VNQ Options History — June 2018

In June 2018, VNQ traded between $78.80 and $81.59. ATM implied volatility averaged 11.8%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 0.1% (HV 20d: 11.9%). Max pain ranged from $76.00 to $81.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 5.35.

Notable Days

2018-06-15: Highest Volume — 69,469 contracts
2018-06-11: Largest IV spike — 18.9% change
2018-06-28: Highest IV Rank — 39.8%
2018-06-28: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$80.05	$78.80	$81.59	$79.21	$81.59
Max Pain	$80.14	$76.00	$81.00	$76.00	$81.00
ATM IV	11.8%	10.6%	13.1%	11.1%	11.7%
Expected Move	3.3%	3.0%	3.8%	3.2%	3.3%
HV 20d	11.9%	11.3%	12.4%	12.3%	11.5%
HV 60d	13.2%	12.2%	13.9%	13.3%	12.2%
IV Rank	32.4%	25.3%	39.8%	28.4%	31.5%
IV Percentile	52.0%	26.2%	74.2%	37.7%	49.2%
Term Structure	1.0%	-0.0%	2.0%	0.4%	0.9%
VWIV	11.5%	10.2%	13.5%	11.7%	11.9%
Skew 25d	3.4%	2.7%	3.9%	2.8%	3.4%
Skew 10d	7.3%	5.6%	8.9%	5.6%	7.0%
Call IV 25d	10.5%	9.3%	12.1%	10.0%	10.7%
Put IV 25d	13.9%	12.8%	15.8%	12.8%	14.1%
Bid-Ask Spread %	16.82	11.04	29.06	11.76	16.51
Gamma HHI	0.18	0.15	0.26	0.17	0.15
Net GEX	-11.5M	-20.5M	-4.1M	-4.1M	-15.9M
Net DEX	48.0M	-68.0M	186.5M	-6.2M	100.8M
Net VEX	-1.7M	-2.0M	-1.4M	-1.6M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.35	1.10	24.13	2.04	12.79
Total Volume	12,549.238	4,612	69,469	6,269	16,002
Total OI	159,608.143	131,463	181,362	176,499	152,279

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
2018-06-01	$79.21	$76.00	11.1%	3.2%	12.3%	28.4%	11.7%	2.8%	0.4%	-4.1M	-6.2M	-1.6M	2.04	11.76	N/A	N/A	2,063	4,206	34,236	142,263
2018-06-04	$79.85	$79.00	10.8%	3.1%	12.1%	26.5%	10.6%	3.4%	1.7%	-4.4M	-34.7M	-1.5M	1.86	17.26	N/A	N/A	1,996	3,711	34,405	142,183
2018-06-05	$79.66	$79.00	10.9%	3.1%	12.1%	27.1%	11.3%	3.5%	2.0%	-4.3M	-30.7M	-1.5M	2.29	17.50	N/A	N/A	1,845	4,230	34,558	142,354
2018-06-06	$79.82	$80.00	10.9%	3.1%	11.9%	27.1%	11.5%	3.2%	2.0%	-4.9M	-35.3M	-1.5M	2.00	13.55	N/A	N/A	1,781	3,560	34,649	142,981
2018-06-07	$79.82	$80.00	11.0%	3.2%	11.8%	27.8%	11.1%	3.7%	1.4%	-4.8M	-34.2M	-1.5M	1.43	16.99	N/A	N/A	2,415	3,455	34,695	143,203
2018-06-08	$80.19	$80.00	10.6%	3.1%	11.7%	25.3%	10.2%	3.4%	1.9%	-5.7M	-49.6M	-1.4M	1.75	16.92	N/A	N/A	1,898	3,328	34,533	143,260
2018-06-11	$80.07	$80.00	12.6%	3.1%	11.6%	36.8%	10.7%	3.5%	1.8%	-5.8M	-46.9M	-1.4M	1.67	19.17	N/A	N/A	2,328	3,885	34,632	143,273
2018-06-12	$80.63	$80.00	11.8%	3.0%	11.3%	32.3%	10.6%	3.6%	2.0%	-6.7M	-68.0M	-1.4M	1.68	15.16	N/A	N/A	2,039	3,433	34,792	143,944
2018-06-13	$79.05	$80.00	12.3%	3.5%	11.6%	35.2%	12.1%	3.7%	1.1%	-7.1M	15.2M	-1.5M	2.59	21.61	N/A	N/A	2,462	6,381	34,899	146,463
2018-06-14	$79.77	$80.00	11.4%	3.3%	11.8%	30.0%	11.7%	3.7%	1.3%	-11.8M	-21.9M	-1.4M	2.40	29.06	N/A	N/A	2,194	5,261	34,760	146,545
2018-06-15	$79.63	$80.00	10.8%	3.1%	11.5%	26.8%	11.0%	3.2%	1.6%	-11.2M	-29.9M	-1.4M	24.13	19.17	N/A	N/A	2,764	66,705	34,773	145,954
2018-06-18	$78.80	$80.00	12.0%	3.4%	12.4%	33.6%	11.6%	3.0%	0.5%	-19.3M	179.9M	-2.0M	16.88	15.43	N/A	N/A	2,323	39,213	15,353	116,110
2018-06-19	$78.92	$81.00	12.5%	3.6%	11.9%	36.2%	11.7%	2.7%	0.2%	-20.5M	186.5M	-2.0M	2.30	11.04	N/A	N/A	2,067	4,763	14,946	118,001
2018-06-20	$79.83	$81.00	12.0%	3.4%	12.4%	33.5%	10.9%	3.2%	-0.0%	-19.3M	153.0M	-1.9M	1.10	15.91	N/A	N/A	3,912	4,284	15,049	117,949
2018-06-21	$80.03	$81.00	12.4%	3.6%	12.1%	36.0%	10.4%	3.5%	0.4%	-17.1M	142.2M	-2.0M	1.75	12.65	N/A	N/A	1,886	3,305	17,065	118,535
2018-06-22	$80.74	$81.00	11.7%	3.3%	12.3%	31.7%	11.8%	3.2%	0.5%	-15.4M	109.8M	-1.8M	2.57	16.45	N/A	N/A	1,291	3,321	17,881	118,616
2018-06-25	$80.67	$81.00	12.9%	3.7%	12.3%	38.8%	13.1%	3.9%	0.5%	-15.3M	121.5M	-1.9M	2.58	16.65	N/A	N/A	1,356	3,496	18,189	118,849
2018-06-26	$80.89	$81.00	12.6%	3.6%	12.3%	36.9%	11.8%	3.7%	0.3%	-14.6M	111.9M	-1.9M	4.38	18.71	N/A	N/A	1,461	6,393	18,397	118,999
2018-06-27	$80.63	$81.00	13.0%	3.7%	11.4%	39.2%	13.1%	3.7%	0.7%	-16.7M	126.6M	-1.9M	9.50	16.12	N/A	N/A	1,796	17,066	18,506	122,016
2018-06-28	$81.21	$81.00	13.1%	3.8%	11.5%	39.8%	13.5%	3.8%	0.5%	-16.8M	118.7M	-2.0M	14.63	15.52	N/A	N/A	1,130	16,529	19,216	132,460
2018-06-29	$81.59	$81.00	11.7%	3.3%	11.5%	31.5%	11.9%	3.4%	0.9%	-15.9M	100.8M	-2.0M	12.79	16.51	N/A	N/A	1,160	14,842	19,258	133,021