VNQ Options History — June 2013

In June 2013, VNQ traded between $65.68 and $71.18. ATM implied volatility averaged 19.1%, placing in the 69.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 2.1% (HV 20d: 21.2%). Max pain ranged from $69.00 to $72.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2013-06-07: Highest Volume — 1,721 contracts
  • 2013-06-20: Largest IV spike — 31.7% change
  • 2013-06-20: Highest IV Rank — 100.0%
  • 2013-06-24: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.00$65.68$71.18$71.18$68.72
Max Pain$70.10$69.00$72.00$69.00$69.00
ATM IV19.1%16.0%24.1%17.9%17.7%
Expected Move5.4%4.7%6.9%5.1%5.1%
HV 20d21.2%16.0%28.0%16.2%27.7%
HV 60d16.6%13.5%20.4%13.5%20.2%
IV Rank69.8%49.6%100.0%56.0%60.6%
IV Percentile94.7%87.7%100.0%92.9%92.5%
Term Structure-0.6%-2.0%0.7%-1.0%0.6%
VWIV18.3%15.3%23.5%18.0%17.2%
Skew 25d4.0%2.7%5.3%3.3%4.2%
Skew 10d9.8%-2.1%17.6%11.2%10.4%
Call IV 25d17.5%15.0%22.8%16.7%16.3%
Put IV 25d21.6%19.2%27.5%20.0%20.5%
Bid-Ask Spread %21.1714.4828.9123.7926.85
Gamma HHI0.150.100.220.140.20
Net GEX961.4K63.4K2.2M1.0M1.2M
Net DEX4.1M-4.9M18.5M-2.9M362.7K
Net VEX-89.8K-104.6K-65.0K-92.5K-97.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.047.300.500.09
Total Volume720.75901,721484162
Total OI11,687.658,95813,58010,58910,962

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$71.18$69.0017.9%5.1%16.2%56.0%18.0%3.3%-1.0%1.0M-2.9M-92.5K0.5023.79N/AN/A3231616,4834,106
2013-06-04$70.19$69.0018.0%5.2%16.4%56.8%17.5%3.0%-0.8%983.3K1.1M-87.1K0.5124.83N/AN/A2451256,5374,221
2013-06-05$69.61$69.0018.3%5.3%16.0%58.3%18.7%2.9%-1.3%924.5K3.7M-84.1K1.0421.28N/AN/A2232316,6844,303
2013-06-06$70.73$69.0017.6%5.1%17.5%54.6%17.8%2.7%-0.9%1.1M-1.6M-92.3K7.3016.57N/AN/A1188616,8014,440
2013-06-07$70.74$72.0016.0%4.7%17.6%49.6%15.5%4.8%0.7%1.0M197.3K-103.0K0.1521.61N/AN/A1,5002216,8625,288
2013-06-10$70.13$72.0017.9%5.0%17.5%61.6%15.3%5.0%0.5%950.1K2.9M-99.0K0.6719.33N/AN/A54366,5295,403
2013-06-11$69.09$72.0018.8%5.2%17.5%66.5%17.4%4.5%-0.1%707.8K7.9M-92.7K4.7115.86N/AN/A1466886,5515,432
2013-06-12$68.15$72.0021.1%5.7%17.5%80.5%19.1%5.3%-1.4%489.6K11.7M-84.5K0.4714.48N/AN/A4362076,5565,273
2013-06-13$69.92$70.0018.8%5.4%20.1%66.8%18.2%3.7%-0.5%1.0M2.8M-97.7K0.0424.28N/AN/A1,271526,8525,390
2013-06-14$70.18$70.0018.8%5.4%20.3%72.7%17.8%4.0%-0.8%1.6M-1.6M-104.6K0.2325.56N/AN/A200477,9335,297
2013-06-17$70.38$70.0018.3%5.2%20.2%69.5%17.1%4.0%-0.6%1.8M-2.5M-101.1K0.0520.81N/AN/A734367,9795,291
2013-06-18$70.74$70.0016.6%4.7%20.3%58.2%18.6%3.5%0.4%2.2M-4.9M-102.3K0.2419.93N/AN/A373898,2685,312
2013-06-19$68.57$71.0017.6%5.1%22.0%74.1%17.3%3.8%-0.2%888.2K9.4M-83.5K1.7221.51N/AN/A3105328,1005,323
2013-06-20$65.72$71.0023.2%6.7%24.6%100.0%18.4%4.7%-2.0%281.0K18.5M-65.0K0.4116.17N/AN/A9944047,6985,140
2013-06-21$66.61$70.0022.2%6.4%25.3%93.5%22.3%3.9%-2.0%684.2K13.2M-71.8K0.5322.35N/AN/A3101657,9145,083
2013-06-24$65.68$70.0024.1%6.9%25.4%100.0%23.5%4.8%-1.5%63.4K11.2M-71.9K0.4218.07N/AN/A5522315,1073,851
2013-06-25$66.78$69.0021.2%6.1%26.7%82.2%19.8%4.5%-0.7%194.3K9.2M-77.9K0.2414.90N/AN/A1,2403035,3904,015
2013-06-26$67.79$69.0019.9%5.7%26.9%73.9%19.3%4.0%-0.5%817.9K4.7M-90.4K0.8326.28N/AN/A2261876,4824,126
2013-06-27$69.15$69.0017.8%5.1%28.0%61.4%17.9%4.5%0.5%1.2M-786.3K-97.7K0.1528.91N/AN/A368546,5574,214
2013-06-28$68.72$69.0017.7%5.1%27.7%60.6%17.2%4.2%0.6%1.2M362.7K-97.1K0.0926.85N/AN/A149136,7214,241