VNQ Options History — January 2018

In January 2018, VNQ traded between $78.15 and $82.61. ATM implied volatility averaged 12.5%, placing in the 60.4% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 1.2% (HV 20d: 13.7%). Max pain ranged from $80.00 to $83.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.59.

Notable Days

2018-01-31: Highest Volume — 14,199 contracts
2018-01-29: Largest IV spike — 18.1% change
2018-01-30: Highest IV Rank — 91.7%
2018-01-30: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.88	$78.15	$82.61	$82.61	$79.41
Max Pain	$80.86	$80.00	$83.00	$83.00	$80.00
ATM IV	12.5%	10.0%	15.7%	10.0%	14.4%
Expected Move	3.6%	2.9%	4.5%	2.9%	4.1%
HV 20d	13.7%	12.4%	14.8%	13.1%	14.3%
HV 60d	10.7%	9.4%	11.9%	9.5%	11.9%
IV Rank	60.4%	32.1%	91.7%	32.1%	78.8%
IV Percentile	66.3%	12.3%	99.2%	12.3%	95.6%
Term Structure	0.4%	-0.9%	1.1%	1.1%	-0.2%
VWIV	13.0%	10.5%	18.7%	10.5%	14.1%
Skew 25d	3.3%	2.1%	5.2%	2.1%	2.9%
Skew 10d	7.1%	4.3%	11.7%	5.9%	9.0%
Call IV 25d	11.4%	9.3%	14.2%	9.6%	12.9%
Put IV 25d	14.7%	11.7%	19.4%	11.7%	15.8%
Bid-Ask Spread %	17.23	8.43	32.71	8.43	32.71
Gamma HHI	0.22	0.13	0.33	0.14	0.24
Net GEX	-11.7M	-17.1M	-2.5M	-2.5M	-11.4M
Net DEX	83.9M	20.7M	134.5M	20.7M	80.2M
Net VEX	-724.9K	-802.0K	-668.6K	-672.6K	-795.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.59	0.19	2.67	2.16	0.19
Total Volume	7,305.238	4,291	14,199	8,302	14,199
Total OI	90,868.857	78,834	101,076	86,513	88,600

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
2018-01-02	$82.61	$83.00	10.0%	2.9%	13.1%	32.1%	10.5%	2.1%	1.1%	-2.5M	20.7M	-672.6K	2.16	8.43	N/A	N/A	2,629	5,673	29,504	57,009
2018-01-03	$82.45	$83.00	10.5%	3.0%	13.0%	41.5%	10.6%	2.9%	1.1%	-5.6M	31.8M	-701.4K	1.69	9.52	N/A	N/A	2,644	4,478	29,877	58,920
2018-01-04	$81.07	$82.00	11.2%	3.4%	14.0%	48.2%	11.9%	2.9%	0.5%	-12.5M	73.1M	-684.3K	1.77	24.25	N/A	N/A	2,846	5,046	30,233	60,222
2018-01-05	$81.12	$82.00	10.6%	3.3%	14.1%	42.5%	11.1%	2.8%	0.5%	-14.1M	79.2M	-712.8K	1.60	20.04	N/A	N/A	2,340	3,753	31,028	62,290
2018-01-08	$81.46	$82.00	11.1%	3.2%	14.1%	47.2%	11.0%	2.5%	0.8%	-13.0M	62.6M	-689.1K	1.65	20.44	N/A	N/A	1,831	3,028	31,387	62,698
2018-01-09	$80.50	$82.00	11.5%	3.4%	14.4%	51.5%	11.7%	2.6%	0.9%	-15.6M	85.5M	-668.6K	1.82	26.20	N/A	N/A	2,016	3,669	31,924	62,868
2018-01-10	$79.53	$82.00	11.8%	3.4%	14.8%	54.5%	12.2%	2.9%	0.9%	-17.1M	123.4M	-705.5K	1.41	19.23	N/A	N/A	3,949	5,572	32,063	63,110
2018-01-11	$79.24	$82.00	12.7%	3.6%	14.5%	62.5%	12.2%	2.7%	0.3%	-16.1M	118.8M	-718.2K	0.77	15.33	N/A	N/A	5,736	4,398	34,430	63,136
2018-01-12	$78.60	$80.00	12.2%	3.5%	14.5%	58.1%	12.8%	2.9%	0.6%	-15.2M	134.5M	-745.3K	1.33	15.84	N/A	N/A	4,183	5,555	36,250	63,489
2018-01-16	$78.85	$80.00	13.2%	3.8%	14.6%	67.1%	14.2%	2.5%	0.1%	-14.3M	110.6M	-739.4K	1.69	15.74	N/A	N/A	2,478	4,194	36,930	61,999
2018-01-17	$79.25	$80.00	13.1%	3.8%	14.5%	66.8%	13.4%	3.6%	0.3%	-12.9M	95.1M	-725.4K	2.24	15.24	N/A	N/A	2,620	5,868	37,144	60,920
2018-01-18	$78.32	$80.00	13.7%	3.9%	14.3%	72.1%	12.5%	2.6%	0.2%	-14.2M	131.2M	-685.4K	0.92	19.74	N/A	N/A	4,884	4,510	37,424	63,180
2018-01-19	$78.65	$80.00	12.2%	3.5%	13.2%	58.4%	10.8%	3.4%	0.6%	-13.0M	122.2M	-733.1K	2.00	14.12	N/A	N/A	2,856	5,711	37,276	63,800
2018-01-22	$79.43	$80.00	12.3%	3.5%	13.7%	59.0%	11.7%	3.2%	0.6%	-10.8M	70.4M	-697.3K	1.17	13.96	N/A	N/A	2,181	2,543	25,165	53,669
2018-01-23	$80.49	$80.00	12.2%	3.5%	13.0%	57.9%	11.4%	3.4%	0.7%	-5.8M	36.2M	-688.1K	1.18	18.70	N/A	N/A	2,452	2,896	26,354	53,859
2018-01-24	$80.14	$80.00	12.8%	3.7%	12.8%	63.3%	14.1%	3.9%	0.4%	-7.4M	54.6M	-740.2K	1.78	13.70	N/A	N/A	1,853	3,292	27,212	54,387
2018-01-25	$79.90	$80.00	12.9%	3.7%	12.6%	64.8%	15.1%	4.9%	0.2%	-7.6M	50.9M	-787.2K	1.77	17.12	N/A	N/A	1,551	2,740	27,573	55,367
2018-01-26	$79.63	$80.00	12.8%	3.7%	12.4%	63.7%	17.9%	4.9%	0.4%	-9.0M	61.6M	-746.6K	2.58	12.63	N/A	N/A	1,629	4,200	27,638	55,845
2018-01-29	$78.69	$80.00	15.1%	4.3%	12.6%	85.9%	18.7%	4.5%	-0.9%	-12.4M	97.9M	-785.3K	2.67	16.43	N/A	N/A	1,513	4,047	28,066	57,790
2018-01-30	$78.15	$80.00	15.7%	4.5%	12.7%	91.7%	16.0%	5.2%	-0.6%	-14.7M	121.1M	-802.0K	0.98	12.41	N/A	N/A	2,948	2,899	28,158	59,452
2018-01-31	$79.41	$80.00	14.4%	4.1%	14.3%	78.8%	14.1%	2.9%	-0.2%	-11.4M	80.2M	-795.8K	0.19	32.71	N/A	N/A	11,892	2,307	28,993	59,607