VNQ Options History — May 2018

In May 2018, VNQ traded between $75.63 and $79.16. ATM implied volatility averaged 11.8%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 1.4% (HV 20d: 13.2%). Max pain ranged from $76.00 to $76.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 6.30.

Notable Days

2018-05-03: Highest Volume — 100,786 contracts
2018-05-29: Largest IV spike — 17.5% change
2018-05-03: Highest IV Rank — 41.6%
2018-05-03: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$77.28	$75.63	$79.16	$76.87	$78.88
Max Pain	$76.00	$76.00	$76.00	$76.00	$76.00
ATM IV	11.8%	10.3%	13.4%	12.4%	11.9%
Expected Move	3.4%	2.9%	3.8%	3.6%	3.4%
HV 20d	13.2%	11.7%	14.5%	13.8%	12.3%
HV 60d	14.5%	13.1%	17.2%	17.2%	13.4%
IV Rank	32.6%	23.7%	41.6%	35.9%	32.8%
IV Percentile	52.4%	18.3%	75.8%	63.1%	56.7%
Term Structure	0.9%	-0.4%	2.3%	0.5%	-0.4%
VWIV	12.4%	6.8%	19.2%	13.5%	12.8%
Skew 25d	3.0%	2.2%	3.6%	3.6%	3.3%
Skew 10d	6.8%	5.4%	9.6%	9.6%	7.3%
Call IV 25d	10.7%	9.8%	11.9%	11.0%	10.7%
Put IV 25d	13.7%	12.3%	15.2%	14.6%	14.0%
Bid-Ask Spread %	12.58	8.41	18.61	15.85	12.55
Gamma HHI	0.21	0.17	0.25	0.17	0.17
Net GEX	-10.5M	-30.1M	-4.1M	-6.4M	-5.1M
Net DEX	63.8M	-6.9M	179.6M	5.2M	13.1M
Net VEX	-1.6M	-1.9M	-867.3K	-927.1K	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.30	1.13	54.29	1.88	1.99
Total Volume	18,997.091	5,603	100,786	5,708	6,621
Total OI	161,978.773	127,386	176,603	127,386	175,883

Daily Data (22 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
2018-05-01	$76.87	$76.00	12.4%	3.6%	13.8%	35.9%	13.5%	3.6%	0.5%	-6.4M	5.2M	-927.1K	1.88	15.85	N/A	N/A	1,984	3,724	32,048	95,338
2018-05-02	$76.45	$76.00	13.2%	3.8%	13.2%	40.5%	12.3%	2.9%	0.4%	-6.8M	3.2M	-867.3K	2.56	18.61	N/A	N/A	1,788	4,578	32,246	95,347
2018-05-03	$76.45	$76.00	13.4%	3.8%	13.2%	41.6%	17.8%	3.3%	0.7%	-8.7M	24.0M	-935.9K	54.29	15.21	N/A	N/A	1,823	98,963	32,355	96,268
2018-05-04	$77.31	$76.00	12.2%	3.7%	13.4%	34.4%	19.2%	3.1%	1.1%	-12.0M	60.1M	-1.7M	15.66	14.73	N/A	N/A	3,933	61,590	32,541	144,062
2018-05-07	$77.72	$76.00	11.7%	3.5%	13.5%	31.5%	12.6%	3.5%	0.9%	-8.9M	45.2M	-1.8M	9.11	11.62	N/A	N/A	4,049	36,899	33,753	128,927
2018-05-08	$77.43	$76.00	13.0%	3.6%	13.6%	38.9%	14.5%	3.4%	1.0%	-10.8M	69.1M	-1.9M	9.11	11.39	N/A	N/A	3,432	31,256	34,361	129,466
2018-05-09	$77.83	$76.00	11.9%	3.4%	13.6%	33.2%	13.0%	3.2%	1.6%	-8.4M	38.8M	-1.7M	9.08	11.73	N/A	N/A	3,242	29,425	34,370	130,484
2018-05-10	$78.43	$76.00	11.8%	3.4%	12.9%	32.5%	11.3%	2.6%	1.5%	-4.8M	-1.9M	-1.6M	9.66	13.79	N/A	N/A	3,160	30,526	34,472	130,497
2018-05-11	$78.25	$76.00	11.3%	3.3%	13.0%	29.7%	11.4%	2.6%	2.3%	-7.6M	18.7M	-1.7M	1.38	10.60	N/A	N/A	2,517	3,461	34,478	131,630
2018-05-14	$77.65	$76.00	11.3%	3.2%	13.3%	29.6%	11.4%	3.2%	1.6%	-9.3M	49.6M	-1.7M	1.38	10.22	N/A	N/A	2,672	3,681	34,535	131,884
2018-05-15	$76.22	$76.00	12.8%	3.7%	14.5%	38.2%	12.7%	3.0%	1.3%	-18.7M	139.3M	-1.8M	1.27	14.76	N/A	N/A	2,633	3,334	34,705	132,380
2018-05-16	$76.08	$76.00	12.3%	3.5%	14.5%	35.2%	12.9%	2.9%	1.6%	-20.9M	152.7M	-1.8M	1.61	13.53	N/A	N/A	2,408	3,878	34,778	132,461
2018-05-17	$75.63	$76.00	11.9%	3.4%	13.5%	32.9%	11.8%	3.2%	1.6%	-24.7M	179.6M	-1.8M	1.37	10.96	N/A	N/A	2,570	3,510	34,805	132,860
2018-05-18	$75.76	$76.00	11.7%	3.4%	13.0%	31.9%	12.4%	2.9%	1.7%	-30.1M	169.6M	-1.8M	1.17	8.41	N/A	N/A	2,739	3,203	34,691	132,540
2018-05-21	$76.62	$76.00	11.1%	3.2%	13.4%	28.2%	6.9%	2.3%	0.3%	-10.3M	103.3M	-1.7M	1.79	13.52	N/A	N/A	2,292	4,101	31,726	128,286
2018-05-22	$76.80	$76.00	10.7%	3.1%	13.4%	26.3%	6.8%	2.2%	0.7%	-9.2M	89.8M	-1.7M	1.96	9.27	N/A	N/A	2,081	4,083	31,946	128,194
2018-05-23	$77.54	$76.00	10.7%	3.1%	13.7%	26.0%	11.4%	2.2%	0.5%	-6.0M	56.4M	-1.6M	6.15	12.04	N/A	N/A	2,161	13,300	32,112	128,266
2018-05-24	$77.39	$76.00	11.5%	3.3%	13.1%	30.8%	9.9%	3.4%	0.5%	-7.8M	85.4M	-1.8M	1.23	11.57	N/A	N/A	2,539	3,130	32,394	138,685
2018-05-25	$77.70	$76.00	10.3%	2.9%	11.7%	23.7%	13.7%	2.5%	0.5%	-5.2M	58.2M	-1.7M	1.13	9.06	N/A	N/A	3,095	3,512	33,042	138,879
2018-05-29	$78.01	$76.00	12.1%	3.5%	11.7%	34.0%	12.5%	3.4%	-0.4%	-5.7M	50.3M	-1.7M	1.98	14.70	N/A	N/A	1,882	3,721	33,730	139,128
2018-05-30	$79.16	$76.00	11.2%	3.2%	12.4%	28.8%	11.9%	3.0%	0.4%	-4.1M	-6.9M	-1.6M	2.91	12.76	N/A	N/A	2,158	6,282	33,809	139,171
2018-05-31	$78.88	$76.00	11.9%	3.4%	12.3%	32.8%	12.8%	3.3%	-0.4%	-5.1M	13.1M	-1.6M	1.99	12.55	N/A	N/A	2,217	4,404	34,043	141,840