VNQ Options History — July 2014

In July 2014, VNQ traded between $74.63 and $76.66. ATM implied volatility averaged 9.1%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 1.2% (HV 20d: 7.9%). Max pain ranged from $72.00 to $77.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.67.

Notable Days

  • 2014-07-14: Highest Volume — 3,380 contracts
  • 2014-07-31: Largest IV spike — 31.5% change
  • 2014-07-31: Highest IV Rank — 35.1%
  • 2014-07-31: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.79$74.63$76.66$75.24$74.90
Max Pain$75.05$72.00$77.00$75.00$74.00
ATM IV9.1%7.9%12.5%8.5%12.5%
Expected Move3.0%2.3%3.9%2.4%3.9%
HV 20d7.9%6.5%11.1%11.1%9.0%
HV 60d8.9%8.6%9.4%9.4%9.4%
IV Rank8.1%0.0%35.1%3.2%35.1%
IV Percentile6.9%0.0%52.0%1.6%52.0%
Term Structure1.3%-0.6%1.8%1.6%-0.6%
VWIV11.0%7.7%15.2%7.7%15.2%
Skew 25d2.5%1.6%4.1%2.1%4.1%
Skew 10d6.8%4.9%9.1%5.4%9.1%
Call IV 25d8.5%7.4%11.0%7.4%11.0%
Put IV 25d11.0%9.5%15.0%9.5%15.0%
Bid-Ask Spread %56.4522.4994.4264.7322.49
Gamma HHI0.310.180.470.440.18
Net GEX1.9M375.0K4.5M2.0M375.0K
Net DEX-5.2M-17.8M8.1M-4.6M8.1M
Net VEX-132.6K-160.6K-95.2K-98.1K-160.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.670.0111.323.491.16
Total Volume618.045783,3805571,570
Total OI13,897.6829,59617,1339,59615,900

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$75.24$75.008.5%2.4%11.1%3.2%7.7%2.1%1.6%2.0M-4.6M-98.1K3.4964.73N/AN/A1244335,2454,351
2014-07-02$75.06$75.009.0%2.6%11.1%7.4%9.0%2.1%1.4%1.9M-2.2M-100.1K0.5672.30N/AN/A88495,3374,749
2014-07-03$74.63$75.009.2%2.6%8.9%8.9%9.4%1.6%1.6%1.7M582.9K-98.8K5.0086.15N/AN/A13655,3684,776
2014-07-07$74.85$77.009.2%3.0%9.0%8.3%10.3%2.9%1.0%2.2M-1.1M-95.2K0.1976.12N/AN/A232455,3814,802
2014-07-08$75.07$76.009.1%2.9%8.0%7.8%11.1%2.5%1.2%2.4M-3.2M-96.2K11.3276.74N/AN/A2723,0795,5454,834
2014-07-09$75.19$76.009.9%2.9%7.5%14.2%10.3%3.0%1.1%2.0M-1.3M-134.0K0.0179.96N/AN/A18915,8017,875
2014-07-10$75.53$76.009.1%2.6%7.5%8.1%9.8%2.6%1.1%2.1M-4.6M-133.5K0.6678.17N/AN/A50335,8557,876
2014-07-11$75.54$76.009.1%2.6%7.5%7.6%10.9%3.1%1.6%2.3M-4.3M-132.3K0.1878.56N/AN/A233415,8787,880
2014-07-14$75.91$76.008.7%2.5%7.6%5.0%8.7%2.5%1.8%2.8M-10.1M-127.4K1.5483.18N/AN/A1,3312,0496,0567,906
2014-07-15$75.96$76.008.7%2.5%7.2%4.9%9.7%3.0%1.5%4.5M-12.3M-148.3K2.6494.42N/AN/A1253306,8899,917
2014-07-16$76.20$76.008.4%2.4%7.2%2.7%8.6%2.1%1.4%3.3M-15.2M-147.6K0.6585.67N/AN/A81536,96110,172
2014-07-17$75.81$76.009.4%2.7%7.3%10.5%10.3%2.3%0.8%4.5M-9.8M-143.4K1.0065.15N/AN/A2282296,71810,010
2014-07-18$76.56$76.007.9%2.3%7.5%0.0%8.8%2.9%1.4%2.4M-17.8M-143.6K0.1438.68N/AN/A202286,91510,197
2014-07-21$76.28$0.009.4%3.7%7.6%11.3%14.9%2.8%0.9%807.2K-4.6M-142.4K1.6539.73N/AN/A791304,9289,036
2014-07-22$76.52$72.008.2%3.5%7.4%2.1%14.3%2.0%1.4%897.7K-5.8M-142.2K2.3032.78N/AN/A1062444,9999,152
2014-07-23$76.66$74.007.9%3.5%6.6%0.0%9.9%1.9%1.6%762.2K-5.5M-146.1K0.8326.86N/AN/A71595,0509,371
2014-07-24$76.56$74.008.2%3.6%6.5%2.7%12.0%2.2%1.7%804.9K-5.6M-144.6K0.2628.63N/AN/A231605,0919,425
2014-07-25$76.03$74.008.7%3.6%7.1%6.4%13.1%2.1%1.7%910.0K-2.1M-146.8K0.3031.14N/AN/A73225,2489,459
2014-07-28$76.56$74.008.5%3.6%7.1%5.0%11.6%1.8%1.4%1.1M-6.2M-143.9K0.3725.55N/AN/A202745,2749,465
2014-07-29$76.19$74.009.7%3.7%7.3%13.9%12.4%2.1%1.0%1.1M-3.7M-145.4K0.0925.59N/AN/A191185,4079,539
2014-07-30$76.03$74.009.5%3.7%7.1%12.5%14.5%3.1%1.3%1.0M-2.3M-145.6K2.4429.21N/AN/A2516135,5629,549
2014-07-31$74.90$74.0012.5%3.9%9.0%35.1%15.2%4.1%-0.6%375.0K8.1M-160.6K1.1622.49N/AN/A7268445,78610,114