VNQ Options History — September 2013

In September 2013, VNQ traded between $63.81 and $69.28. ATM implied volatility averaged 17.1%, placing in the 56.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 1.5% (HV 20d: 18.6%). Max pain ranged from $67.00 to $68.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2013-09-03: Highest Volume — 1,489 contracts
  • 2013-09-30: Largest IV spike — 14.9% change
  • 2013-09-03: Highest IV Rank — 81.6%
  • 2013-09-03: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.48$63.81$69.28$63.94$66.14
Max Pain$67.15$67.00$68.00$68.00$67.00
ATM IV17.1%14.9%21.1%21.1%17.4%
Expected Move4.9%4.3%6.1%6.1%5.0%
HV 20d18.6%15.4%20.1%16.7%19.9%
HV 60d18.5%16.7%20.2%20.1%17.2%
IV Rank56.9%43.2%81.6%81.6%58.7%
IV Percentile81.2%67.5%98.4%98.4%82.5%
Term Structure1.1%0.0%2.2%0.4%0.0%
VWIV17.2%14.0%19.7%19.7%17.9%
Skew 25d3.3%0.9%4.4%2.7%3.3%
Skew 10d7.7%4.3%12.2%8.5%8.9%
Call IV 25d16.1%13.6%20.0%20.0%16.0%
Put IV 25d19.4%15.7%22.7%22.7%19.3%
Bid-Ask Spread %26.3814.3141.7835.2417.33
Gamma HHI0.150.110.260.170.14
Net GEX302.1K-542.5K1.2M-542.5K773.5K
Net DEX10.1M-4.4M24.3M24.1M5.3M
Net VEX-58.4K-63.1K-52.0K-54.6K-59.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.032.520.051.78
Total Volume383.6801,4891,489189
Total OI12,787.56,66415,53314,0688,451

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$63.94$68.0021.1%6.1%16.7%81.6%19.7%2.7%0.4%-542.5K24.1M-54.6K0.0535.24N/AN/A1,421687,6986,370
2013-09-04$64.49$68.0020.4%5.9%17.3%77.4%19.3%3.0%0.6%-317.4K21.4M-60.5K0.6514.31N/AN/A135888,2756,417
2013-09-05$63.81$68.0019.1%5.5%17.5%69.1%19.3%2.5%1.0%-460.3K24.3M-54.6K0.0315.03N/AN/A473168,3566,464
2013-09-06$64.80$67.0018.5%5.6%18.7%65.4%18.1%3.8%0.9%-280.5K20.5M-60.4K2.5231.54N/AN/A501268,3006,471
2013-09-09$66.15$67.0018.7%5.6%20.1%66.9%19.1%4.4%0.5%-32.0K15.7M-63.0K0.4222.31N/AN/A89378,3246,467
2013-09-10$66.10$67.0018.0%5.3%20.0%62.3%17.5%4.3%1.2%40.7K15.5M-63.1K1.7439.62N/AN/A54948,3886,484
2013-09-11$66.63$67.0015.8%4.8%19.7%48.6%17.4%4.4%1.7%216.8K13.4M-61.8K2.5241.65N/AN/A23588,4326,571
2013-09-12$66.20$67.0017.5%5.0%19.8%59.2%16.7%4.1%1.6%175.2K15.3M-58.7K0.2025.24N/AN/A96198,4406,565
2013-09-13$66.39$67.0017.3%5.0%18.7%58.2%16.6%3.5%1.5%233.1K14.7M-56.9K0.2331.24N/AN/A65158,4566,568
2013-09-16$67.05$67.0017.2%4.9%16.4%57.6%17.1%3.1%1.2%393.0K10.4M-57.4K0.9436.99N/AN/A1421348,5106,578
2013-09-17$67.01$67.0017.3%5.0%15.4%58.3%18.4%3.6%0.9%295.1K10.6M-56.8K1.5429.14N/AN/A52808,5306,658
2013-09-18$69.28$67.0016.0%4.6%17.6%50.0%17.9%3.7%1.3%382.9K-4.4M-60.3K0.5541.78N/AN/A4192298,5506,716
2013-09-19$69.22$67.0015.6%4.5%17.5%47.6%17.8%2.7%1.4%149.8K-4.0M-59.3K0.1626.72N/AN/A7901258,6906,696
2013-09-20$68.09$67.0015.0%4.3%18.8%44.4%15.5%0.9%2.2%1.2M760.7K-54.2K0.4520.33N/AN/A2251018,8506,683
2013-09-23$67.01$67.0016.1%4.6%19.6%50.7%16.5%2.8%1.3%591.8K3.2M-53.2K1.1622.81N/AN/A1651923,9162,748
2013-09-24$66.50$67.0016.0%4.6%19.8%49.9%14.6%3.3%0.5%529.7K5.1M-52.0K0.1321.83N/AN/A9461244,0452,922
2013-09-25$66.72$67.0014.9%4.3%19.7%43.2%14.8%3.6%1.2%845.3K3.6M-58.7K0.9624.18N/AN/A1211164,8413,043
2013-09-26$67.13$67.0015.0%4.3%19.6%44.2%14.0%3.1%0.9%926.8K2.3M-62.7K0.3115.30N/AN/A88274,9453,148
2013-09-27$66.85$67.0015.2%4.3%19.7%45.0%16.3%3.8%1.1%909.4K3.3M-61.3K0.1115.01N/AN/A431495,0123,172
2013-09-30$66.14$67.0017.4%5.0%19.9%58.7%17.9%3.3%0.0%773.5K5.3M-59.3K1.7817.33N/AN/A681215,2423,209