VNQ Options History — March 2017

In March 2017, VNQ traded between $80.38 and $85.10. ATM implied volatility averaged 13.2%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.8% (HV 20d: 12.4%). Max pain ranged from $81.00 to $84.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.17.

Notable Days

2017-03-15: Highest Volume — 18,697 contracts
2017-03-15: Largest IV drop — 19.3% change
2017-03-14: Highest IV Rank — 38.9%
2017-03-09: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.24	$80.38	$85.10	$85.10	$82.70
Max Pain	$82.17	$81.00	$84.00	$84.00	$81.00
ATM IV	13.2%	10.6%	16.6%	14.7%	10.6%
Expected Move	3.7%	3.0%	4.3%	4.2%	3.0%
HV 20d	12.4%	9.3%	14.3%	10.4%	13.9%
HV 60d	13.1%	11.7%	13.9%	13.9%	11.7%
IV Rank	17.8%	0.0%	38.9%	28.8%	0.0%
IV Percentile	24.1%	0.0%	69.4%	46.4%	0.0%
Term Structure	2.0%	-0.7%	7.1%	-0.7%	2.8%
VWIV	13.2%	11.5%	14.8%	13.9%	11.5%
Skew 25d	2.6%	1.2%	4.2%	1.9%	1.8%
Skew 10d	5.3%	0.8%	8.5%	6.2%	3.2%
Call IV 25d	11.9%	9.9%	13.5%	13.5%	9.9%
Put IV 25d	14.6%	11.7%	16.6%	15.4%	11.7%
Bid-Ask Spread %	29.16	20.62	44.92	25.20	23.43
Gamma HHI	0.17	0.13	0.23	0.22	0.13
Net GEX	-970.5K	-18.3M	10.8M	10.8M	8.4M
Net DEX	9.6M	-70.5M	107.3M	-70.5M	-62.6M
Net VEX	-746.5K	-821.1K	-683.8K	-821.1K	-775.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.17	0.13	2.80	2.03	0.13
Total Volume	5,791.913	2,302	18,697	3,709	9,358
Total OI	88,018.609	71,999	107,056	88,706	91,068

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
2017-03-01	$85.10	$84.00	14.7%	4.2%	10.4%	28.8%	13.9%	1.9%	-0.7%	10.8M	-70.5M	-821.1K	2.03	25.20	N/A	N/A	1,225	2,484	34,204	54,502
2017-03-02	$84.58	$84.00	13.6%	3.9%	9.7%	22.5%	14.0%	2.6%	0.3%	10.1M	-53.2M	-803.2K	2.24	23.56	N/A	N/A	1,248	2,794	34,261	54,810
2017-03-03	$84.16	$84.00	12.7%	3.6%	9.3%	17.7%	13.3%	2.6%	0.1%	9.1M	-40.4M	-799.4K	1.74	29.92	N/A	N/A	1,444	2,514	34,364	55,102
2017-03-06	$83.85	$84.00	14.6%	3.8%	9.3%	28.0%	14.1%	3.5%	2.0%	7.6M	-21.0M	-771.9K	2.36	30.74	N/A	N/A	1,123	2,652	34,524	55,382
2017-03-07	$83.40	$84.00	14.3%	4.0%	9.5%	26.5%	14.3%	2.4%	1.2%	4.2M	-3.6M	-742.9K	0.88	36.33	N/A	N/A	2,801	2,461	34,569	55,288
2017-03-08	$81.86	$84.00	15.2%	3.9%	11.6%	31.5%	14.4%	3.3%	1.6%	-3.6M	37.4M	-728.4K	2.80	35.61	N/A	N/A	2,866	8,037	34,315	55,426
2017-03-09	$80.80	$84.00	15.4%	4.3%	11.8%	32.8%	13.3%	4.2%	2.1%	-14.1M	90.5M	-735.0K	1.28	37.41	N/A	N/A	2,061	2,637	34,652	59,227
2017-03-10	$80.38	$83.00	14.8%	3.8%	11.8%	29.6%	13.8%	3.6%	2.2%	-17.2M	107.3M	-704.8K	1.51	30.34	N/A	N/A	1,667	2,509	34,898	59,307
2017-03-13	$80.65	$83.00	16.0%	3.9%	11.5%	35.9%	12.8%	3.6%	2.4%	-18.0M	99.7M	-698.7K	0.67	31.66	N/A	N/A	3,436	2,295	35,050	59,485
2017-03-14	$80.57	$83.00	16.6%	3.8%	11.4%	38.9%	13.8%	3.4%	1.8%	-18.3M	103.9M	-686.1K	0.85	36.29	N/A	N/A	5,736	4,857	33,991	59,743
2017-03-15	$82.42	$81.00	13.4%	3.8%	14.3%	21.6%	13.4%	3.9%	1.4%	-5.3M	27.8M	-711.8K	2.37	44.92	N/A	N/A	5,554	13,143	36,978	62,381
2017-03-16	$82.13	$81.00	12.5%	3.6%	14.3%	16.9%	12.3%	2.7%	2.6%	-7.6M	34.4M	-767.5K	0.52	30.42	N/A	N/A	5,803	3,021	39,764	67,292
2017-03-17	$82.50	$81.00	11.3%	3.3%	14.3%	10.6%	12.0%	3.1%	3.2%	-1.4M	13.9M	-741.0K	0.96	24.38	N/A	N/A	3,291	3,167	39,960	66,726
2017-03-20	$82.32	$81.00	11.1%	3.2%	14.3%	9.5%	12.6%	2.2%	7.1%	692.9K	1.1M	-728.3K	0.92	22.63	N/A	N/A	2,385	2,190	27,663	44,336
2017-03-21	$82.16	$81.00	11.2%	3.2%	13.3%	1.1%	12.4%	2.3%	3.2%	-196.1K	-5.8M	-683.8K	0.34	24.80	N/A	N/A	4,421	1,521	29,119	45,776
2017-03-22	$81.34	$81.00	12.4%	3.6%	13.6%	8.3%	13.0%	1.2%	2.1%	-789.9K	11.6M	-757.3K	0.49	20.62	N/A	N/A	2,666	1,313	32,027	45,990
2017-03-23	$81.93	$81.00	13.0%	3.7%	13.7%	11.7%	12.8%	2.7%	1.2%	3.0M	-13.8M	-786.8K	0.42	30.50	N/A	N/A	4,149	1,760	32,066	46,339
2017-03-24	$81.94	$81.00	12.6%	3.6%	13.5%	9.5%	13.8%	2.2%	1.4%	3.5M	-16.4M	-805.8K	0.87	25.89	N/A	N/A	1,411	1,224	33,563	46,920
2017-03-27	$81.24	$81.00	12.9%	3.7%	13.4%	11.3%	14.8%	2.0%	1.2%	229.3K	8.8M	-774.1K	1.03	29.11	N/A	N/A	1,267	1,311	33,613	46,950
2017-03-28	$81.54	$81.00	12.6%	3.6%	13.4%	9.2%	12.6%	1.5%	2.3%	281.2K	3.4M	-743.4K	0.87	26.59	N/A	N/A	1,372	1,198	33,748	47,114
2017-03-29	$81.86	$81.00	10.9%	3.1%	13.6%	0.0%	11.8%	2.1%	2.7%	2.3M	-10.5M	-712.9K	0.72	26.31	N/A	N/A	1,476	1,064	33,762	47,170
2017-03-30	$82.15	$81.00	12.2%	3.5%	13.7%	7.4%	12.0%	1.5%	2.0%	4.0M	-20.0M	-691.0K	0.94	23.92	N/A	N/A	1,186	1,116	33,831	47,172
2017-03-31	$82.70	$81.00	10.6%	3.0%	13.9%	0.0%	11.5%	1.8%	2.8%	8.4M	-62.6M	-775.4K	0.13	23.43	N/A	N/A	8,274	1,084	38,947	52,121