VNQ Options History — August 2018

In August 2018, VNQ traded between $81.62 and $84.28. ATM implied volatility averaged 10.1%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 0.6% (HV 20d: 10.8%). Max pain ranged from $79.00 to $81.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.62.

Notable Days

2018-08-15: Highest Volume — 7,360 contracts
2018-08-13: Largest IV spike — 16.4% change
2018-08-13: Highest IV Rank — 32.9%
2018-08-13: Largest Expected Move — 3.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.03	$81.62	$84.28	$82.36	$83.98
Max Pain	$80.52	$79.00	$81.00	$81.00	$81.00
ATM IV	10.1%	9.1%	11.9%	10.7%	9.9%
Expected Move	2.9%	2.6%	3.2%	3.1%	2.8%
HV 20d	10.8%	9.1%	11.7%	11.7%	9.1%
HV 60d	11.3%	10.9%	11.9%	11.9%	11.1%
IV Rank	22.8%	16.9%	32.9%	26.1%	21.6%
IV Percentile	16.7%	2.8%	54.8%	26.2%	12.7%
Term Structure	1.6%	0.6%	3.3%	0.8%	1.0%
VWIV	10.7%	9.1%	13.4%	10.6%	11.8%
Skew 25d	2.9%	1.6%	4.0%	4.0%	2.8%
Skew 10d	6.9%	5.1%	10.1%	10.1%	6.0%
Call IV 25d	9.1%	8.1%	10.2%	8.7%	9.3%
Put IV 25d	12.0%	11.0%	13.2%	12.6%	12.1%
Bid-Ask Spread %	17.22	8.66	31.36	29.84	10.41
Gamma HHI	0.17	0.15	0.37	0.15	0.18
Net GEX	-5.5M	-11.0M	11.4M	-8.8M	-4.9M
Net DEX	31.4M	-23.7M	86.8M	48.7M	8.9M
Net VEX	-1.3M	-1.6M	-973.3K	-1.4M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.62	0.63	3.21	1.95	1.47
Total Volume	4,780.522	4,001	7,360	5,129	4,236
Total OI	154,681.696	150,715	159,843	153,529	153,785

Daily Data (23 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
2018-08-01	$82.36	$81.00	10.7%	3.1%	11.7%	26.1%	10.6%	4.0%	0.8%	-8.8M	48.7M	-1.4M	1.95	29.84	N/A	N/A	1,738	3,391	21,352	132,177
2018-08-02	$82.24	$81.00	10.8%	3.1%	11.4%	26.6%	10.6%	3.6%	0.9%	-9.7M	64.7M	-1.6M	1.68	11.32	N/A	N/A	2,055	3,451	21,797	132,977
2018-08-03	$83.01	$81.00	10.0%	2.9%	11.5%	22.1%	9.3%	2.7%	0.8%	-5.2M	22.5M	-1.4M	1.96	12.91	N/A	N/A	1,642	3,214	22,100	133,023
2018-08-06	$82.87	$79.00	9.7%	3.0%	11.2%	20.6%	10.5%	2.9%	2.3%	-5.3M	36.8M	-1.4M	1.80	19.54	N/A	N/A	1,679	3,016	22,220	133,049
2018-08-07	$82.73	$79.00	9.2%	2.9%	11.2%	17.3%	11.0%	2.7%	2.7%	-5.5M	42.0M	-1.5M	1.83	25.21	N/A	N/A	1,634	2,984	22,427	133,127
2018-08-08	$82.40	$79.00	9.7%	3.0%	11.3%	20.4%	10.0%	2.9%	2.1%	-6.1M	52.8M	-1.5M	2.10	19.13	N/A	N/A	1,516	3,188	22,443	133,148
2018-08-09	$82.46	$80.00	9.6%	3.0%	11.3%	19.5%	9.8%	2.5%	2.3%	-6.0M	50.7M	-1.4M	2.20	29.12	N/A	N/A	1,436	3,166	22,458	133,317
2018-08-10	$81.72	$80.00	10.2%	3.1%	11.7%	23.3%	11.0%	3.4%	2.4%	-10.8M	86.8M	-1.6M	1.33	27.60	N/A	N/A	1,877	2,489	22,459	133,330
2018-08-13	$81.62	$80.00	11.9%	3.2%	11.5%	32.9%	11.3%	3.0%	2.2%	-11.0M	78.9M	-1.4M	1.60	17.58	N/A	N/A	1,633	2,621	22,617	133,373
2018-08-14	$82.05	$80.00	11.3%	3.1%	11.5%	29.3%	10.6%	3.1%	1.7%	-6.7M	68.5M	-1.5M	1.49	16.59	N/A	N/A	1,792	2,663	22,710	133,268
2018-08-15	$82.55	$80.00	10.7%	3.1%	11.3%	26.0%	13.4%	3.4%	2.2%	-3.1M	35.5M	-1.3M	3.21	31.36	N/A	N/A	1,747	5,613	22,776	133,288
2018-08-16	$83.20	$81.00	9.7%	2.8%	10.8%	20.6%	9.4%	2.8%	2.8%	-1.9M	17.0M	-1.3M	0.63	24.19	N/A	N/A	3,830	2,428	22,885	136,340
2018-08-17	$83.95	$81.00	9.1%	2.6%	10.6%	16.9%	9.7%	2.9%	3.3%	11.4M	-6.6M	-1.3M	1.05	9.27	N/A	N/A	2,437	2,561	23,421	136,422
2018-08-20	$84.13	$81.00	9.6%	2.7%	10.5%	19.7%	9.1%	2.9%	1.4%	-4.9M	-13.5M	-1.1M	1.25	15.71	N/A	N/A	2,108	2,642	19,626	131,089
2018-08-21	$83.63	$81.00	9.4%	2.7%	10.6%	18.4%	10.9%	2.8%	1.4%	-6.9M	20.4M	-1.3M	2.05	12.15	N/A	N/A	1,438	2,955	20,110	131,695
2018-08-22	$83.08	$81.00	10.4%	3.0%	10.9%	24.5%	10.4%	2.4%	0.9%	-7.9M	31.8M	-1.2M	0.94	15.35	N/A	N/A	2,758	2,596	20,230	132,132
2018-08-23	$82.97	$81.00	10.5%	3.0%	10.9%	24.9%	11.5%	2.8%	0.6%	-7.6M	32.9M	-1.2M	1.50	14.65	N/A	N/A	1,732	2,593	20,748	132,207
2018-08-24	$83.43	$81.00	10.2%	2.9%	10.4%	23.2%	9.7%	3.2%	0.8%	-6.4M	27.1M	-1.3M	1.44	13.00	N/A	N/A	1,813	2,603	20,818	132,396
2018-08-27	$83.17	$81.00	10.1%	2.9%	10.4%	22.8%	10.4%	2.6%	1.2%	-5.8M	20.8M	-1.1M	1.54	10.65	N/A	N/A	1,575	2,426	20,872	132,530
2018-08-28	$84.15	$81.00	10.0%	2.9%	9.3%	21.8%	11.5%	3.3%	1.2%	-4.8M	2.0M	-1.1M	1.60	11.97	N/A	N/A	1,612	2,575	20,907	132,579
2018-08-29	$84.28	$81.00	10.3%	3.0%	9.2%	23.9%	11.4%	2.6%	1.0%	-3.0M	-23.7M	-973.3K	1.29	8.66	N/A	N/A	1,898	2,442	20,999	132,785
2018-08-30	$83.74	$81.00	10.0%	2.9%	9.6%	21.8%	11.7%	1.6%	1.1%	-6.0M	16.8M	-1.2M	1.42	9.85	N/A	N/A	1,714	2,435	20,851	132,816
2018-08-31	$83.98	$81.00	9.9%	2.8%	9.1%	21.6%	11.8%	2.8%	1.0%	-4.9M	8.9M	-1.2M	1.47	10.41	N/A	N/A	1,718	2,518	20,982	132,803