VNQ Options History — April 2018

In April 2018, VNQ traded between $73.93 and $76.47. ATM implied volatility averaged 14.7%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 0.3% (HV 20d: 14.9%). Max pain ranged from $70.00 to $76.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.25.

Notable Days

2018-04-04: Highest Volume — 37,120 contracts
2018-04-06: Largest IV spike — 15.2% change
2018-04-02: Highest IV Rank — 76.4%
2018-04-02: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.08	$73.93	$76.47	$74.49	$76.25
Max Pain	$72.10	$70.00	$76.00	$76.00	$76.00
ATM IV	14.7%	12.5%	19.5%	19.5%	12.8%
Expected Move	4.2%	3.6%	5.6%	5.6%	3.7%
HV 20d	14.9%	13.2%	16.5%	14.7%	13.7%
HV 60d	17.6%	17.2%	17.8%	17.8%	17.2%
IV Rank	48.9%	36.3%	76.4%	76.4%	38.0%
IV Percentile	81.9%	66.7%	97.2%	97.2%	69.0%
Term Structure	0.1%	-1.6%	0.8%	-1.6%	0.8%
VWIV	16.3%	12.4%	21.1%	20.6%	13.8%
Skew 25d	4.0%	3.1%	5.1%	5.1%	3.8%
Skew 10d	9.0%	6.0%	13.1%	12.5%	8.3%
Call IV 25d	13.0%	10.9%	17.0%	17.0%	11.4%
Put IV 25d	17.0%	14.4%	22.1%	22.1%	15.1%
Bid-Ask Spread %	18.77	14.64	29.97	22.19	14.64
Gamma HHI	0.19	0.15	0.23	0.18	0.18
Net GEX	-13.5M	-21.8M	-5.5M	-8.7M	-8.9M
Net DEX	81.4M	13.8M	135.0M	81.7M	25.1M
Net VEX	-1.1M	-1.3M	-930.2K	-1.1M	-930.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.20	2.71	0.29	1.99
Total Volume	9,423.048	4,802	37,120	15,096	5,417
Total OI	125,053.81	105,637	132,519	105,672	127,142

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
2018-04-02	$74.49	$76.00	19.5%	5.6%	14.7%	76.4%	20.6%	5.1%	-1.6%	-8.7M	81.7M	-1.1M	0.29	22.19	N/A	N/A	11,745	3,351	30,258	75,414
2018-04-03	$74.97	$76.00	16.8%	4.8%	14.4%	61.0%	21.1%	4.8%	-0.5%	-7.6M	64.8M	-1.1M	0.30	18.49	N/A	N/A	11,038	3,328	30,164	75,473
2018-04-04	$75.94	$76.00	15.3%	4.4%	15.0%	52.5%	17.2%	3.6%	-0.4%	-5.5M	29.4M	-1.1M	2.25	16.69	N/A	N/A	11,416	25,704	30,305	75,500
2018-04-05	$75.71	$70.00	14.5%	4.3%	14.9%	48.1%	19.6%	4.5%	0.4%	-12.5M	78.3M	-1.3M	0.29	19.62	N/A	N/A	10,913	3,113	30,749	98,055
2018-04-06	$75.22	$70.00	16.8%	4.5%	15.1%	60.7%	18.9%	5.1%	0.4%	-14.3M	96.1M	-1.3M	0.25	20.69	N/A	N/A	10,995	2,737	30,765	98,061
2018-04-09	$75.27	$70.00	16.8%	4.5%	14.9%	61.1%	15.1%	4.3%	0.3%	-14.0M	89.4M	-1.2M	0.20	20.21	N/A	N/A	12,703	2,564	30,718	98,151
2018-04-10	$75.11	$70.00	16.6%	4.5%	14.7%	59.9%	18.7%	4.6%	-0.3%	-14.4M	103.1M	-1.2M	0.90	22.82	N/A	N/A	2,938	2,635	31,740	98,642
2018-04-11	$75.14	$70.00	15.4%	4.4%	14.7%	53.2%	19.5%	4.9%	0.1%	-14.0M	86.0M	-1.2M	1.24	29.97	N/A	N/A	2,186	2,710	31,842	98,733
2018-04-12	$74.32	$70.00	15.4%	4.4%	15.1%	53.2%	18.0%	4.4%	0.1%	-18.7M	130.9M	-1.2M	0.78	19.08	N/A	N/A	3,662	2,852	32,005	98,745
2018-04-13	$74.58	$71.00	14.2%	4.1%	15.2%	46.3%	16.8%	4.2%	0.0%	-18.5M	124.9M	-1.2M	0.90	22.59	N/A	N/A	3,155	2,846	31,187	98,777
2018-04-16	$75.23	$71.00	13.3%	3.8%	15.2%	40.8%	13.4%	3.5%	0.3%	-16.0M	73.4M	-1.1M	1.28	14.95	N/A	N/A	2,219	2,849	32,364	98,812
2018-04-17	$76.09	$71.00	12.5%	3.6%	15.5%	36.3%	12.8%	3.2%	0.6%	-9.4M	20.3M	-966.2K	1.13	18.51	N/A	N/A	2,452	2,761	32,757	98,826
2018-04-18	$75.94	$71.00	12.6%	3.6%	15.4%	37.0%	13.2%	3.3%	0.4%	-10.9M	26.2M	-997.6K	1.29	15.56	N/A	N/A	2,093	2,709	33,347	99,031
2018-04-19	$74.76	$71.00	13.6%	3.9%	16.2%	42.7%	15.5%	3.6%	0.3%	-17.5M	108.3M	-1.1M	1.41	18.55	N/A	N/A	2,953	4,168	33,518	99,001
2018-04-20	$74.08	$71.00	13.7%	3.9%	16.5%	43.1%	14.5%	3.7%	0.0%	-21.8M	135.0M	-1.1M	1.14	16.56	N/A	N/A	2,462	2,798	33,435	98,412
2018-04-23	$73.93	$72.00	13.7%	3.9%	15.0%	43.4%	15.0%	4.1%	0.2%	-17.9M	127.9M	-1.1M	1.90	18.03	N/A	N/A	2,033	3,865	29,914	91,463
2018-04-24	$73.97	$72.00	14.3%	4.1%	15.0%	46.5%	16.3%	3.9%	-0.2%	-17.5M	114.8M	-1.0M	1.98	17.91	N/A	N/A	1,889	3,745	30,081	92,195
2018-04-25	$74.14	$72.00	14.0%	4.0%	15.0%	45.1%	16.5%	3.1%	0.2%	-17.0M	113.9M	-1.1M	2.02	15.71	N/A	N/A	1,886	3,811	30,330	92,244
2018-04-26	$75.16	$72.00	13.6%	3.9%	13.2%	42.8%	12.4%	3.4%	0.0%	-12.3M	66.3M	-984.6K	1.96	16.66	N/A	N/A	2,605	5,109	30,519	92,398
2018-04-27	$76.47	$76.00	12.9%	3.7%	14.6%	38.6%	12.9%	3.4%	0.4%	-6.9M	13.8M	-963.8K	2.71	14.65	N/A	N/A	2,013	5,456	31,409	93,648
2018-04-30	$76.25	$76.00	12.8%	3.7%	13.7%	38.0%	13.8%	3.8%	0.8%	-8.9M	25.1M	-930.2K	1.99	14.64	N/A	N/A	1,813	3,604	31,859	95,283