VNQ Options History — December 2013

In December 2013, VNQ traded between $64.20 and $66.25. ATM implied volatility averaged 14.8%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.0% (HV 20d: 12.8%). Max pain ranged from $66.00 to $69.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.82.

Notable Days

  • 2013-12-12: Highest Volume — 3,687 contracts
  • 2013-12-18: Largest IV drop — 20.3% change
  • 2013-12-11: Highest IV Rank — 62.0%
  • 2013-12-05: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.13$64.20$66.25$65.12$64.56
Max Pain$67.05$66.00$69.00$69.00$66.00
ATM IV14.8%11.4%17.9%16.4%11.5%
Expected Move4.2%3.3%4.9%4.7%3.3%
HV 20d12.8%10.1%14.9%11.9%14.1%
HV 60d15.1%14.2%16.4%16.4%14.2%
IV Rank42.5%21.9%62.0%52.7%22.8%
IV Percentile59.8%36.9%84.9%74.6%37.7%
Term Structure1.2%-0.8%2.5%-0.2%1.9%
VWIV14.9%10.2%19.4%19.1%11.3%
Skew 25d3.4%0.8%4.7%2.8%2.9%
Skew 10d7.3%1.6%12.0%5.5%4.8%
Call IV 25d13.6%10.8%15.8%15.3%10.9%
Put IV 25d17.0%13.0%19.7%18.1%13.8%
Bid-Ask Spread %20.8013.1928.4513.2815.89
Gamma HHI0.240.150.340.160.23
Net GEX-413.5K-1.5M615.2K-947.2K188.8K
Net DEX21.8M7.9M35.6M24.2M12.0M
Net VEX-58.2K-68.6K-47.8K-61.2K-57.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.168.552.730.78
Total Volume628.333663,687388987
Total OI14,337.197,18718,67914,9048,588

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$65.12$69.0016.4%4.7%11.9%52.7%19.1%2.8%-0.2%-947.2K24.2M-61.2K2.7313.28N/AN/A1042847,8777,027
2013-12-03$64.99$69.0016.7%4.8%11.8%54.4%17.2%3.1%-0.8%-1.0M25.0M-61.4K0.3116.47N/AN/A189597,9167,100
2013-12-04$65.23$69.0017.0%4.9%11.0%56.5%17.3%3.2%-0.6%-904.4K23.6M-62.0K1.2017.42N/AN/A961157,9477,123
2013-12-05$65.46$69.0017.1%4.9%11.2%57.1%16.0%3.2%-0.2%-874.2K23.3M-63.3K0.1613.19N/AN/A1,0911788,0217,210
2013-12-06$65.93$68.0014.7%4.5%10.9%42.3%15.9%4.4%1.3%-84.3K19.6M-68.6K3.0825.76N/AN/A611888,9377,302
2013-12-09$66.25$68.0015.5%4.5%10.1%47.3%14.1%4.3%1.2%189.8K17.4M-66.7K0.9724.80N/AN/A68668,9637,337
2013-12-10$66.08$68.0014.9%4.4%10.1%43.7%15.5%3.9%1.8%-15.5K19.1M-63.4K3.4024.24N/AN/A15519,0257,372
2013-12-11$64.56$68.0017.9%4.6%12.9%62.0%16.3%3.4%1.7%-992.4K27.5M-54.9K8.5519.45N/AN/A1401,1979,0287,379
2013-12-12$64.20$68.0016.6%4.8%12.6%54.0%14.9%4.0%1.5%-1.4M30.8M-53.3K0.4420.43N/AN/A2,5641,1239,0727,738
2013-12-13$64.36$66.0016.9%4.8%12.3%55.7%19.4%4.7%0.6%-1.2M35.6M-58.1K0.6121.66N/AN/A105649,4548,802
2013-12-16$64.58$66.0016.7%4.8%12.3%54.6%16.8%4.4%0.8%-1.2M34.5M-56.5K0.5723.75N/AN/A104599,4758,846
2013-12-17$64.88$66.0017.1%4.9%12.4%56.8%16.9%3.9%0.7%-1.0M32.1M-58.9K0.6121.39N/AN/A1781099,5688,893
2013-12-18$66.03$66.0013.6%3.9%14.0%35.6%15.6%4.2%2.3%-201.2K25.8M-55.5K0.9428.45N/AN/A4404149,7038,976
2013-12-19$65.12$66.0014.2%4.1%14.2%39.0%14.3%3.5%2.2%-1.5M32.8M-51.4K1.0422.46N/AN/A1581659,5179,008
2013-12-20$65.52$66.0012.9%3.7%14.1%31.2%13.6%3.6%2.5%-437.9K29.7M-51.8K3.7622.46N/AN/A1355079,6458,949
2013-12-23$65.65$66.0011.4%3.3%14.1%21.9%10.2%0.8%1.3%546.5K7.9M-47.8K0.2723.92N/AN/A7982133,5703,617
2013-12-24$64.70$66.0012.6%3.6%14.9%29.4%12.3%2.7%1.5%477.8K9.1M-58.0K0.9816.99N/AN/A1541513,9803,769
2013-12-26$64.75$66.0012.4%3.6%14.9%28.2%12.3%2.7%1.5%531.6K9.1M-58.1K1.0421.64N/AN/A1561634,0793,836
2013-12-27$64.89$66.0011.7%3.3%14.5%23.5%11.7%3.2%1.9%579.5K9.6M-57.9K0.6222.55N/AN/A116724,2253,946
2013-12-30$64.91$66.0011.8%3.4%14.2%24.5%11.8%2.8%1.7%615.2K9.4M-57.4K6.1620.54N/AN/A503084,2554,006
2013-12-31$64.56$66.0011.5%3.3%14.1%22.8%11.3%2.9%1.9%188.8K12.0M-57.0K0.7815.89N/AN/A5554324,2954,293