VNQ Options History — August 2016

In August 2016, VNQ traded between $88.18 and $92.57. ATM implied volatility averaged 14.1%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 2.8% (HV 20d: 11.2%). Max pain ranged from $87.00 to $88.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.72.

Notable Days

2016-08-26: Highest Volume — 17,559 contracts
2016-08-24: Largest IV spike — 21.8% change
2016-08-30: Highest IV Rank — 35.8%
2016-08-30: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.76	$88.18	$92.57	$92.57	$89.07
Max Pain	$87.39	$87.00	$88.00	$88.00	$88.00
ATM IV	14.1%	11.7%	16.7%	11.7%	14.6%
Expected Move	4.1%	3.4%	4.8%	3.4%	4.2%
HV 20d	11.2%	9.2%	13.2%	11.9%	9.2%
HV 60d	11.8%	10.9%	13.5%	13.2%	11.3%
IV Rank	23.1%	11.6%	35.8%	11.6%	25.6%
IV Percentile	30.7%	2.0%	63.5%	2.0%	40.9%
Term Structure	1.5%	-1.0%	3.1%	1.2%	1.5%
VWIV	15.3%	12.4%	18.9%	13.0%	18.4%
Skew 25d	4.0%	2.7%	5.5%	2.7%	4.7%
Skew 10d	8.1%	5.8%	10.3%	5.8%	10.0%
Call IV 25d	12.7%	11.0%	14.0%	11.0%	13.5%
Put IV 25d	16.7%	13.6%	19.6%	13.6%	18.2%
Bid-Ask Spread %	30.79	16.58	38.51	19.29	26.19
Gamma HHI	0.36	0.23	0.50	0.50	0.23
Net GEX	16.9M	9.4M	24.1M	24.1M	17.1M
Net DEX	-104.3M	-230.3M	-27.7M	-230.3M	-67.7M
Net VEX	-1.4M	-1.7M	-1.2M	-1.7M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.72	0.89	22.10	1.05	1.58
Total Volume	5,361.043	1,172	17,559	3,605	4,576
Total OI	134,995.087	127,715	154,423	127,715	154,423

Daily Data (23 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
2016-08-01	$92.57	$88.00	11.7%	3.4%	11.9%	11.6%	13.0%	2.7%	1.2%	24.1M	-230.3M	-1.7M	1.05	19.29	N/A	N/A	1,756	1,849	74,308	53,407
2016-08-02	$91.18	$88.00	14.1%	4.1%	13.0%	23.5%	13.8%	2.9%	0.8%	21.1M	-175.2M	-1.6M	1.05	16.58	N/A	N/A	1,953	2,053	74,458	53,512
2016-08-03	$90.58	$88.00	13.8%	4.0%	13.2%	21.8%	15.3%	3.2%	1.0%	19.8M	-154.3M	-1.6M	1.15	28.61	N/A	N/A	1,727	1,984	74,557	53,671
2016-08-04	$90.27	$87.00	13.9%	4.3%	12.5%	22.5%	16.1%	4.3%	1.4%	19.1M	-142.5M	-1.5M	1.17	38.51	N/A	N/A	1,622	1,894	74,589	53,762
2016-08-05	$90.24	$87.00	12.7%	4.1%	11.1%	16.4%	15.5%	3.7%	2.1%	19.6M	-138.4M	-1.5M	1.20	32.31	N/A	N/A	1,538	1,841	74,649	53,792
2016-08-08	$90.36	$87.00	13.7%	4.1%	10.8%	21.5%	16.2%	3.4%	1.2%	20.4M	-140.4M	-1.5M	1.34	38.14	N/A	N/A	1,462	1,964	74,630	53,834
2016-08-09	$90.94	$87.00	13.0%	3.8%	11.0%	17.9%	14.6%	3.8%	2.6%	21.7M	-152.3M	-1.4M	1.40	37.04	N/A	N/A	1,472	2,058	74,623	53,923
2016-08-10	$90.86	$87.00	13.3%	3.8%	10.8%	19.5%	15.2%	3.1%	2.0%	21.7M	-156.0M	-1.4M	1.91	35.36	N/A	N/A	1,444	2,753	74,674	53,912
2016-08-11	$89.82	$87.00	14.0%	4.0%	11.2%	22.7%	15.9%	3.6%	2.2%	17.7M	-108.6M	-1.3M	1.89	32.61	N/A	N/A	1,654	3,119	74,689	54,938
2016-08-12	$90.21	$87.00	13.9%	4.0%	11.3%	22.2%	15.9%	4.0%	2.2%	18.8M	-134.2M	-1.4M	1.96	26.39	N/A	N/A	1,668	3,261	74,923	55,307
2016-08-15	$90.11	$87.00	13.6%	3.9%	11.2%	20.7%	14.7%	4.0%	2.3%	19.8M	-125.6M	-1.4M	1.75	28.17	N/A	N/A	1,778	3,104	75,021	55,382
2016-08-16	$89.13	$87.00	13.6%	3.9%	11.8%	20.9%	14.8%	4.2%	3.1%	16.2M	-81.7M	-1.2M	1.30	32.63	N/A	N/A	2,221	2,894	75,207	55,653
2016-08-17	$89.42	$87.00	13.8%	4.0%	11.8%	21.9%	18.3%	4.3%	3.1%	17.3M	-94.7M	-1.3M	22.10	29.01	N/A	N/A	337	7,448	75,145	55,720
2016-08-18	$89.09	$87.00	13.4%	3.9%	11.8%	20.0%	12.6%	3.9%	2.8%	12.7M	-71.3M	-1.3M	2.20	26.82	N/A	N/A	366	806	75,146	62,665
2016-08-19	$88.58	$87.00	14.5%	4.2%	11.3%	25.2%	13.1%	4.1%	2.0%	10.0M	-47.7M	-1.3M	1.83	35.82	N/A	N/A	2,202	4,036	75,393	63,308
2016-08-22	$88.98	$87.00	15.3%	4.4%	11.5%	29.1%	15.0%	4.3%	-0.4%	11.0M	-50.3M	-1.3M	2.14	31.45	N/A	N/A	1,800	3,846	72,376	62,097
2016-08-23	$89.12	$87.00	12.5%	3.6%	11.4%	15.5%	12.4%	4.1%	2.6%	12.0M	-66.1M	-1.2M	0.89	31.05	N/A	N/A	4,397	3,923	72,587	62,356
2016-08-24	$88.66	$88.00	15.3%	4.4%	11.2%	28.9%	15.9%	4.4%	-0.7%	12.3M	-47.8M	-1.3M	7.65	33.28	N/A	N/A	191	1,461	75,099	62,506
2016-08-25	$89.04	$88.00	14.9%	4.3%	10.6%	27.1%	16.9%	4.8%	1.0%	13.3M	-61.2M	-1.3M	2.80	30.06	N/A	N/A	2,338	6,553	75,381	63,927
2016-08-26	$88.18	$88.00	16.4%	4.7%	9.7%	34.6%	16.6%	5.5%	0.1%	9.4M	-27.7M	-1.2M	1.07	28.48	N/A	N/A	8,471	9,088	76,194	65,363
2016-08-29	$89.07	$88.00	14.7%	4.2%	10.6%	26.1%	13.1%	4.3%	1.0%	17.0M	-68.2M	-1.3M	1.26	36.09	N/A	N/A	2,915	3,685	81,851	71,888
2016-08-30	$88.94	$88.00	16.7%	4.8%	9.4%	35.8%	18.9%	4.3%	-1.0%	15.4M	-57.5M	-1.3M	1.96	34.29	N/A	N/A	1,956	3,840	81,938	72,103
2016-08-31	$89.07	$88.00	14.6%	4.2%	9.2%	25.6%	18.4%	4.7%	1.5%	17.1M	-67.7M	-1.3M	1.58	26.19	N/A	N/A	1,774	2,802	82,003	72,420