VNQ Options History — August 2013

In August 2013, VNQ traded between $63.50 and $69.07. ATM implied volatility averaged 17.7%, placing in the 60.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.2% (HV 20d: 14.4%). Max pain ranged from $68.00 to $70.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.90.

Notable Days

  • 2013-08-16: Highest Volume — 2,427 contracts
  • 2013-08-15: Largest IV spike — 20.7% change
  • 2013-08-19: Highest IV Rank — 79.0%
  • 2013-08-19: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.52$63.50$69.07$69.07$64.50
Max Pain$69.55$68.00$70.00$70.00$68.00
ATM IV17.7%14.1%20.7%17.1%20.5%
Expected Move5.3%4.3%5.9%4.9%5.9%
HV 20d14.4%10.5%17.1%15.0%16.6%
HV 60d20.4%20.0%21.0%20.3%20.0%
IV Rank60.4%38.3%79.0%56.9%77.9%
IV Percentile90.7%74.6%98.0%89.7%97.6%
Term Structure0.8%-0.3%1.5%0.8%1.2%
VWIV18.5%15.2%21.3%20.0%20.4%
Skew 25d4.3%3.3%5.1%4.5%3.3%
Skew 10d9.7%6.6%14.1%13.6%9.1%
Call IV 25d16.6%13.9%18.8%15.3%18.8%
Put IV 25d20.9%17.5%22.8%19.8%22.1%
Bid-Ask Spread %20.3111.9229.2227.0920.67
Gamma HHI0.180.080.420.130.13
Net GEX-475.9K-1.7M866.2K866.2K-459.5K
Net DEX15.4M1.3M24.8M1.3M21.7M
Net VEX-70.5K-89.0K-44.4K-76.8K-61.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.900.0169.8669.860.21
Total Volume590.227292,4272,055308
Total OI12,089.7279,02813,7779,02813,777

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$69.07$70.0017.1%4.9%15.0%56.9%20.0%4.5%0.8%866.2K1.3M-76.8K69.8627.09N/AN/A292,0265,8043,224
2013-08-02$68.73$70.0015.1%4.3%15.0%44.9%19.8%3.5%1.5%-204.2K7.9M-89.0K0.5120.28N/AN/A176895,8285,206
2013-08-05$68.68$70.0014.6%4.8%15.0%41.3%15.2%4.3%1.3%-347.1K9.0M-83.9K0.0120.03N/AN/A2,339265,7655,258
2013-08-06$68.44$70.0015.8%4.9%14.0%49.2%17.3%4.4%0.9%-205.0K8.3M-87.4K0.2721.96N/AN/A120326,3405,263
2013-08-07$68.26$70.0016.1%5.1%14.0%51.0%17.3%5.1%0.8%-285.7K9.3M-84.7K1.2517.80N/AN/A48606,4265,290
2013-08-08$68.29$70.0015.6%5.0%10.5%47.6%17.4%4.8%1.1%-346.5K9.2M-84.9K0.5323.42N/AN/A19106,4235,314
2013-08-09$68.89$70.0014.1%4.8%11.1%38.3%18.7%4.8%1.4%60.8K6.2M-88.5K0.8126.63N/AN/A80656,4275,316
2013-08-12$68.40$70.0016.1%5.1%11.0%51.0%18.4%4.3%0.8%-367.1K9.0M-80.1K1.0618.15N/AN/A33356,4665,337
2013-08-13$67.46$70.0016.6%5.2%11.7%53.9%16.4%4.4%0.8%-1.3M13.9M-71.4K0.2116.26N/AN/A7431536,4735,358
2013-08-14$67.20$70.0015.8%5.1%11.4%49.0%17.8%4.7%1.0%-1.7M15.0M-67.7K1.0122.12N/AN/A1221236,3455,395
2013-08-15$65.97$70.0019.1%5.5%11.7%69.0%16.9%4.5%0.5%-1.0M21.5M-58.1K0.1017.06N/AN/A879866,3345,393
2013-08-16$64.35$70.0019.7%5.6%13.6%72.6%19.9%4.6%0.9%-203.6K24.8M-44.4K2.2211.92N/AN/A7531,6746,3485,305
2013-08-19$63.50$70.0020.7%5.9%13.5%79.0%19.3%4.7%0.2%-751.9K24.0M-48.1K1.2216.32N/AN/A2783405,8245,678
2013-08-20$64.94$70.0019.2%5.5%16.9%69.7%18.9%4.7%-0.3%-744.0K21.3M-58.9K1.3818.62N/AN/A2062856,0135,887
2013-08-21$64.79$70.0019.3%5.5%16.1%70.5%18.6%4.0%0.5%-755.6K21.7M-62.3K0.5014.85N/AN/A182916,1346,134
2013-08-22$65.18$70.0019.1%5.5%16.4%69.0%17.5%4.0%0.6%-757.2K21.3M-62.8K0.0917.85N/AN/A695656,2506,173
2013-08-23$65.86$69.0018.1%5.2%17.1%63.3%19.5%4.0%1.0%-361.5K17.2M-73.4K1.4429.22N/AN/A39566,9266,220
2013-08-26$65.67$69.0018.4%5.3%17.1%64.9%18.3%3.8%0.8%-411.8K18.3M-68.3K0.1120.93N/AN/A471546,9626,231
2013-08-27$65.35$68.0019.5%5.6%17.1%71.7%21.3%4.1%0.7%-320.4K18.6M-69.8K0.2921.18N/AN/A62187,4166,264
2013-08-28$64.95$68.0019.2%5.5%16.4%69.5%19.6%3.5%0.8%-376.9K20.0M-65.9K2.4220.09N/AN/A24587,4206,266
2013-08-29$65.05$68.0019.2%5.5%16.5%69.5%17.5%4.1%0.9%-422.8K20.4M-64.1K0.3824.25N/AN/A2497,4376,324
2013-08-30$64.50$68.0020.5%5.9%16.6%77.9%20.4%3.3%1.2%-459.5K21.7M-61.6K0.2120.67N/AN/A254547,4496,328