VNQ Options History — October 2018

In October 2018, VNQ traded between $75.81 and $80.03. ATM implied volatility averaged 17.0%, placing in the 62.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 1.4% (HV 20d: 18.4%). Max pain ranged from $78.00 to $82.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 6.50.

Notable Days

2018-10-23: Highest Volume — 139,225 contracts
2018-10-11: Largest IV spike — 19.9% change
2018-10-26: Highest IV Rank — 89.1%
2018-10-26: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.20	$75.81	$80.03	$80.03	$78.59
Max Pain	$79.43	$78.00	$82.00	$82.00	$78.00
ATM IV	17.0%	12.2%	21.7%	12.2%	19.3%
Expected Move	4.9%	3.5%	6.2%	3.5%	5.5%
HV 20d	18.4%	15.6%	21.3%	16.3%	21.1%
HV 60d	14.4%	12.5%	16.2%	12.6%	16.2%
IV Rank	62.1%	34.9%	89.1%	34.9%	75.3%
IV Percentile	88.0%	60.7%	98.8%	60.7%	95.2%
Term Structure	-0.7%	-2.4%	0.7%	0.7%	-1.5%
VWIV	17.3%	12.1%	21.2%	12.2%	19.9%
Skew 25d	4.4%	2.8%	5.7%	2.8%	4.7%
Skew 10d	8.7%	1.8%	11.4%	4.4%	10.4%
Call IV 25d	15.2%	11.1%	19.6%	11.3%	17.7%
Put IV 25d	19.6%	14.0%	25.0%	14.1%	22.4%
Bid-Ask Spread %	19.38	11.24	29.36	12.78	29.36
Gamma HHI	0.28	0.23	0.34	0.32	0.24
Net GEX	-49.7M	-69.8M	-34.2M	-34.2M	-60.2M
Net DEX	387.8M	206.6M	582.2M	206.6M	427.6M
Net VEX	-2.3M	-3.1M	-1.6M	-1.6M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.50	0.45	75.79	1.63	1.68
Total Volume	15,065	4,579	139,225	4,667	4,579
Total OI	229,873	180,788	295,717	180,788	295,717

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
2018-10-01	$80.03	$82.00	12.2%	3.5%	16.3%	34.9%	12.2%	2.8%	0.7%	-34.2M	206.6M	-1.6M	1.63	12.78	N/A	N/A	1,775	2,892	16,100	164,688
2018-10-02	$79.85	$81.00	12.3%	3.5%	16.0%	35.2%	12.1%	3.0%	0.5%	-35.9M	227.1M	-1.7M	1.42	11.24	N/A	N/A	2,057	2,928	16,698	164,862
2018-10-03	$78.93	$81.00	13.8%	4.0%	15.9%	43.8%	13.4%	2.9%	-1.3%	-39.6M	281.6M	-1.8M	0.45	19.30	N/A	N/A	8,899	4,033	17,389	165,280
2018-10-04	$78.20	$80.00	15.5%	4.4%	15.9%	53.5%	16.3%	3.9%	0.3%	-39.6M	322.0M	-2.0M	2.10	17.65	N/A	N/A	2,796	5,879	23,953	166,728
2018-10-05	$78.20	$80.00	16.0%	4.4%	15.6%	56.5%	15.1%	4.2%	0.2%	-41.4M	325.4M	-2.0M	2.15	17.62	N/A	N/A	2,498	5,367	24,108	169,464
2018-10-08	$79.52	$80.00	14.7%	4.1%	16.8%	49.2%	16.0%	4.2%	0.5%	-35.5M	252.2M	-1.8M	2.99	25.05	N/A	N/A	1,606	4,797	24,262	169,585
2018-10-09	$79.52	$80.00	14.5%	4.1%	16.8%	47.7%	14.3%	3.8%	0.3%	-35.8M	250.8M	-1.8M	3.00	19.42	N/A	N/A	1,613	4,832	24,349	169,695
2018-10-10	$78.72	$80.00	16.0%	4.6%	17.1%	56.4%	14.7%	4.2%	-0.6%	-38.7M	294.3M	-1.9M	1.84	25.33	N/A	N/A	2,297	4,221	24,390	169,820
2018-10-11	$76.47	$80.00	19.2%	5.5%	19.0%	74.6%	20.3%	5.5%	-1.1%	-44.8M	440.3M	-2.1M	12.33	23.78	N/A	N/A	2,337	28,820	25,007	169,770
2018-10-12	$75.81	$80.00	19.0%	5.4%	19.0%	73.5%	21.0%	5.7%	-1.3%	-53.8M	555.8M	-2.5M	2.98	13.17	N/A	N/A	2,190	6,535	24,776	194,496
2018-10-15	$76.74	$80.00	17.6%	5.0%	19.7%	65.4%	19.0%	5.2%	-0.8%	-52.0M	489.8M	-2.4M	6.90	14.79	N/A	N/A	2,020	13,946	27,052	196,296
2018-10-16	$77.86	$80.00	16.1%	4.6%	20.7%	56.8%	16.9%	4.7%	-0.4%	-50.1M	403.9M	-2.3M	2.77	19.78	N/A	N/A	2,158	5,973	27,278	200,833
2018-10-17	$77.53	$79.00	15.4%	4.4%	20.4%	53.2%	15.4%	4.7%	0.0%	-51.7M	413.0M	-2.3M	2.58	19.61	N/A	N/A	2,292	5,912	27,117	200,966
2018-10-18	$77.57	$79.00	16.2%	4.6%	19.9%	57.5%	17.9%	4.0%	-0.5%	-51.3M	433.4M	-2.3M	3.55	18.82	N/A	N/A	2,423	8,611	27,218	201,067
2018-10-19	$78.15	$79.00	16.3%	4.7%	20.2%	58.1%	14.9%	4.6%	-0.5%	-53.8M	374.0M	-2.3M	2.67	18.59	N/A	N/A	3,581	9,568	27,802	203,909
2018-10-22	$77.14	$79.00	17.6%	5.0%	17.4%	65.4%	19.2%	4.8%	-0.8%	-57.4M	452.2M	-2.3M	3.83	19.37	N/A	N/A	1,648	6,318	23,130	202,301
2018-10-23	$77.55	$79.00	17.1%	4.9%	17.5%	62.8%	17.9%	4.7%	-0.6%	-55.4M	414.2M	-2.3M	75.79	19.96	N/A	N/A	1,813	137,412	23,197	203,198
2018-10-24	$78.45	$78.00	19.6%	5.6%	17.9%	77.0%	19.2%	4.9%	-1.8%	-62.7M	470.4M	-2.9M	4.70	19.37	N/A	N/A	1,808	8,499	23,456	269,349
2018-10-25	$79.31	$78.00	18.5%	5.3%	18.4%	71.0%	19.0%	4.5%	-1.0%	-56.4M	388.9M	-2.8M	5.23	17.85	N/A	N/A	1,675	8,763	23,672	271,486
2018-10-26	$77.28	$78.00	21.7%	6.2%	20.0%	89.1%	21.2%	5.0%	-2.4%	-69.8M	582.2M	-3.1M	3.08	19.91	N/A	N/A	1,567	4,830	23,815	271,628
2018-10-29	$77.92	$78.00	21.6%	6.2%	20.3%	88.3%	21.0%	5.4%	-2.4%	-65.4M	501.8M	-2.9M	2.91	22.26	N/A	N/A	1,592	4,637	23,874	271,688
2018-10-30	$79.22	$78.00	20.8%	6.0%	21.3%	84.1%	20.4%	4.9%	-2.0%	-57.0M	411.8M	-2.7M	2.90	20.83	N/A	N/A	1,664	4,834	23,802	271,808
2018-10-31	$78.59	$78.00	19.3%	5.5%	21.1%	75.3%	19.9%	4.7%	-1.5%	-60.2M	427.6M	-2.7M	1.68	29.36	N/A	N/A	1,706	2,873	23,773	271,944