VNQ Options History — February 2017 In February 2017, VNQ traded between $81.48 and $85.88. ATM implied volatility averaged 13.3%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.9% (HV 20d: 11.4%). Max pain ranged from $82.00 to $84.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.65.
Notable Days 2017-02-02 : Highest Volume — 40,190 contracts2017-02-08 : Largest IV spike — 15.0% change2017-02-15 : Highest IV Rank — 25.7%2017-02-02 : Largest Expected Move — 4.5%Monthly Statistics Metric Avg Min Max Open Close Price $83.70 $81.48 $85.88 $81.48 $85.20 Max Pain $83.53 $82.00 $84.00 $82.00 $84.00 ATM IV 13.3% 12.3% 14.5% 14.2% 14.0% Expected Move 3.9% 3.5% 4.5% 4.1% 4.0% HV 20d 11.4% 10.4% 12.8% 12.8% 10.6% HV 60d 15.1% 14.4% 16.5% 16.4% 14.4% IV Rank 20.6% 14.9% 25.7% 23.7% 25.0% IV Percentile 17.8% 6.0% 36.1% 29.4% 32.5% Term Structure 1.4% 0.2% 2.8% 2.8% 0.7% VWIV 13.2% 12.3% 14.1% 12.9% 14.1% Skew 25d 2.5% 0.4% 3.6% 0.4% 2.1% Skew 10d 5.7% 0.8% 9.7% 0.8% 7.1% Call IV 25d 12.6% 11.2% 13.8% 13.8% 13.4% Put IV 25d 15.2% 14.2% 16.8% 14.2% 15.5% Bid-Ask Spread % 24.06 13.99 35.80 35.80 25.73 Gamma HHI 0.22 0.21 0.26 0.21 0.23 Net GEX 5.5M -3.5M 11.2M -3.5M 10.4M Net DEX -21.6M -91.6M 42.3M 42.3M -77.9M Net VEX -840.8K -940.3K -799.8K -940.3K -802.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.65 0.64 3.40 3.40 0.69 Total Volume 8,268.842 3,420 40,190 40,093 6,006 Total OI 86,180.158 82,745 92,969 84,487 86,393
Daily Data (19 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 2017-02-01 $81.48 $82.00 14.2% 4.1% 12.8% 23.7% 12.9% 0.4% 2.8% -3.5M 42.3M -940.3K 3.40 35.80 N/A N/A 9,112 30,981 30,058 54,429 2017-02-02 $82.40 $84.00 13.2% 4.5% 11.8% 18.6% 13.9% 3.0% 0.5% -1.9M 33.9M -932.5K 3.34 28.68 N/A N/A 9,253 30,937 30,066 54,536 2017-02-03 $82.82 $84.00 12.8% 4.1% 11.9% 17.0% 13.3% 3.3% 1.4% 1.0M 10.9M -924.1K 1.71 23.79 N/A N/A 1,520 2,600 30,127 54,472 2017-02-06 $82.69 $84.00 12.4% 4.1% 11.8% 14.9% 13.4% 3.0% 1.2% 1.1M 10.6M -877.6K 1.93 24.49 N/A N/A 1,379 2,664 30,419 54,913 2017-02-07 $82.31 $84.00 12.6% 4.1% 11.3% 16.0% 13.1% 3.6% 1.8% -104.9K 18.2M -865.6K 2.06 25.86 N/A N/A 1,288 2,658 30,405 54,987 2017-02-08 $83.13 $84.00 14.5% 4.2% 11.6% 25.4% 13.8% 2.5% 1.3% 3.0M 1.9M -844.3K 1.73 22.57 N/A N/A 1,533 2,650 30,414 55,094 2017-02-09 $83.22 $84.00 13.5% 3.9% 11.4% 22.4% 13.2% 2.6% 2.5% 4.4M -4.2M -837.0K 1.60 13.99 N/A N/A 1,648 2,644 30,540 55,254 2017-02-10 $83.80 $83.00 13.2% 3.8% 11.6% 20.6% 12.4% 2.3% 2.6% 8.9M -23.3M -821.7K 1.01 20.24 N/A N/A 2,383 2,399 30,882 55,144 2017-02-13 $83.95 $83.00 13.5% 3.9% 11.6% 22.0% 12.5% 2.5% 1.6% 11.2M -34.9M -803.2K 1.77 20.48 N/A N/A 1,348 2,385 31,945 55,026 2017-02-14 $83.39 $83.00 14.1% 4.1% 11.7% 25.7% 12.4% 2.4% 1.3% 6.0M -14.0M -816.8K 1.27 21.24 N/A N/A 1,811 2,306 31,983 55,110 2017-02-15 $83.21 $83.00 14.1% 4.1% 11.7% 25.7% 13.6% 2.7% 1.6% 4.8M -7.8M -812.7K 1.37 21.57 N/A N/A 1,995 2,732 32,518 55,377 2017-02-16 $83.54 $83.00 13.5% 3.9% 11.1% 22.4% 14.1% 2.8% 1.1% 8.4M -23.7M -815.8K 0.73 21.55 N/A N/A 3,393 2,483 32,651 55,908 2017-02-17 $83.65 $83.00 13.1% 3.8% 10.8% 20.3% 13.1% 3.2% 2.1% 4.8M -23.2M -836.9K 0.64 20.21 N/A N/A 3,602 2,310 34,787 58,182 2017-02-21 $84.78 $83.00 12.3% 3.5% 11.3% 15.9% 13.2% 2.6% 1.0% 8.3M -50.1M -801.8K 2.22 22.34 N/A N/A 1,753 3,891 30,128 52,617 2017-02-22 $84.51 $84.00 12.6% 3.6% 11.4% 17.3% 13.0% 2.3% 1.6% 7.2M -42.6M -810.7K 1.01 28.54 N/A N/A 2,403 2,438 30,599 54,299 2017-02-23 $85.01 $84.00 13.1% 3.8% 11.2% 20.2% 12.3% 2.1% 0.5% 9.3M -61.0M -821.3K 1.76 22.39 N/A N/A 1,241 2,179 31,793 54,186 2017-02-24 $85.41 $84.00 12.4% 3.6% 11.2% 16.4% 13.0% 3.0% 1.0% 10.6M -74.6M -811.4K 1.66 30.10 N/A N/A 1,309 2,170 31,880 54,190 2017-02-27 $85.88 $84.00 13.6% 3.9% 10.4% 22.8% 13.6% 1.9% 0.2% 10.9M -91.6M -799.8K 1.44 27.53 N/A N/A 1,518 2,186 31,951 54,160 2017-02-28 $85.20 $84.00 14.0% 4.0% 10.6% 25.0% 14.1% 2.1% 0.7% 10.4M -77.9M -802.2K 0.69 25.73 N/A N/A 3,552 2,454 32,235 54,158
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