VNQ Options History — July 2013

In July 2013, VNQ traded between $68.57 and $72.55. ATM implied volatility averaged 15.8%, placing in the 48.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 6.4% (HV 20d: 22.2%). Max pain ranged from $67.00 to $71.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2013-07-11: Highest Volume — 2,572 contracts
  • 2013-07-02: Largest IV drop — 13.3% change
  • 2013-07-08: Highest IV Rank — 65.4%
  • 2013-07-05: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.73$68.57$72.55$68.57$69.34
Max Pain$69.50$67.00$71.00$69.00$70.00
ATM IV15.8%12.6%18.5%18.1%17.4%
Expected Move4.6%3.6%5.3%5.2%5.0%
HV 20d22.2%14.6%27.8%27.6%15.1%
HV 60d20.3%20.1%20.5%20.1%20.4%
IV Rank48.9%29.5%65.4%63.1%58.7%
IV Percentile83.9%60.7%96.0%94.8%90.5%
Term Structure0.9%0.1%2.0%0.2%0.2%
VWIV16.2%12.2%20.2%17.4%18.2%
Skew 25d4.2%2.7%5.6%4.8%4.9%
Skew 10d10.7%6.3%16.1%13.8%10.5%
Call IV 25d14.3%12.0%16.3%16.3%15.6%
Put IV 25d18.5%15.4%21.9%21.1%20.5%
Bid-Ask Spread %32.5418.0552.3130.6127.84
Gamma HHI0.240.120.610.200.13
Net GEX2.0M797.4K5.0M1.2M797.4K
Net DEX-8.6M-25.4M1.5M1.5M682.3K
Net VEX-86.2K-96.1K-74.7K-92.4K-74.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.012.430.060.15
Total Volume427.045392,5721021,268
Total OI10,206.1367,13312,26311,0468,355

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$68.57$69.0018.1%5.2%27.6%63.1%17.4%4.8%0.2%1.2M1.5M-92.4K0.0630.61N/AN/A9666,8024,244
2013-07-02$69.62$69.0015.7%4.5%27.8%48.3%15.1%4.2%1.5%1.6M-3.4M-95.6K0.0521.03N/AN/A241136,8434,242
2013-07-03$69.16$69.0017.6%5.0%27.8%59.9%16.4%4.5%0.6%1.5M-1.3M-95.0K0.5727.08N/AN/A63366,9854,243
2013-07-05$68.83$67.0017.8%5.3%27.1%61.5%19.4%5.6%0.2%1.3M1.1M-89.0K0.3343.04N/AN/A4731576,9924,248
2013-07-08$68.90$69.0018.5%5.3%27.1%65.4%19.3%5.1%0.1%1.6M-1.5M-90.8K1.2329.69N/AN/A39487,3514,295
2013-07-09$69.88$69.0016.7%5.0%27.5%54.6%20.2%4.5%0.2%2.0M-6.7M-92.4K0.8731.41N/AN/A61537,3844,325
2013-07-10$69.91$69.0016.1%5.0%26.9%50.9%15.9%4.4%0.2%2.1M-7.0M-90.9K0.3128.60N/AN/A125397,4024,353
2013-07-11$71.60$69.0015.4%4.4%27.6%46.3%15.0%4.5%0.4%2.7M-18.6M-92.9K0.0524.51N/AN/A2,4401327,4544,378
2013-07-12$71.16$69.0016.0%4.6%26.3%49.8%15.7%4.3%0.7%2.7M-16.0M-96.1K0.3618.05N/AN/A74277,7524,370
2013-07-15$71.46$69.0016.2%4.7%26.3%51.6%15.3%4.2%0.5%3.1M-17.4M-92.5K0.4118.88N/AN/A139577,7994,386
2013-07-16$71.51$69.0015.5%4.5%26.3%47.3%15.8%4.1%1.3%3.0M-18.6M-91.5K0.3944.59N/AN/A46187,8574,406
2013-07-17$71.77$69.0015.2%4.4%26.3%45.3%17.7%3.8%0.8%3.6M-20.9M-89.7K0.4152.31N/AN/A63267,8424,405
2013-07-18$72.38$69.0015.2%4.4%23.6%45.1%15.9%4.1%0.8%4.5M-25.0M-82.3K0.4344.15N/AN/A4812097,6533,846
2013-07-19$72.33$70.0014.2%4.1%16.6%39.4%14.1%2.7%1.5%5.0M-25.4M-82.4K0.0746.91N/AN/A155117,7833,942
2013-07-22$72.55$70.0012.6%3.6%16.3%29.5%13.7%3.4%1.9%1.1M-8.4M-79.2K2.4334.98N/AN/A441074,3772,756
2013-07-23$72.47$71.0014.1%4.1%14.9%38.7%12.2%3.0%1.1%1.0M-8.3M-79.9K0.7628.99N/AN/A33254,3922,849
2013-07-24$71.06$71.0014.6%4.2%16.6%41.5%15.6%4.0%1.3%864.9K-3.2M-75.8K2.1122.13N/AN/A1122364,4062,871
2013-07-25$71.17$71.0014.7%4.2%16.0%42.2%15.1%4.3%1.5%840.6K-3.4M-79.0K0.2639.88N/AN/A3184,4603,051
2013-07-26$71.23$71.0014.5%4.1%14.6%40.8%16.7%4.2%2.0%867.8K-3.3M-78.5K0.0746.15N/AN/A8664,4803,053
2013-07-29$70.70$70.0014.9%4.3%14.7%43.6%13.7%3.3%1.3%812.9K-2.3M-75.8K0.0132.29N/AN/A1,989154,5573,059
2013-07-30$70.49$70.0016.2%4.6%14.7%51.3%16.7%4.4%0.9%1.0M-2.8M-80.9K0.6722.67N/AN/A64435,2233,064
2013-07-31$69.34$70.0017.4%5.0%15.1%58.7%18.2%4.9%0.2%797.4K682.3K-74.7K0.1527.84N/AN/A1,1031655,2533,102