VNQ Options History — May 2014

In May 2014, VNQ traded between $73.12 and $74.69. ATM implied volatility averaged 10.5%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 2.3% (HV 20d: 8.2%). Max pain ranged from $70.00 to $71.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2014-05-08: Highest Volume — 1,569 contracts
  • 2014-05-12: Largest IV spike — 11.7% change
  • 2014-05-22: Highest IV Rank — 24.4%
  • 2014-05-22: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.00$73.12$74.69$73.25$74.69
Max Pain$70.24$70.00$71.00$71.00$71.00
ATM IV10.5%9.3%12.0%9.7%10.4%
Expected Move3.0%2.8%3.4%2.8%3.0%
HV 20d8.2%7.3%9.4%8.7%8.5%
HV 60d9.8%9.6%10.2%9.7%9.8%
IV Rank15.0%7.5%24.4%9.9%14.2%
IV Percentile11.3%1.2%29.8%2.0%6.7%
Term Structure0.7%-0.2%1.4%0.6%0.3%
VWIV10.8%8.6%14.0%8.9%11.4%
Skew 25d3.3%2.6%3.9%3.2%3.2%
Skew 10d8.5%5.9%11.8%6.9%9.7%
Call IV 25d9.3%8.1%10.1%8.2%9.4%
Put IV 25d12.6%10.7%13.6%11.4%12.6%
Bid-Ask Spread %60.3449.0189.1989.1972.84
Gamma HHI0.270.210.370.370.24
Net GEX3.1M2.7M3.7M3.0M3.0M
Net DEX-23.1M-30.6M-16.2M-20.0M-22.8M
Net VEX-79.1K-82.6K-73.4K-76.4K-79.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.067.590.230.64
Total Volume340.381701,569205289
Total OI10,905.1439,75611,7489,75611,748

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$73.25$71.009.7%2.8%8.7%9.9%8.9%3.2%0.6%3.0M-20.0M-76.4K0.2389.19N/AN/A167386,4023,354
2014-05-02$73.23$71.009.6%2.8%8.7%9.4%8.6%2.6%0.9%3.3M-19.6M-77.9K1.5587.38N/AN/A981526,5313,363
2014-05-05$73.38$70.0010.5%3.0%8.6%15.0%11.1%3.2%1.3%3.2M-21.1M-75.4K0.5349.01N/AN/A55296,5943,460
2014-05-06$73.12$70.0010.3%3.1%8.8%13.8%10.7%3.0%1.3%3.4M-19.2M-74.5K0.3257.25N/AN/A62206,6143,469
2014-05-07$74.00$70.009.7%2.9%9.4%10.0%10.2%3.1%1.2%2.9M-24.7M-73.4K0.0759.13N/AN/A597406,6393,489
2014-05-08$74.17$70.009.3%2.9%9.3%7.5%9.0%3.3%1.4%3.3M-28.3M-77.5K0.0656.90N/AN/A1,487827,1623,516
2014-05-09$74.22$70.009.8%2.8%8.3%10.7%9.9%2.6%1.4%3.7M-29.0M-78.4K1.1152.75N/AN/A1862067,5163,580
2014-05-12$74.45$70.0011.0%3.1%7.7%17.8%10.7%3.5%0.7%3.2M-29.8M-81.9K0.7852.82N/AN/A1431127,6193,711
2014-05-13$73.97$70.0010.8%3.0%8.3%16.8%10.9%2.9%1.0%3.7M-27.4M-82.0K0.2861.99N/AN/A3721057,6753,786
2014-05-14$74.00$70.0010.2%3.0%7.5%13.3%10.9%3.5%1.0%3.5M-27.4M-81.6K1.0449.67N/AN/A79827,7553,878
2014-05-15$73.96$70.0011.0%3.2%7.3%18.0%11.7%3.4%0.7%2.8M-26.5M-81.0K1.1854.27N/AN/A1201417,7103,867
2014-05-16$74.64$70.009.9%2.8%7.3%11.3%10.4%3.5%1.2%3.1M-30.6M-78.1K0.0652.56N/AN/A231157,6983,964
2014-05-19$74.34$70.0010.6%3.0%7.5%15.4%9.7%3.5%0.6%2.9M-21.2M-77.4K0.1459.89N/AN/A421596,6343,511
2014-05-20$74.11$70.0010.8%3.1%7.6%17.0%10.8%3.0%0.6%3.1M-20.4M-80.9K1.3259.98N/AN/A56746,9263,564
2014-05-21$73.62$70.0010.8%3.1%7.9%16.7%14.0%3.7%0.3%2.9M-17.4M-79.8K1.0652.34N/AN/A2222356,9593,612
2014-05-22$73.49$70.0012.0%3.4%7.9%24.4%12.2%3.4%0.0%2.7M-16.2M-80.6K4.7952.34N/AN/A633027,0163,824
2014-05-23$74.14$70.0010.9%3.1%8.2%17.5%11.7%3.4%0.5%2.9M-20.1M-82.6K7.5952.08N/AN/A292207,0614,094
2014-05-27$74.67$70.0010.7%3.1%8.1%15.9%10.4%3.9%0.3%2.7M-23.2M-80.9K1.6659.47N/AN/A1121867,0864,312
2014-05-28$74.20$71.0011.5%3.3%8.6%21.1%12.6%3.5%-0.2%3.0M-19.0M-82.0K2.3565.32N/AN/A571347,1204,497
2014-05-29$74.35$71.0011.3%3.2%8.5%19.9%11.5%3.2%0.2%3.0M-20.4M-79.3K0.4670.00N/AN/A48227,1314,561
2014-05-30$74.69$71.0010.4%3.0%8.5%14.2%11.4%3.2%0.3%3.0M-22.8M-79.5K0.6472.84N/AN/A1761137,1684,580