VNQ Options History — August 2014

In August 2014, VNQ traded between $74.44 and $77.49. ATM implied volatility averaged 10.2%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.0% (HV 20d: 10.2%). Max pain ranged from $73.00 to $74.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 11.24.

Notable Days

  • 2014-08-22: Highest Volume — 5,621 contracts
  • 2014-08-14: Largest IV spike — 45.1% change
  • 2014-08-05: Highest IV Rank — 44.8%
  • 2014-08-11: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.08$74.44$77.49$74.72$77.18
Max Pain$73.90$73.00$74.00$74.00$74.00
ATM IV10.2%7.2%13.8%12.5%8.7%
Expected Move3.9%3.7%4.2%4.0%3.7%
HV 20d10.2%8.8%11.2%8.8%9.0%
HV 60d9.5%8.9%9.8%9.2%8.9%
IV Rank19.9%0.0%44.8%34.6%10.6%
IV Percentile23.2%0.0%67.5%51.6%6.7%
Term Structure1.4%0.2%2.5%0.2%1.8%
VWIV14.5%12.2%16.7%15.5%13.4%
Skew 25d3.5%2.5%5.0%4.1%2.6%
Skew 10d8.6%6.5%11.9%9.1%7.6%
Call IV 25d9.4%8.0%11.4%11.4%8.1%
Put IV 25d12.9%10.7%16.2%15.5%10.7%
Bid-Ask Spread %30.8224.4947.1227.7628.85
Gamma HHI0.160.110.400.160.12
Net GEX-822.0K-3.2M3.0M357.4K-2.2M
Net DEX11.7M3.0M20.7M10.3M7.7M
Net VEX-220.6K-280.5K-174.9K-174.9K-266.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.240.0743.622.0925.50
Total Volume1,293.333325,6211,46653
Total OI23,630.23817,13629,42117,13629,421

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$74.72$74.0012.5%4.0%8.8%34.6%15.5%4.1%0.2%357.4K10.3M-174.9K2.0927.76N/AN/A4759916,36510,771
2014-08-04$75.24$74.0012.0%4.0%9.1%31.5%15.4%3.8%0.8%775.4K8.5M-186.0K14.1524.49N/AN/A851,2036,54111,576
2014-08-05$74.47$74.0013.8%4.1%9.7%44.8%14.9%5.0%1.0%-120.4K17.2M-186.8K4.0629.68N/AN/A2018176,58612,682
2014-08-06$74.44$74.0012.4%4.1%9.7%34.1%15.2%4.0%0.9%-304.7K20.4M-194.7K1.1630.03N/AN/A961116,76513,403
2014-08-07$74.48$74.0012.1%4.1%9.5%32.1%13.1%5.0%0.8%-325.5K20.7M-194.1K0.9133.92N/AN/A2372166,83013,467
2014-08-08$74.92$74.0010.4%4.2%9.8%18.8%16.1%4.5%1.4%444.1K16.8M-199.2K43.4829.47N/AN/A291,2616,96313,679
2014-08-11$75.39$73.0011.2%4.2%9.9%25.0%16.7%4.4%1.4%1.6M13.4M-201.9K3.6147.12N/AN/A2961,0696,97114,802
2014-08-12$75.27$73.0010.6%4.1%9.9%20.7%15.2%4.3%1.4%1.0M16.2M-213.7K43.6232.74N/AN/A219166,96315,678
2014-08-13$76.36$74.007.2%3.9%11.2%0.0%12.2%3.6%2.1%3.0M3.0M-211.0K7.5133.42N/AN/A1551,1646,97316,477
2014-08-14$76.31$74.0010.5%3.9%11.0%23.5%16.7%3.8%2.2%-2.0M7.7M-214.8K0.3327.08N/AN/A8252716,95317,612
2014-08-15$76.23$74.009.9%3.9%10.4%19.1%12.2%3.5%2.5%-1.7M8.5M-211.3K6.2726.65N/AN/A1479227,06017,472
2014-08-18$76.98$74.009.0%3.7%10.9%12.7%13.5%2.9%1.4%-193.2K3.7M-197.5K42.5629.93N/AN/A893,7885,69214,714
2014-08-19$77.14$74.009.0%3.7%10.9%12.8%14.8%2.8%1.7%-1.4M6.7M-225.5K8.6531.00N/AN/A2322,0075,73418,369
2014-08-20$77.49$74.009.6%3.7%11.0%17.2%13.6%3.2%1.0%-1.7M4.7M-224.8K0.3426.01N/AN/A4321495,90918,875
2014-08-21$77.37$74.009.7%3.7%11.0%17.9%13.5%2.6%1.2%-1.6M4.1M-226.4K5.7631.29N/AN/A1458356,13418,805
2014-08-22$76.75$74.009.0%3.7%11.1%12.7%16.6%2.8%1.9%-1.8M8.9M-225.4K9.9437.18N/AN/A5145,1076,16218,811
2014-08-25$76.58$74.009.2%3.7%10.9%13.8%14.8%2.6%1.0%-3.2M20.4M-269.0K14.4131.37N/AN/A781,1246,54422,138
2014-08-26$76.73$74.009.2%3.7%10.7%13.7%13.8%2.8%1.1%-2.8M17.0M-265.5K0.2331.32N/AN/A2666,54021,935
2014-08-27$76.78$74.009.0%3.7%10.7%12.4%13.3%2.6%1.4%-2.7M15.9M-262.7K0.0728.84N/AN/A914666,56621,939
2014-08-28$76.77$74.008.6%3.7%9.0%10.0%14.7%2.5%1.9%-2.5M13.4M-280.5K1.2929.05N/AN/A38497,37521,983
2014-08-29$77.18$74.008.7%3.7%9.0%10.6%13.4%2.6%1.8%-2.2M7.7M-266.3K25.5028.85N/AN/A2517,39922,022