796	18,029	77,954
2016-03-11	$81.15	$77.00	15.2%	4.4%	15.2%	25.9%	14.8%	5.7%	1.3%	-88.6K	-5.5M	-679.4K	5.51	52.18	N/A	N/A	2,455	13,522	18,144	78,321
2016-03-14	$80.85	$77.00	15.4%	4.4%	15.6%	26.9%	15.9%	5.6%	0.9%	955.5K	-7.8M	-673.0K	5.84	38.66	N/A	N/A	2,289	13,362	18,314	78,469
2016-03-15	$81.22	$77.00	15.7%	4.5%	14.9%	28.4%	18.1%	5.9%	0.8%	1.4M	-11.9M	-671.9K	0.91	42.98	N/A	N/A	2,336	2,135	18,404	78,662
2016-03-16	$82.15	$77.00	13.8%	3.9%	15.0%	18.5%	16.4%	5.5%	1.6%	4.8M	-38.8M	-583.4K	0.85	72.53	N/A	N/A	2,568	2,174	18,480	78,637
2016-03-17	$83.26	$77.00	13.2%	3.8%	15.2%	15.7%	15.0%	5.0%	1.6%	12.2M	-59.0M	-547.5K	0.79	47.50	N/A	N/A	2,764	2,170	18,341	78,635
2016-03-18	$83.03	$78.00	9.4%	2.7%	15.5%	0.0%	18.7%	4.8%	2.9%	27.8M	-50.6M	-545.1K	0.61	43.39	N/A	N/A	6,343	3,860	18,150	78,756
2016-03-21	$81.38	$81.00	13.5%	3.9%	17.7%	20.5%	14.7%	3.9%	1.0%	-2.5M	8.3M	-563.1K	1.32	48.46	N/A	N/A	10,829	14,340	9,771	52,151
2016-03-22	$81.35	$81.00	13.2%	3.8%	17.6%	18.6%	14.5%	3.4%	2.9%	-2.9M	21.9M	-889.1K	1.33	19.40	N/A	N/A	10,942	14,536	17,742	64,552
2016-03-23	$81.04	$81.00	12.6%	3.6%	17.7%	15.9%	13.6%	5.1%	1.6%	-2.7M	19.1M	-854.7K	3.56	48.09	N/A	N/A	4,100	14,586	17,916	64,976
2016-03-24	$80.96	$81.00	14.5%	4.1%	16.5%	25.1%	14.8%	3.5%	1.1%	-2.9M	31.0M	-921.2K	3.63	21.53	N/A	N/A	4,020	14,586	18,690	65,043
2016-03-28	$81.60	$81.00	14.0%	4.0%	16.4%	22.6%	17.9%	3.5%	0.9%	-1.5M	14.5M	-882.0K	3.85	21.60	N/A	N/A	3,838	14,770	19,556	65,201
2016-03-29	$83.39	$81.00	13.4%	3.9%	17.5%	20.0%	13.8%	3.1%	0.9%	205.5K	-17.2M	-798.6K	5.08	16.79	N/A	N/A	2,920	14,822	19,624	65,497
2016-03-30	$83.29	$81.00	13.5%	3.9%	16.1%	20.2%	14.3%	3.6%	0.8%	408.0K	-21.1M	-786.5K	0.90	18.49	N/A	N/A	3,000	2,705	19,696	65,493
2016-03-31	$83.87	$81.00	12.5%	3.6%	16.0%	15.2%	13.0%	4.9%	1.2%	883.9K	-29.5M	-779.4K	0.84	18.95	N/A	N/A	3,250	2,732	19,813	65,578