VNQ Options History — November 2013

In November 2013, VNQ traded between $65.50 and $69.62. ATM implied volatility averaged 14.4%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.9% (HV 20d: 13.5%). Max pain ranged from $68.00 to $71.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 3.28.

Notable Days

  • 2013-11-05: Highest Volume — 2,771 contracts
  • 2013-11-13: Largest IV drop — 14.9% change
  • 2013-11-29: Highest IV Rank — 52.2%
  • 2013-11-29: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.99$65.50$69.62$69.49$65.50
Max Pain$69.40$68.00$71.00$68.00$69.00
ATM IV14.4%12.5%16.3%13.0%16.3%
Expected Move4.3%3.7%4.7%3.7%4.7%
HV 20d13.5%11.5%16.3%15.5%12.3%
HV 60d17.2%16.5%18.4%18.2%16.6%
IV Rank40.1%28.5%52.2%31.6%52.2%
IV Percentile60.8%47.2%74.6%52.4%74.6%
Term Structure1.2%0.2%2.3%1.9%0.2%
VWIV14.2%12.4%15.6%13.0%14.1%
Skew 25d3.6%2.4%4.4%2.4%3.2%
Skew 10d7.8%5.5%11.5%7.9%6.3%
Call IV 25d13.4%11.7%14.8%11.7%14.8%
Put IV 25d17.0%14.2%18.4%14.2%17.9%
Bid-Ask Spread %16.4411.3729.0115.6713.99
Gamma HHI0.150.120.190.180.14
Net GEX386.0K-727.8K2.3M2.1M-727.8K
Net DEX13.7M-7.4M22.5M-7.0M22.3M
Net VEX-73.1K-84.4K-64.4K-77.8K-65.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.280.0224.280.920.11
Total Volume924.9992,771148788
Total OI13,877.9510,94615,41710,94614,654

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$69.49$68.0013.0%3.7%15.5%31.6%13.0%2.4%1.9%2.1M-7.0M-77.8K0.9215.67N/AN/A77717,4393,507
2013-11-04$69.62$70.0012.5%4.0%15.5%28.5%13.8%3.3%1.8%2.3M-7.4M-73.1K0.3329.01N/AN/A179597,4543,545
2013-11-05$68.48$70.0013.7%4.4%16.2%36.0%15.5%4.0%1.4%2.0M-853.2K-68.0K3.2319.79N/AN/A6552,1167,6183,598
2013-11-06$68.38$71.0014.0%4.4%16.3%37.9%13.5%3.7%1.3%1.2M6.9M-77.3K0.1623.42N/AN/A329527,3555,670
2013-11-07$67.53$71.0013.3%4.3%14.6%33.5%14.2%3.9%1.5%809.9K12.5M-68.6K0.2418.42N/AN/A6691607,6235,711
2013-11-08$66.62$71.0013.7%4.5%14.9%35.9%15.0%3.8%1.3%188.7K16.4M-64.4K0.5115.77N/AN/A1,7669057,8265,796
2013-11-11$66.69$70.0014.2%4.4%14.9%39.4%13.8%3.6%1.3%338.3K17.5M-75.7K1.7717.23N/AN/A7751,3718,2776,508
2013-11-12$66.39$69.0016.3%4.6%15.0%52.0%13.6%4.4%1.2%281.1K18.1M-76.4K10.1112.62N/AN/A1121,1328,9026,412
2013-11-13$66.82$69.0013.9%4.4%13.4%37.2%14.8%4.0%1.8%329.7K15.1M-81.8K24.2815.46N/AN/A471,1418,9336,484
2013-11-14$67.29$69.0015.0%4.3%12.3%44.2%15.6%3.7%1.8%590.5K12.0M-84.4K1.0118.60N/AN/A991008,7656,567
2013-11-15$67.54$69.0014.1%4.0%12.5%38.5%14.1%4.0%2.3%697.3K11.0M-83.3K9.3016.34N/AN/A1121,0428,7666,568
2013-11-18$67.12$69.0014.3%4.1%12.5%39.6%13.7%4.0%1.0%-160.8K15.3M-78.4K1.2813.84N/AN/A3254177,0326,722
2013-11-19$66.65$69.0013.7%3.9%12.0%36.3%14.1%3.9%0.9%-93.8K17.9M-72.8K0.6413.98N/AN/A2271457,3036,607
2013-11-20$65.84$69.0014.6%4.2%12.3%41.8%14.2%3.7%1.1%-381.0K21.4M-68.7K0.8915.86N/AN/A1711527,4316,645
2013-11-21$66.35$69.0014.9%4.3%12.9%43.3%15.0%3.5%0.6%-132.0K18.8M-74.1K0.7814.73N/AN/A59467,5586,774
2013-11-22$66.09$69.0014.6%4.2%11.6%41.7%12.4%3.4%0.6%-298.7K20.4M-70.0K0.0213.95N/AN/A1,560307,5976,768
2013-11-25$65.78$69.0015.0%4.3%11.5%44.3%15.4%3.1%0.5%-451.9K21.4M-68.3K1.6114.50N/AN/A38617,5136,786
2013-11-26$65.55$69.0015.0%4.3%11.5%44.1%14.6%3.0%0.6%-574.1K22.5M-65.9K0.3811.37N/AN/A186717,5266,831
2013-11-27$66.11$69.0014.9%4.3%12.1%43.7%13.6%3.1%0.6%-366.3K20.5M-66.8K8.0814.27N/AN/A1381,1157,6146,874
2013-11-29$65.50$69.0016.3%4.7%12.3%52.2%14.1%3.2%0.2%-727.8K22.3M-65.3K0.1113.99N/AN/A708807,6956,959