VNQ Options History — March 2018

In March 2018, VNQ traded between $73.36 and $76.65. ATM implied volatility averaged 15.3%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 1.1% (HV 20d: 16.4%). Max pain ranged from $74.00 to $76.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.85.

Notable Days

2018-03-02: Highest Volume — 26,405 contracts
2018-03-12: Largest IV spike — 30.0% change
2018-03-01: Highest IV Rank — 77.2%
2018-03-01: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.00	$73.36	$76.65	$73.44	$75.51
Max Pain	$74.86	$74.00	$76.00	$76.00	$76.00
ATM IV	15.3%	11.4%	19.6%	19.6%	14.9%
Expected Move	4.4%	3.5%	5.6%	5.6%	4.3%
HV 20d	16.4%	10.8%	23.1%	23.1%	13.7%
HV 60d	17.2%	16.6%	17.6%	17.2%	17.6%
IV Rank	52.4%	30.1%	77.2%	77.2%	50.4%
IV Percentile	86.5%	52.4%	97.6%	97.6%	87.7%
Term Structure	0.6%	-1.9%	2.0%	-1.9%	0.1%
VWIV	16.6%	13.4%	23.3%	23.3%	15.4%
Skew 25d	4.9%	3.7%	6.4%	5.6%	4.5%
Skew 10d	10.6%	7.6%	14.3%	11.1%	10.7%
Call IV 25d	13.8%	11.5%	16.5%	16.5%	13.7%
Put IV 25d	18.7%	15.5%	22.1%	22.1%	18.3%
Bid-Ask Spread %	25.19	18.89	34.50	18.89	24.06
Gamma HHI	0.25	0.15	0.36	0.28	0.16
Net GEX	-22.7M	-42.4M	-3.3M	-35.2M	-5.8M
Net DEX	121.2M	-29.4M	343.7M	330.5M	37.3M
Net VEX	-1.2M	-1.4M	-1.1M	-1.4M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.85	0.29	8.19	7.03	0.51
Total Volume	13,830.095	5,765	26,405	13,683	18,136
Total OI	146,172.19	97,476	185,589	170,867	104,483

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
2018-03-01	$73.44	$76.00	19.6%	5.6%	23.1%	77.2%	23.3%	5.6%	-1.9%	-35.2M	330.5M	-1.4M	7.03	18.89	N/A	N/A	1,704	11,979	47,690	123,177
2018-03-02	$73.44	$76.00	18.1%	5.2%	22.1%	68.4%	18.2%	5.1%	-1.0%	-36.3M	343.7M	-1.4M	1.55	20.56	N/A	N/A	10,356	16,049	47,773	123,251
2018-03-05	$74.24	$75.00	18.3%	4.9%	22.5%	69.8%	16.1%	5.8%	0.3%	-38.8M	264.3M	-1.4M	3.19	21.76	N/A	N/A	4,848	15,446	54,876	124,721
2018-03-06	$74.46	$75.00	17.7%	4.8%	20.2%	66.2%	16.9%	5.8%	0.8%	-39.9M	239.4M	-1.4M	6.64	24.54	N/A	N/A	1,931	12,815	55,443	124,773
2018-03-07	$75.02	$75.00	15.7%	4.6%	20.3%	54.6%	17.3%	4.9%	0.7%	-42.4M	193.4M	-1.4M	2.95	30.25	N/A	N/A	5,003	14,781	55,570	124,115
2018-03-08	$75.02	$75.00	14.9%	4.5%	20.3%	50.1%	17.9%	5.3%	1.0%	-40.1M	170.3M	-1.4M	7.89	33.42	N/A	N/A	1,669	13,165	58,906	123,085
2018-03-09	$75.53	$75.00	11.4%	4.0%	17.5%	30.1%	15.1%	3.7%	1.2%	-42.0M	126.0M	-1.3M	6.00	30.17	N/A	N/A	2,238	13,425	58,972	123,462
2018-03-12	$75.97	$74.00	14.8%	4.1%	15.9%	49.7%	17.9%	4.3%	1.4%	-36.1M	73.6M	-1.2M	8.19	23.06	N/A	N/A	1,960	16,054	59,078	123,627
2018-03-13	$75.97	$74.00	15.4%	4.1%	15.9%	53.1%	15.8%	3.9%	1.1%	-33.7M	62.2M	-1.2M	1.38	24.29	N/A	N/A	3,063	4,212	59,173	125,461
2018-03-14	$76.06	$74.00	13.5%	3.9%	15.7%	41.8%	14.3%	4.2%	1.6%	-30.7M	51.1M	-1.2M	1.11	19.69	N/A	N/A	3,736	4,139	58,850	125,875
2018-03-15	$75.94	$74.00	13.0%	3.7%	15.3%	39.4%	14.4%	4.2%	1.9%	-28.8M	37.6M	-1.1M	1.78	25.15	N/A	N/A	2,349	4,171	59,643	125,946
2018-03-16	$76.65	$74.00	12.3%	3.5%	15.3%	34.9%	14.7%	3.9%	2.0%	-3.3M	-29.4M	-1.1M	1.88	19.89	N/A	N/A	2,606	4,889	59,684	125,477
2018-03-19	$75.98	$74.00	13.2%	3.8%	15.5%	40.3%	16.0%	4.5%	1.6%	-4.5M	41.9M	-1.1M	2.61	23.78	N/A	N/A	1,598	4,167	30,175	68,218
2018-03-20	$75.61	$75.00	13.0%	3.7%	14.7%	39.3%	15.4%	4.6%	1.2%	-5.1M	53.0M	-1.1M	3.61	20.00	N/A	N/A	1,611	5,819	30,378	68,649
2018-03-21	$75.11	$75.00	13.7%	3.9%	13.1%	43.3%	13.4%	4.3%	0.7%	-7.4M	72.1M	-1.1M	1.83	25.09	N/A	N/A	2,155	3,935	30,449	70,764
2018-03-22	$74.74	$75.00	15.0%	4.3%	12.8%	50.8%	17.0%	5.8%	0.4%	-7.5M	78.5M	-1.1M	0.37	34.50	N/A	N/A	10,566	3,864	30,869	70,954
2018-03-23	$73.36	$75.00	17.0%	4.9%	13.2%	61.9%	17.2%	6.2%	0.2%	-11.8M	135.1M	-1.1M	0.29	33.11	N/A	N/A	10,653	3,127	26,395	71,081
2018-03-26	$73.50	$75.00	16.7%	4.8%	13.2%	60.6%	16.2%	4.5%	0.2%	-10.7M	111.9M	-1.1M	0.30	23.65	N/A	N/A	11,224	3,375	26,427	71,518
2018-03-27	$73.79	$75.00	16.6%	4.8%	10.8%	60.1%	18.1%	6.4%	0.1%	-9.9M	103.6M	-1.1M	0.42	33.30	N/A	N/A	13,046	5,456	26,342	71,674
2018-03-28	$75.56	$75.00	16.3%	4.7%	13.7%	58.2%	18.0%	5.3%	0.1%	-6.1M	49.5M	-1.1M	0.41	19.86	N/A	N/A	13,546	5,566	28,733	73,879
2018-03-29	$75.51	$76.00	14.9%	4.3%	13.7%	50.4%	15.4%	4.5%	0.1%	-5.8M	37.3M	-1.1M	0.51	24.06	N/A	N/A	12,010	6,126	30,213	74,270