VNQ Options History — September 2016

In September 2016, VNQ traded between $84.41 and $90.76. ATM implied volatility averaged 16.4%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 2.7% (HV 20d: 19.1%). Max pain ranged from $85.00 to $88.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.90.

Notable Days

2016-09-16: Highest Volume — 58,118 contracts
2016-09-09: Largest IV spike — 84.8% change
2016-09-13: Highest IV Rank — 91.2%
2016-09-13: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.44	$84.41	$90.76	$88.68	$87.01
Max Pain	$86.14	$85.00	$88.00	$88.00	$85.00
ATM IV	16.4%	11.1%	27.9%	17.5%	15.6%
Expected Move	4.6%	3.7%	5.9%	5.0%	4.5%
HV 20d	19.1%	9.2%	23.4%	9.2%	23.4%
HV 60d	14.8%	11.2%	16.3%	11.2%	16.0%
IV Rank	34.6%	8.6%	91.2%	40.0%	30.6%
IV Percentile	54.5%	1.2%	99.6%	70.2%	57.9%
Term Structure	0.8%	-1.2%	2.0%	-1.2%	1.1%
VWIV	16.6%	13.2%	21.6%	16.7%	15.9%
Skew 25d	4.3%	3.5%	5.1%	4.9%	4.1%
Skew 10d	9.2%	7.1%	12.6%	8.2%	8.1%
Call IV 25d	14.5%	12.2%	18.6%	14.1%	13.8%
Put IV 25d	18.8%	15.7%	23.0%	19.0%	17.9%
Bid-Ask Spread %	28.32	21.31	37.42	35.84	24.59
Gamma HHI	0.21	0.12	0.75	0.22	0.13
Net GEX	-4.2M	-94.4M	28.6M	14.2M	-5.6M
Net DEX	21.8M	-152.5M	129.7M	-45.6M	65.2M
Net VEX	-1.0M	-1.3M	-876.2K	-1.3M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.06	3.82	1.37	0.38
Total Volume	30,671.905	4,317	58,118	4,913	56,341
Total OI	117,816.857	69,011	161,727	154,663	88,459

Daily Data (21 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
2016-09-01	$88.68	$88.00	17.5%	5.0%	9.2%	40.0%	16.7%	4.9%	-1.2%	14.2M	-45.6M	-1.3M	1.37	35.84	N/A	N/A	2,073	2,840	82,078	72,585
2016-09-02	$89.51	$88.00	14.2%	4.1%	9.9%	23.9%	13.2%	4.1%	2.0%	20.8M	-86.6M	-1.3M	0.56	29.32	N/A	N/A	4,960	2,778	82,438	72,587
2016-09-06	$90.13	$88.00	14.9%	4.3%	10.2%	27.2%	16.3%	4.1%	0.9%	24.1M	-118.4M	-1.2M	0.56	37.42	N/A	N/A	4,625	2,578	82,402	72,623
2016-09-07	$90.76	$88.00	12.9%	3.9%	10.3%	17.5%	14.0%	4.7%	1.5%	28.6M	-152.5M	-1.3M	1.62	36.24	N/A	N/A	1,648	2,669	82,494	72,734
2016-09-08	$89.75	$88.00	11.1%	4.1%	11.0%	8.6%	15.1%	4.0%	1.3%	25.9M	-107.0M	-1.2M	1.24	34.60	N/A	N/A	2,322	2,876	82,695	73,121
2016-09-09	$86.24	$88.00	20.6%	5.3%	17.5%	55.2%	18.7%	4.6%	0.5%	-3.6M	61.1M	-1.0M	3.29	27.77	N/A	N/A	1,723	5,669	83,453	73,503
2016-09-12	$87.39	$88.00	20.0%	5.1%	18.2%	52.3%	18.6%	4.4%	0.6%	172.1K	16.5M	-1.1M	1.55	29.16	N/A	N/A	3,569	5,542	83,597	76,821
2016-09-13	$84.41	$88.00	27.9%	5.9%	21.6%	91.2%	21.6%	4.3%	-0.3%	-15.2M	129.7M	-998.8K	1.96	21.78	N/A	N/A	3,048	5,981	82,739	77,549
2016-09-14	$84.67	$85.00	19.6%	5.6%	21.5%	50.6%	20.0%	4.5%	0.0%	-21.6M	122.1M	-963.6K	3.82	25.81	N/A	N/A	2,077	7,926	83,791	77,936
2016-09-15	$84.99	$85.00	18.5%	5.3%	21.6%	45.2%	18.8%	4.7%	0.2%	-28.2M	105.3M	-979.6K	0.62	29.32	N/A	N/A	14,957	9,331	84,147	77,239
2016-09-16	$85.02	$85.00	17.1%	4.9%	21.6%	38.2%	17.4%	5.1%	1.3%	-94.4M	121.3M	-912.9K	0.41	21.50	N/A	N/A	41,221	16,897	71,178	80,017
2016-09-19	$85.74	$85.00	16.4%	4.7%	21.9%	34.7%	16.7%	5.0%	0.8%	-8.3M	86.2M	-928.1K	0.35	21.57	N/A	N/A	41,400	14,393	15,247	53,764
2016-09-20	$85.79	$85.00	16.6%	4.8%	21.8%	35.6%	15.2%	4.8%	0.3%	-7.7M	78.0M	-939.4K	0.34	21.31	N/A	N/A	42,715	14,488	16,312	53,952
2016-09-21	$86.75	$85.00	14.9%	4.3%	22.2%	27.0%	14.6%	4.3%	0.7%	-6.2M	61.8M	-929.5K	0.06	26.92	N/A	N/A	43,673	2,432	17,550	54,025
2016-09-22	$88.30	$85.00	13.7%	3.9%	23.2%	21.2%	14.0%	3.9%	1.1%	-2.3M	17.8M	-876.2K	0.07	33.94	N/A	N/A	41,691	2,889	19,018	54,212
2016-09-23	$88.57	$85.00	12.9%	3.7%	23.1%	17.2%	14.1%	3.5%	1.7%	-1.4M	11.8M	-880.6K	0.08	30.97	N/A	N/A	43,784	3,327	19,340	54,107
2016-09-26	$88.81	$85.00	14.5%	4.2%	22.9%	25.2%	15.8%	4.0%	1.1%	-1.3M	11.3M	-877.6K	0.08	29.39	N/A	N/A	41,271	3,379	19,467	54,652
2016-09-27	$87.71	$85.00	15.1%	4.3%	23.0%	28.1%	17.9%	3.5%	1.0%	-2.6M	27.6M	-880.7K	0.08	28.49	N/A	N/A	40,912	3,357	20,267	54,855
2016-09-28	$88.36	$85.00	14.6%	4.2%	23.2%	25.9%	16.7%	3.9%	1.2%	-1.6M	19.5M	-899.9K	0.08	24.82	N/A	N/A	40,903	3,363	20,392	55,050
2016-09-29	$87.59	$85.00	15.6%	4.5%	23.4%	30.6%	18.1%	3.6%	1.6%	-2.8M	33.7M	-910.8K	0.39	24.00	N/A	N/A	40,764	15,718	20,567	55,191
2016-09-30	$87.01	$85.00	15.6%	4.5%	23.4%	30.6%	15.9%	4.1%	1.1%	-5.6M	65.2M	-1.1M	0.38	24.59	N/A	N/A	40,792	15,549	20,613	67,846