VNQ Options History — March 2014

In March 2014, VNQ traded between $69.17 and $71.79. ATM implied volatility averaged 11.7%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 1.4% (HV 20d: 10.3%). Max pain ranged from $69.00 to $71.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2014-03-04: Highest Volume — 2,310 contracts
  • 2014-03-20: Largest IV drop — 39.1% change
  • 2014-03-14: Highest IV Rank — 33.3%
  • 2014-03-14: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.35$69.17$71.79$70.77$70.62
Max Pain$70.62$69.00$71.00$69.00$71.00
ATM IV11.7%8.1%13.5%12.6%10.8%
Expected Move3.3%2.3%3.9%3.6%3.1%
HV 20d10.3%7.1%13.1%9.4%13.1%
HV 60d11.7%11.1%12.6%11.9%11.5%
IV Rank22.3%0.0%33.3%27.7%16.8%
IV Percentile28.3%0.0%46.0%36.5%13.9%
Term Structure1.0%-0.9%2.5%-0.9%1.0%
VWIV11.9%9.7%14.1%13.5%10.3%
Skew 25d3.7%2.5%4.7%3.7%2.7%
Skew 10d7.3%-0.1%10.1%6.1%8.6%
Call IV 25d10.6%9.0%11.8%11.2%10.0%
Put IV 25d14.3%12.7%16.5%14.9%12.7%
Bid-Ask Spread %45.1722.5083.7925.3280.37
Gamma HHI0.270.200.380.290.38
Net GEX1.9M-24.5K2.8M2.3M2.8M
Net DEX-11.7M-28.7M2.9M-19.9M-5.7M
Net VEX-95.3K-115.9K-76.9K-105.0K-85.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.1218.351.040.13
Total Volume397.952502,310231102
Total OI14,221.3819,57616,50314,62810,509

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$70.77$69.0012.6%3.6%9.4%27.7%13.5%3.7%-0.9%2.3M-19.9M-105.0K1.0425.32N/AN/A1131188,7965,832
2014-03-04$71.79$69.0010.9%3.1%7.5%17.2%9.7%3.2%-0.4%2.2M-28.7M-100.9K0.1224.53N/AN/A2,0562548,8555,898
2014-03-05$71.70$69.0010.8%3.1%7.1%16.8%10.8%2.9%0.4%2.5M-27.2M-115.8K0.3624.22N/AN/A129479,7196,084
2014-03-06$71.10$69.0011.7%3.4%8.0%22.2%12.8%3.3%-0.1%2.5M-23.8M-115.9K3.4527.49N/AN/A291009,8116,117
2014-03-07$70.33$71.0012.6%3.5%9.2%27.5%11.2%4.3%1.5%2.3M-15.2M-112.9K0.6827.99N/AN/A114779,8326,125
2014-03-10$69.96$71.0013.0%3.5%9.4%30.5%14.1%4.1%1.6%2.2M-11.3M-107.3K0.5728.12N/AN/A114659,8586,144
2014-03-11$70.40$71.0012.7%3.6%9.1%28.5%13.3%4.0%1.2%2.4M-15.7M-106.0K1.5526.94N/AN/A22349,8616,195
2014-03-12$70.61$71.0010.7%3.2%9.1%16.0%12.8%4.4%1.6%2.5M-16.2M-105.3K1.0827.56N/AN/A24269,7396,214
2014-03-13$70.28$71.0012.8%3.7%9.3%29.1%12.3%4.0%1.0%2.3M-13.9M-103.7K0.9624.66N/AN/A74719,7476,239
2014-03-14$70.46$71.0013.5%3.9%9.3%33.3%12.5%4.3%0.5%2.3M-16.4M-103.6K0.4328.33N/AN/A79349,7546,285
2014-03-17$70.61$71.0012.6%3.6%9.2%27.6%12.8%4.7%1.0%2.2M-18.6M-96.8K18.3522.50N/AN/A571,0469,7926,304
2014-03-18$70.82$71.0011.1%3.2%9.1%18.5%11.6%4.4%1.8%2.2M-22.2M-92.3K1.1269.01N/AN/A78879,7466,580
2014-03-19$69.48$71.0013.3%3.8%11.5%32.1%13.0%4.3%0.8%837.4K-2.9M-86.8K0.6278.47N/AN/A107669,6416,589
2014-03-20$69.60$71.008.1%2.3%11.5%0.0%12.0%4.3%2.5%-24.5K-1.7M-78.1K2.4526.52N/AN/A1914689,5316,567
2014-03-21$70.24$71.0011.1%3.2%12.0%18.9%11.4%3.6%1.7%437.7K-12.8M-85.4K1.1525.42N/AN/A1241429,5426,961
2014-03-24$69.78$71.0011.2%3.2%12.2%19.1%10.1%2.6%1.2%1.5M784.6K-76.9K0.8753.21N/AN/A4283745,8953,681
2014-03-25$69.96$71.0011.3%3.2%12.1%19.8%11.2%4.2%1.0%2.0M482.9K-82.5K0.2383.32N/AN/A224515,9213,912
2014-03-26$69.17$71.0011.5%3.3%12.7%21.1%10.4%2.5%1.6%1.5M2.9M-78.5K2.1383.79N/AN/A561196,0933,949
2014-03-27$69.61$71.0011.1%3.2%13.0%18.7%12.1%3.1%1.0%1.8M2.5M-80.7K1.5278.81N/AN/A48736,1154,012
2014-03-28$70.03$71.0012.4%3.5%12.7%26.6%12.8%3.3%-0.1%2.0M-513.8K-82.6K1.5182.07N/AN/A3735636,1404,064
2014-03-31$70.62$71.0010.8%3.1%13.1%16.8%10.3%2.7%1.0%2.8M-5.7M-85.4K0.1380.37N/AN/A90126,4764,033