VNQ Options History — October 2013

In October 2013, VNQ traded between $65.48 and $71.05. ATM implied volatility averaged 15.5%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 3.0% (HV 20d: 18.5%). Max pain ranged from $64.00 to $68.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.65.

Notable Days

  • 2013-10-25: Highest Volume — 2,888 contracts
  • 2013-10-16: Largest IV drop — 14.4% change
  • 2013-10-09: Highest IV Rank — 79.8%
  • 2013-10-08: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.39$65.48$71.05$67.10$69.13
Max Pain$66.22$64.00$68.00$67.00$68.00
ATM IV15.5%12.3%20.8%16.8%13.4%
Expected Move4.5%3.5%5.9%4.8%3.8%
HV 20d18.5%15.5%21.1%20.0%15.5%
HV 60d17.7%16.8%18.2%17.5%18.2%
IV Rank47.1%27.8%79.8%54.9%34.2%
IV Percentile68.2%46.4%97.6%79.8%55.2%
Term Structure1.0%-0.5%2.3%0.7%1.5%
VWIV15.5%10.0%20.6%15.7%10.0%
Skew 25d3.5%2.2%5.3%2.4%2.2%
Skew 10d8.7%5.2%15.2%6.5%6.9%
Call IV 25d14.1%11.3%18.3%15.8%12.8%
Put IV 25d17.7%14.0%23.5%18.2%15.1%
Bid-Ask Spread %19.0413.1025.9820.3416.69
Gamma HHI0.180.130.240.140.18
Net GEX1.6M785.1K3.0M974.5K1.9M
Net DEX-4.8M-19.4M7.0M2.2M-5.0M
Net VEX-66.0K-72.8K-58.2K-63.9K-68.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.012.730.020.18
Total Volume439.696162,8886021,840
Total OI9,572.8268,10310,6308,55110,269

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$67.10$67.0016.8%4.8%20.0%54.9%15.7%2.4%0.7%974.5K2.2M-63.9K0.0220.34N/AN/A59395,2223,329
2013-10-02$67.20$67.0016.8%4.8%19.9%55.1%17.0%3.3%0.5%1.3M1.2M-66.2K2.4620.11N/AN/A521285,7803,332
2013-10-03$66.03$67.0018.6%5.3%20.6%65.9%15.9%3.9%0.0%873.0K6.0M-59.7K0.0419.64N/AN/A513205,8183,441
2013-10-04$65.90$67.0017.8%5.3%20.0%61.0%18.8%4.4%0.2%785.1K6.6M-58.2K0.7720.25N/AN/A69535,6203,452
2013-10-07$66.20$65.0019.3%5.5%18.7%70.1%19.9%4.5%0.1%907.2K5.3M-59.1K0.0521.15N/AN/A840395,6853,500
2013-10-08$65.48$65.0020.8%5.9%19.1%79.3%18.0%5.1%-0.0%820.7K7.0M-60.6K0.2317.48N/AN/A149356,4833,539
2013-10-09$65.49$65.0020.8%5.9%18.8%79.8%20.6%5.3%-0.5%823.1K6.5M-62.1K0.5414.69N/AN/A39216,5113,543
2013-10-10$67.16$65.0018.1%5.2%20.8%63.3%18.0%4.8%0.2%1.7M461.8K-69.3K0.1216.54N/AN/A334416,5313,559
2013-10-11$67.83$65.0016.7%4.8%21.1%54.5%17.7%4.5%1.1%2.3M-4.2M-72.3K1.0624.13N/AN/A31336,8303,553
2013-10-14$67.87$65.0016.8%4.8%20.8%55.3%18.6%4.8%0.7%2.6M-4.4M-68.8K0.7423.78N/AN/A34256,8603,546
2013-10-15$67.62$65.0016.9%4.8%20.9%55.7%17.6%5.1%0.4%2.4M-3.1M-66.9K0.1525.98N/AN/A132206,8833,564
2013-10-16$68.89$64.0014.5%4.2%18.3%40.8%15.2%4.6%1.0%3.0M-12.1M-67.4K0.2123.20N/AN/A245516,9953,571
2013-10-17$69.93$64.0013.3%3.8%19.1%33.4%13.8%3.2%1.7%1.7M-19.4M-66.9K0.4120.17N/AN/A161667,0673,483
2013-10-18$69.86$65.0013.0%3.7%18.0%31.6%13.4%2.8%1.5%1.6M-19.2M-67.3K0.1218.06N/AN/A146187,1213,509
2013-10-21$69.44$65.0012.9%3.7%17.1%31.0%12.8%3.1%2.3%1.5M-6.6M-62.1K0.8617.33N/AN/A69595,3962,707
2013-10-22$70.08$66.0012.6%3.6%16.9%29.5%13.2%2.6%1.9%1.4M-9.3M-64.7K1.5417.60N/AN/A1532365,4282,760
2013-10-23$70.21$68.0013.0%3.7%16.9%31.9%13.5%2.2%1.7%1.4M-9.5M-66.8K0.3716.91N/AN/A177665,5162,932
2013-10-24$70.19$68.0012.9%3.7%16.8%31.4%13.9%2.4%1.6%1.4M-9.9M-67.0K0.4519.27N/AN/A1155,5982,992
2013-10-25$71.05$68.0012.3%3.5%17.0%27.8%12.6%2.7%1.7%1.3M-13.0M-66.7K0.0113.10N/AN/A2,861275,6022,997
2013-10-28$70.54$68.0012.6%3.6%16.7%29.6%12.7%2.4%1.5%2.1M-12.4M-71.7K0.9816.89N/AN/A47466,6763,001
2013-10-29$70.13$68.0013.2%3.8%16.4%33.2%13.9%2.4%1.6%2.1M-10.2M-69.6K0.8115.75N/AN/A2972406,7123,034
2013-10-30$69.54$68.0013.3%3.8%16.9%33.8%13.2%2.6%1.4%2.1M-7.4M-72.8K2.7318.80N/AN/A22606,9983,230
2013-10-31$69.13$68.0013.4%3.8%15.5%34.2%10.0%2.2%1.5%1.9M-5.0M-68.6K0.1816.69N/AN/A1,5562847,0023,267