VNQ Options History — July 2016

In July 2016, VNQ traded between $88.31 and $92.46. ATM implied volatility averaged 12.8%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.6% (HV 20d: 12.2%). Max pain ranged from $85.00 to $88.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.46.

Notable Days

2016-07-06: Highest Volume — 112,541 contracts
2016-07-08: Largest IV drop — 17.9% change
2016-07-07: Highest IV Rank — 31.0%
2016-07-07: Largest Expected Move — 4.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$90.46	$88.31	$92.46	$88.75	$92.46
Max Pain	$87.75	$85.00	$88.00	$85.00	$88.00
ATM IV	12.8%	11.0%	15.7%	12.7%	11.4%
Expected Move	3.7%	3.2%	4.4%	3.6%	3.3%
HV 20d	12.2%	10.5%	13.0%	11.0%	11.9%
HV 60d	13.8%	13.2%	14.5%	13.8%	13.2%
IV Rank	17.0%	8.2%	31.0%	16.3%	10.0%
IV Percentile	16.2%	0.8%	52.4%	13.1%	1.6%
Term Structure	1.3%	0.1%	2.0%	0.9%	2.0%
VWIV	13.3%	11.6%	16.7%	16.1%	12.5%
Skew 25d	3.7%	3.1%	4.8%	4.0%	3.3%
Skew 10d	8.3%	6.0%	11.4%	11.0%	8.2%
Call IV 25d	11.4%	10.1%	13.7%	11.6%	10.8%
Put IV 25d	15.1%	13.3%	18.0%	15.7%	14.1%
Bid-Ask Spread %	33.78	24.98	42.70	30.15	30.17
Gamma HHI	0.53	0.42	0.59	0.51	0.50
Net GEX	21.5M	15.6M	24.1M	23.2M	23.9M
Net DEX	-191.6M	-238.8M	-122.9M	-210.9M	-222.4M
Net VEX	-1.4M	-1.7M	-1.3M	-1.4M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.03	7.49	1.58	0.80
Total Volume	22,347.7	4,105	112,541	5,419	4,588
Total OI	111,823.9	102,489	127,329	102,489	127,329

Daily Data (20 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
2016-07-01	$88.75	$85.00	12.7%	3.6%	11.0%	16.3%	16.1%	4.0%	0.9%	23.2M	-210.9M	-1.4M	1.58	30.15	N/A	N/A	2,103	3,316	64,782	37,707
2016-07-05	$89.61	$87.00	14.4%	4.2%	10.5%	24.6%	16.7%	4.5%	0.4%	24.0M	-238.8M	-1.4M	1.34	33.99	N/A	N/A	2,382	3,181	64,994	38,095
2016-07-06	$89.32	$87.00	15.3%	4.4%	10.8%	29.0%	16.5%	4.8%	0.1%	24.1M	-233.8M	-1.3M	0.03	33.81	N/A	N/A	108,937	3,604	65,771	38,340
2016-07-07	$88.31	$88.00	15.7%	4.4%	11.7%	31.0%	14.4%	4.3%	0.9%	15.6M	-122.9M	-1.3M	0.05	31.38	N/A	N/A	74,497	3,396	73,001	39,291
2016-07-08	$89.81	$88.00	12.9%	3.8%	12.9%	17.1%	13.2%	4.1%	0.8%	18.5M	-167.1M	-1.4M	0.06	33.69	N/A	N/A	54,746	3,487	73,614	39,658
2016-07-11	$90.45	$88.00	14.1%	3.8%	12.6%	23.2%	13.5%	3.8%	1.5%	19.9M	-185.7M	-1.5M	0.06	31.67	N/A	N/A	54,372	3,054	73,788	40,156
2016-07-12	$90.40	$88.00	13.7%	3.7%	12.6%	21.5%	13.2%	3.8%	1.0%	19.9M	-185.6M	-1.4M	0.05	33.54	N/A	N/A	54,631	2,942	73,870	40,277
2016-07-13	$90.89	$88.00	11.9%	3.4%	12.5%	12.7%	12.4%	3.2%	1.4%	21.6M	-200.6M	-1.4M	1.23	36.61	N/A	N/A	2,144	2,640	74,190	40,400
2016-07-14	$90.09	$88.00	13.0%	3.7%	13.0%	17.6%	12.6%	3.8%	1.3%	19.5M	-183.4M	-1.4M	1.04	42.70	N/A	N/A	2,567	2,669	74,565	40,442
2016-07-15	$90.09	$88.00	12.2%	3.5%	13.0%	14.1%	12.7%	3.6%	1.7%	19.4M	-176.4M	-1.4M	1.41	38.26	N/A	N/A	1,925	2,710	74,726	40,555
2016-07-18	$90.35	$88.00	12.6%	3.6%	12.9%	15.9%	12.0%	4.0%	1.2%	20.6M	-163.0M	-1.3M	1.44	38.27	N/A	N/A	1,729	2,482	72,564	37,420
2016-07-19	$90.70	$88.00	12.0%	3.4%	12.9%	12.7%	11.7%	3.5%	1.4%	21.7M	-173.7M	-1.4M	1.48	38.69	N/A	N/A	1,659	2,447	72,719	37,588
2016-07-20	$90.73	$88.00	11.8%	3.4%	12.7%	11.9%	11.7%	3.4%	1.5%	21.4M	-185.5M	-1.4M	2.06	34.51	N/A	N/A	1,402	2,882	72,790	37,655
2016-07-21	$90.92	$88.00	11.9%	3.4%	12.6%	12.5%	11.6%	3.6%	1.6%	22.1M	-179.3M	-1.4M	2.05	35.26	N/A	N/A	1,402	2,869	72,954	38,210
2016-07-22	$91.79	$88.00	11.0%	3.2%	12.8%	8.2%	12.0%	3.2%	1.9%	24.1M	-220.9M	-1.5M	1.98	33.52	N/A	N/A	1,481	2,938	73,047	38,241
2016-07-25	$91.62	$88.00	12.1%	3.5%	12.4%	13.3%	12.7%	3.3%	1.3%	23.3M	-212.8M	-1.4M	2.11	32.70	N/A	N/A	1,352	2,857	73,191	38,343
2016-07-26	$91.17	$88.00	12.3%	3.5%	12.7%	14.4%	13.3%	3.2%	1.7%	22.7M	-201.9M	-1.4M	2.01	24.98	N/A	N/A	1,363	2,742	73,232	38,413
2016-07-27	$90.39	$88.00	13.0%	3.7%	11.8%	18.0%	12.8%	3.4%	1.6%	21.0M	-163.2M	-1.3M	0.97	29.76	N/A	N/A	2,315	2,257	73,267	38,547
2016-07-28	$91.32	$88.00	12.6%	3.6%	11.6%	15.9%	13.8%	3.1%	1.5%	23.9M	-204.6M	-1.4M	7.49	31.95	N/A	N/A	2,225	16,661	74,142	38,604
2016-07-29	$92.46	$88.00	11.4%	3.3%	11.9%	10.0%	12.5%	3.3%	2.0%	23.9M	-222.4M	-1.7M	0.80	30.17	N/A	N/A	2,555	2,033	74,127	53,202