VNQ Options History — January 2014

In January 2014, VNQ traded between $64.57 and $67.32. ATM implied volatility averaged 12.0%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 0.2% (HV 20d: 12.1%). Max pain ranged from $66.00 to $67.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.16.

Notable Days

  • 2014-01-08: Highest Volume — 2,484 contracts
  • 2014-01-24: Largest IV spike — 25.9% change
  • 2014-01-24: Highest IV Rank — 37.1%
  • 2014-01-24: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.12$64.57$67.32$64.57$67.32
Max Pain$66.90$66.00$67.00$66.00$67.00
ATM IV12.0%9.8%13.9%12.6%13.0%
Expected Move3.5%3.1%4.0%3.6%3.7%
HV 20d12.1%9.9%14.3%14.1%11.9%
HV 60d12.9%12.3%14.2%14.2%13.0%
IV Rank25.4%11.9%37.1%29.4%31.1%
IV Percentile37.1%21.0%50.0%40.9%43.7%
Term Structure0.9%0.0%1.4%0.7%1.3%
VWIV12.7%11.1%15.0%12.0%13.1%
Skew 25d3.2%2.7%3.8%3.1%3.2%
Skew 10d8.2%5.4%10.5%9.5%9.7%
Call IV 25d11.1%9.6%12.2%12.0%11.5%
Put IV 25d14.3%12.5%16.0%15.1%14.7%
Bid-Ask Spread %20.8613.7928.1717.2824.41
Gamma HHI0.270.200.340.260.25
Net GEX619.6K-548.9K2.4M139.4K-53.9K
Net DEX6.8M-1.7M16.0M13.0M1.9M
Net VEX-87.7K-100.5K-58.7K-58.7K-100.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.129.142.190.80
Total Volume635.571892,484532243
Total OI12,924.7149,33016,3929,33013,235

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$64.57$66.0012.6%3.6%14.1%29.4%12.0%3.1%0.7%139.4K13.0M-58.7K2.1917.28N/AN/A1673654,7574,573
2014-01-03$64.93$66.0012.1%3.5%14.2%26.3%12.3%3.0%1.0%363.1K11.9M-62.4K0.1215.95N/AN/A8721074,8074,893
2014-01-06$65.26$67.0012.2%3.8%14.3%27.1%13.9%3.1%1.2%983.9K8.7M-68.3K0.8428.17N/AN/A1901595,6134,942
2014-01-07$65.55$67.0011.0%3.6%14.1%19.7%11.8%3.3%1.2%1.2M6.9M-70.2K0.3324.85N/AN/A244805,7225,065
2014-01-08$65.23$67.0012.6%3.8%14.1%29.2%12.9%3.2%1.3%985.6K9.6M-68.3K4.6218.97N/AN/A4422,0425,9245,127
2014-01-09$65.23$67.0012.0%3.7%14.1%25.6%11.7%3.3%1.0%181.4K16.0M-83.2K0.6419.54N/AN/A6123926,3337,156
2014-01-10$66.12$67.0010.5%3.4%12.2%16.5%12.9%3.1%0.7%1.5M6.8M-89.8K4.0920.90N/AN/A2831,1586,9147,206
2014-01-13$65.68$67.0011.9%3.5%12.3%25.2%12.2%3.0%0.7%538.3K13.7M-94.5K0.1621.47N/AN/A7781257,1558,287
2014-01-14$66.16$67.0011.5%3.4%12.4%22.9%12.7%3.4%0.9%2.0M5.5M-100.1K5.2021.39N/AN/A542817,7878,357
2014-01-15$66.66$67.009.8%3.2%12.6%11.9%13.0%3.1%1.2%2.1M-26.5K-96.2K0.3220.96N/AN/A143467,6168,498
2014-01-16$66.78$67.0011.1%3.2%12.6%20.2%11.1%2.9%1.2%1.5M-1.7M-96.0K0.1723.54N/AN/A9251617,7108,539
2014-01-17$66.39$67.0011.4%3.3%11.3%22.2%12.1%2.9%1.4%2.4M2.6M-97.2K0.6523.39N/AN/A54357,8428,550
2014-01-21$66.99$67.0011.1%3.2%10.3%19.9%12.2%3.1%1.0%251.2K766.3K-91.7K3.1323.76N/AN/A471475,5535,952
2014-01-22$67.28$67.0010.8%3.1%10.2%18.3%15.0%2.9%1.2%329.7K-1.5M-92.9K8.2418.22N/AN/A1401,1545,5906,081
2014-01-23$67.12$67.0011.0%3.2%10.3%19.7%11.2%2.7%1.3%209.0K241.8K-92.8K1.0113.79N/AN/A1011025,6576,104
2014-01-24$66.28$67.0013.9%4.0%9.9%37.1%13.8%3.1%0.0%-69.9K5.7M-94.0K9.1419.45N/AN/A1059605,7476,191
2014-01-27$65.77$67.0013.3%3.8%10.4%33.1%13.8%3.7%0.4%-529.7K13.2M-94.4K0.8621.92N/AN/A73635,7787,059
2014-01-28$66.32$67.0013.3%3.8%10.8%32.8%13.3%3.7%0.6%-346.4K10.3M-96.6K1.2920.24N/AN/A921195,8097,107
2014-01-29$65.96$67.0013.7%3.9%11.0%35.4%14.1%3.8%0.5%-548.9K13.5M-95.4K0.7019.17N/AN/A70495,8357,216
2014-01-30$66.96$67.0012.7%3.6%11.8%29.2%12.6%3.5%0.9%-156.6K4.9M-99.0K0.9020.58N/AN/A88795,8987,234
2014-01-31$67.32$67.0013.0%3.7%11.9%31.1%13.1%3.2%1.3%-53.9K1.9M-100.5K0.8024.41N/AN/A1351085,9537,282