VNQ Options History — February 2018

In February 2018, VNQ traded between $72.54 and $77.67. ATM implied volatility averaged 18.9%, placing in the 77.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 1.8% (HV 20d: 20.7%). Max pain ranged from $76.00 to $81.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 5.53.

Notable Days

2018-02-06: Highest Volume — 60,551 contracts
2018-02-08: Largest IV spike — 24.2% change
2018-02-02: Highest IV Rank — 100.0%
2018-02-08: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.60	$72.54	$77.67	$77.67	$73.43
Max Pain	$78.42	$76.00	$81.00	$81.00	$76.00
ATM IV	18.9%	14.9%	23.6%	14.9%	18.2%
Expected Move	5.4%	4.2%	6.6%	4.2%	5.2%
HV 20d	20.7%	15.2%	24.1%	16.0%	24.1%
HV 60d	15.3%	12.6%	17.2%	12.7%	17.2%
IV Rank	77.7%	55.4%	100.0%	84.2%	69.1%
IV Percentile	97.5%	93.7%	100.0%	97.6%	95.6%
Term Structure	-0.9%	-3.2%	1.1%	0.2%	-0.8%
VWIV	19.4%	13.9%	29.7%	13.9%	20.7%
Skew 25d	6.0%	4.2%	8.3%	4.2%	5.1%
Skew 10d	12.5%	8.6%	17.0%	8.6%	10.5%
Call IV 25d	16.4%	13.6%	20.6%	13.6%	16.0%
Put IV 25d	22.3%	17.7%	27.6%	17.7%	21.1%
Bid-Ask Spread %	24.13	11.81	50.17	18.84	17.84
Gamma HHI	0.26	0.19	0.32	0.26	0.27
Net GEX	-28.0M	-35.7M	-14.5M	-14.5M	-35.7M
Net DEX	259.5M	105.6M	361.0M	105.6M	332.2M
Net VEX	-1.3M	-1.4M	-954.7K	-999.3K	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.53	0.65	32.71	0.65	6.64
Total Volume	15,960.579	3,931	60,551	5,184	14,024
Total OI	146,978.632	98,824	172,402	98,824	170,510

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
2018-02-01	$77.67	$81.00	14.9%	4.2%	16.0%	84.2%	13.9%	4.2%	0.2%	-14.5M	105.6M	-999.3K	0.65	18.84	N/A	N/A	3,145	2,039	38,861	59,963
2018-02-02	$77.16	$81.00	17.9%	4.8%	15.2%	100.0%	18.0%	5.1%	0.0%	-14.8M	139.2M	-1.0M	1.55	18.36	N/A	N/A	1,540	2,391	39,771	60,156
2018-02-05	$74.95	$81.00	19.9%	5.9%	17.8%	100.0%	17.4%	8.2%	-2.8%	-16.9M	194.9M	-954.7K	3.11	50.17	N/A	N/A	1,785	5,546	40,059	60,578
2018-02-06	$74.85	$81.00	23.6%	5.7%	17.6%	100.0%	19.6%	7.1%	-2.3%	-18.9M	221.7M	-959.7K	32.71	35.89	N/A	N/A	1,796	58,755	40,297	62,599
2018-02-07	$74.57	$81.00	18.6%	5.3%	17.4%	71.0%	18.0%	6.5%	-1.1%	-26.3M	274.3M	-1.3M	5.52	24.15	N/A	N/A	1,554	8,585	40,516	90,491
2018-02-08	$72.54	$81.00	23.0%	6.6%	19.1%	96.7%	21.4%	7.0%	-3.2%	-25.5M	361.0M	-1.3M	1.10	47.25	N/A	N/A	3,156	3,468	40,636	95,584
2018-02-09	$74.17	$80.00	22.7%	6.5%	21.4%	94.7%	29.7%	8.3%	-2.5%	-27.3M	300.3M	-1.4M	5.27	35.14	N/A	N/A	4,330	22,815	41,088	96,438
2018-02-12	$74.25	$80.00	21.5%	6.2%	21.4%	88.0%	21.5%	7.3%	-1.9%	-33.5M	327.4M	-1.4M	1.88	24.05	N/A	N/A	3,748	7,061	42,847	117,024
2018-02-13	$74.79	$79.00	19.8%	5.7%	21.6%	77.9%	19.6%	6.2%	-0.2%	-35.1M	281.9M	-1.4M	1.27	19.24	N/A	N/A	10,157	12,878	44,637	119,923
2018-02-14	$74.14	$77.00	19.0%	5.5%	21.5%	73.7%	18.7%	6.2%	0.3%	-31.3M	303.3M	-1.4M	1.12	28.84	N/A	N/A	6,339	7,075	51,266	117,744
2018-02-15	$74.84	$77.00	17.3%	5.0%	21.7%	64.0%	18.1%	4.9%	1.1%	-33.6M	253.0M	-1.4M	1.56	19.19	N/A	N/A	3,566	5,551	50,072	120,897
2018-02-16	$75.44	$77.00	17.5%	5.0%	21.9%	65.1%	20.1%	5.2%	0.3%	-27.0M	206.3M	-1.4M	1.41	19.63	N/A	N/A	3,212	4,527	49,976	122,426
2018-02-20	$74.41	$77.00	18.7%	5.4%	21.8%	71.7%	17.8%	5.8%	-1.5%	-30.2M	249.7M	-1.3M	2.00	18.11	N/A	N/A	3,922	7,829	42,025	112,993
2018-02-21	$73.00	$77.00	18.7%	5.4%	21.5%	71.9%	17.0%	6.5%	-0.6%	-31.0M	326.4M	-1.3M	1.52	19.41	N/A	N/A	4,501	6,857	44,335	116,867
2018-02-22	$73.75	$76.00	17.6%	5.0%	22.2%	65.3%	25.2%	5.9%	-0.5%	-31.2M	289.9M	-1.4M	13.83	22.45	N/A	N/A	1,964	27,171	45,723	117,841
2018-02-23	$74.93	$76.00	15.8%	4.5%	23.3%	55.4%	17.3%	4.9%	-0.2%	-31.5M	226.8M	-1.4M	8.22	15.86	N/A	N/A	2,089	17,171	46,074	118,359
2018-02-26	$75.04	$76.00	16.0%	4.6%	23.4%	56.1%	16.6%	4.6%	-0.7%	-34.9M	221.6M	-1.4M	8.16	11.81	N/A	N/A	1,676	13,679	46,720	119,953
2018-02-27	$73.43	$76.00	18.6%	5.3%	24.1%	71.4%	18.9%	4.7%	-1.5%	-32.9M	315.4M	-1.4M	7.50	12.21	N/A	N/A	2,042	15,307	46,851	120,494
2018-02-28	$73.43	$76.00	18.2%	5.2%	24.1%	69.1%	20.7%	5.1%	-0.8%	-35.7M	332.2M	-1.4M	6.64	17.84	N/A	N/A	1,836	12,188	47,315	123,195