VNQ Options History — September 2018

In September 2018, VNQ traded between $79.53 and $83.87. ATM implied volatility averaged 11.6%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 0.7% (HV 20d: 12.2%). Max pain ranged from $81.00 to $85.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 3.75.

Notable Days

2018-09-26: Highest Volume — 82,385 contracts
2018-09-24: Largest IV spike — 16.2% change
2018-09-24: Highest IV Rank — 36.0%
2018-09-11: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.31	$79.53	$83.87	$83.04	$80.41
Max Pain	$83.37	$81.00	$85.00	$81.00	$82.00
ATM IV	11.6%	10.7%	12.4%	11.5%	12.3%
Expected Move	3.4%	3.1%	3.6%	3.3%	3.5%
HV 20d	12.2%	10.0%	16.4%	10.0%	16.4%
HV 60d	11.4%	10.5%	12.9%	11.4%	12.7%
IV Rank	31.0%	26.1%	36.0%	30.4%	35.1%
IV Percentile	47.6%	27.0%	65.1%	46.8%	61.9%
Term Structure	1.2%	0.1%	2.6%	0.4%	0.6%
VWIV	12.0%	10.9%	13.9%	11.6%	11.5%
Skew 25d	3.2%	2.7%	3.6%	2.7%	3.2%
Skew 10d	6.3%	4.3%	9.0%	4.3%	5.5%
Call IV 25d	10.6%	9.9%	11.2%	10.4%	11.0%
Put IV 25d	13.9%	12.9%	14.6%	13.1%	14.1%
Bid-Ask Spread %	19.37	9.23	36.69	9.23	15.33
Gamma HHI	0.22	0.18	0.35	0.18	0.34
Net GEX	-10.8M	-35.2M	852.2K	-7.5M	-30.8M
Net DEX	74.5M	7.5M	229.2M	42.0M	191.5M
Net VEX	-1.2M	-1.7M	-1.0M	-1.2M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.75	1.24	36.90	1.61	1.34
Total Volume	10,551.842	4,462	82,385	4,876	9,097
Total OI	156,694.526	138,817	176,204	153,892	176,204

Daily Data (19 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
2018-09-04	$83.04	$81.00	11.5%	3.3%	10.0%	30.4%	11.6%	2.7%	0.4%	-7.5M	42.0M	-1.2M	1.61	9.23	N/A	N/A	1,870	3,006	20,997	132,895
2018-09-05	$83.66	$81.00	10.9%	3.1%	10.3%	27.3%	11.3%	2.9%	0.4%	-5.1M	22.4M	-1.2M	1.95	10.20	N/A	N/A	1,555	3,039	21,132	133,246
2018-09-06	$83.87	$85.00	11.0%	3.4%	10.2%	27.8%	12.1%	3.2%	1.5%	-4.5M	15.1M	-1.1M	1.98	17.42	N/A	N/A	1,537	3,046	21,195	133,305
2018-09-07	$82.85	$84.00	11.5%	3.5%	11.2%	30.8%	12.6%	3.6%	1.2%	-8.1M	55.3M	-1.2M	2.80	21.86	N/A	N/A	1,510	4,231	21,364	133,549
2018-09-10	$83.38	$84.00	11.8%	3.6%	10.8%	32.2%	13.9%	3.6%	1.1%	-3.3M	15.9M	-1.0M	2.76	30.24	N/A	N/A	1,552	4,290	21,467	134,843
2018-09-11	$83.32	$84.00	12.0%	3.6%	10.8%	33.6%	13.1%	3.5%	1.2%	-4.9M	39.0M	-1.2M	2.29	19.90	N/A	N/A	1,751	4,011	21,486	135,058
2018-09-12	$83.23	$84.00	12.0%	3.5%	10.7%	33.7%	13.5%	3.4%	1.6%	-4.6M	38.3M	-1.1M	2.04	22.11	N/A	N/A	1,928	3,939	21,790	135,122
2018-09-13	$83.77	$84.00	10.9%	3.1%	10.7%	27.2%	11.8%	3.3%	2.1%	852.2K	7.5M	-1.1M	1.53	36.69	N/A	N/A	2,641	4,032	22,222	135,113
2018-09-14	$82.97	$84.00	11.4%	3.3%	11.0%	29.9%	11.0%	3.2%	1.9%	-4.4M	43.0M	-1.1M	1.43	21.67	N/A	N/A	2,923	4,173	23,319	135,267
2018-09-17	$83.35	$84.00	11.7%	3.4%	10.6%	31.9%	11.4%	3.4%	1.5%	-39.8K	25.9M	-1.0M	1.83	23.40	N/A	N/A	2,693	4,925	23,727	135,202
2018-09-18	$83.04	$84.00	11.2%	3.2%	10.6%	29.0%	11.1%	3.0%	1.4%	-2.3M	38.9M	-1.0M	1.88	28.05	N/A	N/A	2,625	4,945	23,707	135,747
2018-09-19	$81.96	$84.00	11.7%	3.4%	11.4%	32.0%	11.3%	3.3%	1.6%	-18.3M	87.1M	-1.1M	1.34	16.36	N/A	N/A	3,401	4,554	23,714	136,093
2018-09-20	$82.81	$84.00	10.7%	3.1%	11.8%	26.3%	11.6%	3.3%	2.2%	-8.5M	57.3M	-1.1M	2.34	19.20	N/A	N/A	3,450	8,081	24,193	136,310
2018-09-21	$82.81	$83.00	10.7%	3.1%	11.8%	26.1%	11.9%	3.3%	2.6%	-4.0M	67.9M	-1.2M	1.24	18.83	N/A	N/A	3,271	4,058	25,259	139,787
2018-09-24	$80.15	$84.00	12.4%	3.6%	16.3%	36.0%	12.8%	3.2%	0.1%	-21.0M	142.2M	-1.3M	1.74	11.78	N/A	N/A	2,427	4,226	13,159	125,658
2018-09-25	$80.27	$83.00	12.3%	3.5%	16.4%	35.2%	12.2%	3.2%	0.5%	-20.9M	139.5M	-1.3M	2.20	12.01	N/A	N/A	1,516	3,335	13,209	126,505
2018-09-26	$79.55	$83.00	11.9%	3.4%	15.7%	32.7%	10.9%	3.3%	0.5%	-23.4M	156.9M	-1.3M	36.90	17.59	N/A	N/A	2,174	80,211	13,074	126,388
2018-09-27	$79.53	$82.00	11.8%	3.4%	15.7%	32.3%	12.1%	2.9%	0.8%	-35.2M	229.2M	-1.7M	2.01	16.20	N/A	N/A	1,481	2,981	13,895	161,995
2018-09-28	$80.41	$82.00	12.3%	3.5%	16.4%	35.1%	11.5%	3.2%	0.6%	-30.8M	191.5M	-1.6M	1.34	15.33	N/A	N/A	3,895	5,202	14,094	162,110