VNQ Options History — July 2018

In July 2018, VNQ traded between $80.52 and $82.86. ATM implied volatility averaged 11.5%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.1% (HV 20d: 11.4%). Max pain ranged from $80.00 to $82.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.03.

Notable Days

2018-07-05: Highest Volume — 16,738 contracts
2018-07-20: Largest IV spike — 6.6% change
2018-07-02: Highest IV Rank — 39.2%
2018-07-05: Largest Expected Move — 3.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.59	$80.52	$82.86	$80.74	$81.99
Max Pain	$81.24	$80.00	$82.00	$81.00	$81.00
ATM IV	11.5%	10.5%	13.0%	13.0%	10.5%
Expected Move	3.3%	3.0%	3.9%	3.7%	3.0%
HV 20d	11.4%	9.9%	13.2%	12.0%	12.1%
HV 60d	12.0%	11.4%	12.6%	12.3%	11.9%
IV Rank	30.5%	25.1%	39.2%	39.2%	25.2%
IV Percentile	42.6%	21.0%	72.6%	72.6%	21.4%
Term Structure	0.9%	0.1%	1.3%	0.9%	0.8%
VWIV	12.1%	9.5%	15.6%	10.8%	10.3%
Skew 25d	3.2%	2.6%	4.0%	4.0%	2.7%
Skew 10d	7.4%	6.0%	9.1%	8.1%	8.8%
Call IV 25d	10.4%	9.3%	11.8%	11.7%	9.9%
Put IV 25d	13.7%	12.3%	15.7%	15.7%	12.6%
Bid-Ask Spread %	14.36	10.16	19.97	14.71	11.03
Gamma HHI	0.16	0.15	0.18	0.15	0.16
Net GEX	-14.8M	-20.6M	-11.5M	-18.2M	-11.5M
Net DEX	89.0M	40.7M	136.0M	136.0M	75.5M
Net VEX	-1.7M	-2.1M	-1.6M	-2.1M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.03	0.81	13.01	13.01	0.94
Total Volume	6,373.143	3,394	16,738	15,262	5,700
Total OI	154,443.952	149,343	158,857	152,433	152,083

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
2018-07-02	$80.74	$81.00	13.0%	3.7%	12.0%	39.2%	10.8%	4.0%	0.9%	-18.2M	136.0M	-2.1M	13.01	14.71	N/A	N/A	1,089	14,173	19,449	132,984
2018-07-03	$81.61	$81.00	12.4%	3.6%	12.4%	35.7%	12.9%	3.6%	0.8%	-15.7M	103.1M	-1.9M	11.17	18.94	N/A	N/A	1,375	15,356	19,489	133,857
2018-07-05	$82.22	$80.00	12.5%	3.9%	12.6%	36.2%	15.6%	3.8%	0.2%	-15.0M	76.7M	-1.8M	6.42	18.93	N/A	N/A	2,257	14,481	19,835	135,897
2018-07-06	$82.86	$81.00	11.7%	3.6%	12.8%	31.8%	13.3%	3.5%	0.7%	-12.2M	40.7M	-1.7M	2.64	19.97	N/A	N/A	1,419	3,741	20,082	135,959
2018-07-09	$82.23	$81.00	12.2%	3.7%	13.2%	34.7%	12.9%	3.7%	0.6%	-14.2M	72.3M	-1.8M	2.05	14.68	N/A	N/A	1,504	3,089	20,210	136,384
2018-07-10	$82.39	$81.00	11.9%	3.6%	13.2%	33.1%	12.9%	3.0%	0.1%	-12.9M	62.5M	-1.8M	2.30	15.81	N/A	N/A	1,434	3,304	20,282	136,399
2018-07-11	$82.32	$81.00	12.3%	3.5%	13.0%	35.0%	12.5%	3.4%	0.7%	-13.2M	56.4M	-1.7M	1.71	14.70	N/A	N/A	1,925	3,300	20,359	136,528
2018-07-12	$82.47	$81.00	12.0%	3.4%	10.4%	33.5%	12.3%	3.6%	0.8%	-12.8M	57.0M	-1.7M	1.80	14.18	N/A	N/A	1,214	2,180	20,368	136,598
2018-07-13	$82.33	$82.00	11.6%	3.3%	10.2%	31.4%	11.7%	3.1%	0.7%	-11.9M	59.2M	-1.7M	1.61	14.36	N/A	N/A	1,317	2,114	20,405	136,725
2018-07-16	$81.79	$82.00	11.6%	3.3%	10.5%	31.0%	11.5%	3.5%	0.8%	-14.8M	84.2M	-1.7M	1.30	13.03	N/A	N/A	1,734	2,249	20,453	136,768
2018-07-17	$81.36	$82.00	11.8%	3.4%	9.9%	32.6%	11.6%	2.7%	0.9%	-17.4M	98.2M	-1.8M	1.45	14.50	N/A	N/A	1,549	2,247	20,771	136,862
2018-07-18	$80.83	$82.00	11.1%	3.2%	10.3%	28.5%	11.5%	2.7%	1.2%	-20.6M	111.3M	-1.8M	1.42	13.38	N/A	N/A	1,685	2,388	20,848	136,915
2018-07-19	$81.85	$82.00	10.5%	3.0%	10.5%	25.1%	9.5%	3.0%	1.3%	-11.7M	59.5M	-1.6M	0.81	15.53	N/A	N/A	2,619	2,119	20,830	137,258
2018-07-20	$81.17	$82.00	11.2%	3.2%	11.0%	29.1%	11.7%	2.8%	1.1%	-14.6M	97.2M	-1.7M	1.21	14.23	N/A	N/A	2,675	3,236	21,543	137,314
2018-07-23	$80.93	$81.00	11.1%	3.2%	10.6%	28.0%	12.0%	3.2%	0.9%	-15.2M	109.8M	-1.7M	1.29	10.16	N/A	N/A	1,666	2,155	19,741	129,602
2018-07-24	$80.57	$81.00	10.9%	3.1%	10.7%	27.0%	11.9%	3.4%	0.8%	-16.5M	123.7M	-1.8M	1.81	11.10	N/A	N/A	1,597	2,893	19,897	129,587
2018-07-25	$81.08	$81.00	10.6%	3.0%	10.9%	25.4%	13.4%	2.6%	1.3%	-14.4M	105.4M	-1.7M	2.84	13.80	N/A	N/A	1,330	3,772	20,109	130,172
2018-07-26	$81.36	$81.00	10.7%	3.1%	10.9%	25.9%	13.0%	3.0%	1.3%	-13.2M	90.3M	-1.7M	2.05	11.53	N/A	N/A	1,812	3,718	20,314	129,106
2018-07-27	$80.67	$81.00	10.5%	3.0%	11.1%	25.1%	11.0%	3.1%	1.2%	-16.5M	115.1M	-1.7M	3.91	14.85	N/A	N/A	1,467	5,731	20,273	129,305
2018-07-30	$80.52	$81.00	10.9%	3.1%	10.9%	27.2%	11.7%	3.5%	1.1%	-17.9M	134.7M	-1.8M	1.80	12.22	N/A	N/A	1,508	2,714	20,230	131,532
2018-07-31	$81.99	$81.00	10.5%	3.0%	12.1%	25.2%	10.3%	2.7%	0.8%	-11.5M	75.5M	-1.6M	0.94	11.03	N/A	N/A	2,931	2,769	20,387	131,696