VNQ Options History — June 2016

In June 2016, VNQ traded between $83.64 and $88.57. ATM implied volatility averaged 15.2%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.4% (HV 20d: 11.8%). Max pain ranged from $82.00 to $85.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.27.

Notable Days

2016-06-03: Highest Volume — 16,885 contracts
2016-06-24: Largest IV spike — 20.0% change
2016-06-27: Highest IV Rank — 45.3%
2016-06-27: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$85.27	$83.64	$88.57	$83.64	$88.57
Max Pain	$84.86	$82.00	$85.00	$82.00	$85.00
ATM IV	15.2%	13.3%	18.6%	14.9%	13.3%
Expected Move	4.4%	3.8%	5.3%	4.3%	3.8%
HV 20d	11.8%	7.2%	17.1%	17.1%	11.0%
HV 60d	14.2%	13.1%	15.4%	15.4%	13.9%
IV Rank	28.9%	19.5%	45.3%	27.4%	19.5%
IV Percentile	44.4%	17.9%	74.2%	42.1%	17.9%
Term Structure	0.5%	-2.3%	1.6%	0.0%	1.4%
VWIV	16.9%	14.3%	20.0%	15.0%	15.6%
Skew 25d	4.7%	2.8%	6.4%	2.8%	4.8%
Skew 10d	10.8%	5.0%	18.1%	5.0%	10.3%
Call IV 25d	13.7%	11.7%	16.6%	14.1%	11.7%
Put IV 25d	18.4%	16.5%	22.1%	16.9%	16.5%
Bid-Ask Spread %	36.82	29.32	46.05	29.32	32.84
Gamma HHI	0.39	0.19	0.50	0.19	0.50
Net GEX	13.2M	3.6M	23.0M	3.6M	23.0M
Net DEX	-92.5M	-187.9M	-12.2M	-12.2M	-187.9M
Net VEX	-1.1M	-1.3M	-723.7K	-842.0K	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.21	2.56	1.48	1.92
Total Volume	6,401.591	4,177	16,885	4,889	4,971
Total OI	124,691	97,636	148,846	123,715	102,119

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
2016-06-01	$83.64	$82.00	14.9%	4.3%	17.1%	27.4%	15.0%	2.8%	0.0%	3.6M	-12.2M	-842.0K	1.48	29.32	N/A	N/A	1,974	2,915	49,008	74,707
2016-06-02	$84.18	$85.00	14.5%	4.3%	16.4%	25.0%	16.5%	4.7%	0.7%	4.7M	-26.5M	-867.8K	0.39	33.84	N/A	N/A	7,924	3,119	49,024	74,970
2016-06-03	$84.52	$85.00	13.6%	4.0%	16.4%	20.8%	15.5%	4.1%	1.3%	9.2M	-70.0M	-723.7K	0.21	33.94	N/A	N/A	13,898	2,987	55,054	75,324
2016-06-06	$83.86	$85.00	13.9%	4.1%	16.1%	22.3%	16.7%	4.5%	1.1%	9.9M	-62.2M	-860.5K	0.71	33.23	N/A	N/A	4,537	3,241	66,718	75,431
2016-06-07	$84.28	$85.00	14.2%	4.1%	15.6%	23.9%	16.1%	4.1%	1.2%	10.9M	-73.9M	-923.8K	0.62	36.65	N/A	N/A	4,454	2,760	69,289	76,139
2016-06-08	$84.91	$85.00	14.0%	4.0%	15.9%	22.8%	15.3%	3.8%	1.0%	12.6M	-96.1M	-984.4K	0.69	35.43	N/A	N/A	3,992	2,744	69,505	76,199
2016-06-09	$85.15	$85.00	14.0%	4.0%	13.9%	22.8%	15.5%	4.2%	1.6%	13.2M	-108.5M	-960.5K	0.64	36.93	N/A	N/A	4,134	2,660	69,505	76,245
2016-06-10	$84.72	$85.00	14.6%	4.2%	13.9%	25.6%	14.3%	4.3%	1.3%	12.3M	-96.7M	-1.0M	0.54	39.77	N/A	N/A	4,622	2,482	69,644	76,310
2016-06-13	$84.63	$85.00	15.7%	4.5%	13.5%	31.2%	18.2%	5.8%	1.5%	10.5M	-82.4M	-1.2M	0.63	30.87	N/A	N/A	4,103	2,574	70,454	76,407
2016-06-14	$84.47	$85.00	17.4%	5.0%	13.1%	39.8%	18.3%	5.8%	1.1%	10.1M	-79.8M	-1.2M	1.47	40.11	N/A	N/A	1,689	2,488	70,865	76,513
2016-06-15	$85.31	$85.00	16.0%	4.6%	13.0%	32.6%	18.2%	5.3%	1.5%	14.7M	-134.4M	-1.1M	1.64	39.99	N/A	N/A	1,983	3,250	71,021	76,641
2016-06-16	$85.76	$85.00	15.6%	4.5%	8.9%	30.6%	19.4%	6.4%	1.6%	13.3M	-121.9M	-1.2M	1.30	38.80	N/A	N/A	2,616	3,408	71,273	76,918
2016-06-17	$85.60	$85.00	15.5%	4.4%	8.0%	29.9%	18.0%	5.5%	1.2%	15.4M	-142.2M	-1.1M	1.11	34.34	N/A	N/A	2,821	3,138	71,670	77,176
2016-06-20	$85.66	$85.00	14.3%	4.1%	7.9%	24.0%	15.0%	3.9%	0.5%	15.0M	-93.1M	-1.2M	1.05	39.35	N/A	N/A	3,011	3,155	62,911	34,725
2016-06-21	$85.38	$85.00	15.9%	4.6%	8.1%	32.2%	16.8%	5.0%	-0.1%	15.4M	-83.6M	-1.2M	1.86	38.69	N/A	N/A	1,905	3,536	62,978	35,789
2016-06-22	$85.22	$85.00	17.1%	4.9%	7.2%	38.1%	18.0%	5.5%	-1.0%	14.2M	-73.6M	-1.2M	1.73	35.05	N/A	N/A	1,631	2,817	63,403	36,071
2016-06-23	$85.60	$85.00	14.7%	4.2%	7.2%	26.2%	16.4%	4.1%	-0.3%	15.6M	-80.2M	-1.1M	1.79	39.81	N/A	N/A	1,558	2,793	63,498	36,237
2016-06-24	$85.08	$85.00	17.6%	5.1%	7.7%	40.7%	18.6%	5.2%	-1.7%	13.8M	-63.8M	-1.2M	1.80	46.05	N/A	N/A	1,568	2,817	63,652	36,436
2016-06-27	$84.95	$85.00	18.6%	5.3%	7.6%	45.3%	20.0%	5.5%	-2.3%	13.3M	-60.0M	-1.1M	1.81	42.87	N/A	N/A	1,729	3,121	63,818	36,670
2016-06-28	$86.64	$85.00	15.8%	4.5%	10.2%	31.6%	19.1%	4.7%	-0.5%	18.0M	-118.5M	-1.3M	2.05	38.23	N/A	N/A	1,567	3,217	64,003	37,159
2016-06-29	$87.76	$85.00	14.0%	4.0%	10.8%	23.0%	15.8%	4.1%	0.6%	20.7M	-166.9M	-1.3M	2.56	33.93	N/A	N/A	1,382	3,544	64,235	37,488
2016-06-30	$88.57	$85.00	13.3%	3.8%	11.0%	19.5%	15.6%	4.8%	1.4%	23.0M	-187.9M	-1.3M	1.92	32.84	N/A	N/A	1,705	3,266	64,358	37,761