VNQ Options History — June 2014

In June 2014, VNQ traded between $74.03 and $76.41. ATM implied volatility averaged 10.0%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 0.4% (HV 20d: 10.5%). Max pain ranged from $71.00 to $77.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.92.

Notable Days

  • 2014-06-20: Highest Volume — 2,575 contracts
  • 2014-06-09: Largest IV spike — 17.8% change
  • 2014-06-11: Highest IV Rank — 26.5%
  • 2014-06-12: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.90$74.03$76.41$74.92$74.84
Max Pain$74.86$71.00$77.00$71.00$75.00
ATM IV10.0%8.1%12.3%10.2%8.4%
Expected Move2.9%2.3%3.3%2.9%2.4%
HV 20d10.5%8.4%11.3%8.5%10.9%
HV 60d9.6%9.2%10.4%9.7%9.3%
IV Rank12.4%0.0%26.5%13.3%2.3%
IV Percentile11.6%0.0%36.1%5.6%1.2%
Term Structure1.1%-0.2%2.8%0.3%1.5%
VWIV10.2%7.8%12.3%11.8%8.6%
Skew 25d3.1%0.9%4.4%3.2%2.4%
Skew 10d7.7%3.1%11.1%8.8%6.0%
Call IV 25d8.9%7.2%10.3%9.6%7.6%
Put IV 25d12.0%8.9%13.6%12.8%10.0%
Bid-Ask Spread %77.0644.9293.9476.9363.39
Gamma HHI0.360.250.630.250.47
Net GEX2.7M1.4M4.1M3.0M1.9M
Net DEX-16.1M-34.9M2.1M-25.0M-1.2M
Net VEX-78.8K-98.2K-67.7K-77.5K-95.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.0721.960.280.95
Total Volume722.3811072,575242251
Total OI12,039.9058,35315,74111,9129,412

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$74.92$71.0010.2%2.9%8.5%13.3%11.8%3.2%0.3%3.0M-25.0M-77.5K0.2876.93N/AN/A189537,2564,656
2014-06-03$74.88$71.0010.5%3.0%8.6%14.8%10.7%3.9%0.7%3.1M-24.2M-79.1K1.2175.00N/AN/A63767,3194,690
2014-06-04$75.03$71.0010.6%3.0%8.4%15.8%10.6%3.3%-0.2%3.1M-25.2M-78.7K0.6378.93N/AN/A1631037,3524,750
2014-06-05$76.41$71.009.7%2.8%9.6%10.2%8.9%4.0%0.2%2.2M-34.9M-69.7K0.2577.93N/AN/A4471137,4044,839
2014-06-06$76.09$77.009.5%2.9%9.9%8.7%10.2%3.2%0.6%2.5M-33.5M-68.6K0.0973.99N/AN/A1,1071007,4204,889
2014-06-09$75.17$77.0011.2%3.1%11.0%19.3%12.3%3.6%0.7%3.2M-26.4M-72.2K21.9675.03N/AN/A571,2527,4664,964
2014-06-10$74.61$77.0010.7%3.1%11.3%16.5%11.7%3.4%1.4%3.1M-18.6M-71.5K2.4380.04N/AN/A1192897,4605,566
2014-06-11$74.41$77.0012.3%3.2%11.1%26.5%11.1%3.3%1.2%3.1M-15.9M-71.6K3.7480.26N/AN/A1505617,4795,780
2014-06-12$74.22$77.0011.6%3.3%11.1%21.6%11.6%3.5%1.0%3.1M-13.9M-72.7K0.9980.55N/AN/A82817,5485,892
2014-06-13$74.41$76.0011.5%3.3%11.1%21.2%10.3%3.1%0.9%3.2M-15.6M-72.7K0.6181.53N/AN/A2791707,5515,921
2014-06-16$74.03$76.0011.3%3.2%10.8%19.8%11.7%3.1%1.0%3.6M-11.9M-67.7K2.5882.54N/AN/A952457,6166,049
2014-06-17$74.22$76.0011.4%3.3%10.7%20.7%10.2%3.8%1.0%3.7M-13.6M-68.9K0.5880.46N/AN/A1,2167067,6456,277
2014-06-18$74.74$75.009.9%2.8%11.0%11.0%10.8%3.5%1.9%4.1M-22.5M-78.6K0.4287.35N/AN/A3471478,7886,953
2014-06-19$75.36$75.009.6%2.7%11.0%9.3%9.6%2.4%1.7%3.1M-24.7M-77.5K0.1093.94N/AN/A495518,3696,982
2014-06-20$75.62$75.008.3%2.4%10.9%1.0%9.1%4.4%2.8%2.0M-22.2M-79.2K0.0790.32N/AN/A2,4141617,5336,848
2014-06-23$75.31$75.008.1%2.3%10.7%0.0%7.8%0.9%1.8%3.2M-10.6M-79.9K0.6192.66N/AN/A1,4268655,0923,261
2014-06-24$74.67$75.008.9%2.6%10.9%5.2%9.5%1.8%1.4%1.4M-666.6K-88.1K2.0244.92N/AN/A2084214,5533,876
2014-06-25$74.52$75.008.7%2.5%10.7%4.8%9.2%1.9%1.5%1.4M1.5M-93.5K0.2176.68N/AN/A277574,6794,205
2014-06-26$74.45$75.009.7%2.8%10.7%12.1%9.9%3.3%1.7%1.5M2.1M-94.8K0.1273.99N/AN/A203244,9114,244
2014-06-27$75.02$75.008.8%2.5%10.9%5.5%8.6%3.1%1.1%1.7M-1.8M-98.2K0.4351.84N/AN/A75325,0854,258
2014-06-30$74.84$75.008.4%2.4%10.9%2.3%8.6%2.4%1.5%1.9M-1.2M-95.0K0.9563.39N/AN/A1291225,1364,276