VNQ Options History — August 2017

In August 2017, VNQ traded between $82.10 and $84.71. ATM implied volatility averaged 11.2%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 0.9% (HV 20d: 10.3%). Max pain ranged from $83.00 to $84.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.84.

Notable Days

2017-08-24: Highest Volume — 8,230 contracts
2017-08-14: Largest IV drop — 18.6% change
2017-08-11: Highest IV Rank — 22.7%
2017-08-11: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.39	$82.10	$84.71	$84.71	$84.00
Max Pain	$83.09	$83.00	$84.00	$84.00	$83.00
ATM IV	11.2%	9.7%	13.4%	10.3%	10.2%
Expected Move	3.2%	2.8%	3.8%	3.0%	2.9%
HV 20d	10.3%	7.8%	12.4%	12.4%	11.7%
HV 60d	10.5%	10.0%	11.0%	10.1%	11.0%
IV Rank	10.9%	2.7%	22.7%	6.0%	5.4%
IV Percentile	18.3%	1.6%	44.8%	4.0%	4.4%
Term Structure	1.3%	-0.7%	3.3%	-0.7%	1.3%
VWIV	11.7%	9.1%	14.1%	13.1%	9.2%
Skew 25d	3.5%	2.6%	4.3%	2.8%	2.6%
Skew 10d	7.6%	5.6%	10.5%	6.8%	5.6%
Call IV 25d	10.0%	9.0%	12.3%	9.5%	9.0%
Put IV 25d	13.5%	11.6%	16.0%	12.3%	11.6%
Bid-Ask Spread %	19.81	12.35	29.91	17.25	15.43
Gamma HHI	0.24	0.17	0.34	0.21	0.34
Net GEX	10.6M	-2.5M	23.0M	14.8M	23.0M
Net DEX	-10.0M	-67.6M	38.0M	-67.6M	-38.8M
Net VEX	-509.9K	-653.3K	-407.2K	-653.3K	-407.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.32	1.39	1.28	0.58
Total Volume	3,920.783	2,744	8,230	2,965	4,537
Total OI	74,745.435	69,371	78,160	73,256	77,228

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
2017-08-01	$84.71	$84.00	10.3%	3.0%	12.4%	6.0%	13.1%	2.8%	-0.7%	14.8M	-67.6M	-653.3K	1.28	17.25	N/A	N/A	1,299	1,666	31,459	41,797
2017-08-02	$83.84	$84.00	10.8%	3.1%	12.0%	8.6%	12.2%	3.2%	-0.7%	11.6M	-30.7M	-632.7K	1.39	12.68	N/A	N/A	1,218	1,690	31,561	41,800
2017-08-03	$83.66	$83.00	10.5%	3.0%	9.3%	7.0%	11.9%	4.0%	2.8%	10.8M	-28.3M	-611.8K	1.35	27.28	N/A	N/A	1,211	1,629	31,579	41,863
2017-08-04	$84.00	$83.00	9.7%	3.0%	9.2%	2.7%	9.8%	3.6%	2.8%	13.3M	-35.4M	-609.4K	1.31	18.38	N/A	N/A	1,210	1,581	31,638	41,886
2017-08-07	$83.89	$83.00	9.8%	2.8%	8.4%	3.5%	9.3%	4.0%	3.3%	14.7M	-31.1M	-579.1K	1.18	16.73	N/A	N/A	1,256	1,488	31,659	41,920
2017-08-08	$83.45	$83.00	11.1%	3.0%	8.7%	10.1%	9.1%	3.6%	3.0%	11.9M	-15.8M	-513.9K	0.80	22.90	N/A	N/A	2,211	1,777	31,689	41,977
2017-08-09	$83.22	$83.00	11.1%	3.2%	7.8%	10.0%	11.5%	3.1%	2.3%	8.3M	-4.2M	-525.5K	0.40	21.18	N/A	N/A	3,276	1,296	31,939	42,299
2017-08-10	$82.69	$83.00	12.4%	3.6%	8.2%	17.4%	14.1%	4.3%	1.4%	2.5M	20.1M	-585.4K	0.84	24.09	N/A	N/A	1,728	1,459	31,481	42,303
2017-08-11	$82.10	$83.00	13.4%	3.8%	7.8%	22.7%	12.4%	3.7%	1.1%	-1.6M	38.0M	-533.1K	0.40	25.71	N/A	N/A	3,834	1,523	32,184	42,446
2017-08-14	$83.52	$83.00	10.9%	3.1%	9.7%	9.2%	10.5%	3.7%	1.8%	15.7M	-29.4M	-514.7K	0.47	24.73	N/A	N/A	3,040	1,416	35,237	42,535
2017-08-15	$83.19	$83.00	11.6%	3.3%	9.8%	12.9%	12.6%	3.9%	1.9%	15.6M	-13.7M	-497.3K	0.68	19.12	N/A	N/A	2,075	1,409	35,519	42,557
2017-08-16	$83.53	$83.00	10.9%	3.1%	9.6%	9.3%	12.5%	3.5%	1.6%	18.5M	-36.1M	-498.9K	0.76	29.91	N/A	N/A	1,773	1,346	35,532	42,601
2017-08-17	$83.12	$83.00	11.8%	3.4%	9.7%	14.0%	12.6%	3.9%	1.5%	19.4M	-16.3M	-496.8K	0.64	27.78	N/A	N/A	2,318	1,492	35,525	42,635
2017-08-18	$82.24	$83.00	13.0%	3.7%	10.4%	20.3%	13.0%	3.5%	1.0%	-2.5M	33.6M	-458.8K	0.53	23.07	N/A	N/A	2,775	1,467	35,061	42,736
2017-08-21	$83.15	$83.00	12.8%	3.7%	11.2%	19.3%	13.0%	3.6%	0.5%	3.9M	14.3M	-475.4K	0.81	18.47	N/A	N/A	1,990	1,614	28,633	40,738
2017-08-22	$82.93	$83.00	12.0%	3.5%	11.2%	15.3%	12.4%	3.2%	1.0%	2.6M	16.8M	-461.7K	0.91	17.38	N/A	N/A	1,897	1,734	28,921	41,224
2017-08-23	$83.72	$83.00	10.9%	3.1%	11.3%	9.3%	11.7%	3.7%	0.6%	11.5M	-13.4M	-454.1K	0.91	18.97	N/A	N/A	1,953	1,779	28,934	41,696
2017-08-24	$83.39	$83.00	11.5%	3.3%	11.4%	12.2%	10.6%	4.0%	0.3%	8.2M	3.1M	-450.5K	0.32	17.53	N/A	N/A	6,227	2,003	29,184	42,077
2017-08-25	$83.92	$83.00	10.5%	3.0%	11.6%	7.1%	12.0%	3.4%	1.1%	17.1M	-22.6M	-510.1K	0.38	17.56	N/A	N/A	4,635	1,757	33,506	42,826
2017-08-28	$83.11	$83.00	11.2%	3.2%	12.1%	10.6%	12.5%	3.2%	1.0%	6.1M	14.1M	-427.6K	1.32	12.35	N/A	N/A	1,277	1,692	33,556	43,073
2017-08-29	$83.09	$83.00	11.1%	3.2%	11.9%	10.2%	11.1%	3.3%	0.8%	7.2M	8.9M	-410.7K	1.05	13.03	N/A	N/A	1,727	1,810	33,684	43,339
2017-08-30	$83.51	$83.00	10.4%	3.0%	11.6%	6.7%	11.9%	3.7%	0.9%	10.4M	3.9M	-420.6K	1.06	14.09	N/A	N/A	1,499	1,584	33,746	43,362
2017-08-31	$84.00	$83.00	10.2%	2.9%	11.7%	5.4%	9.2%	2.6%	1.3%	23.0M	-38.8M	-407.2K	0.58	15.43	N/A	N/A	2,870	1,667	33,834	43,394