VNQ Options History — September 2014

In September 2014, VNQ traded between $71.35 and $77.92. ATM implied volatility averaged 12.0%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 0.5% (HV 20d: 12.5%). Max pain ranged from $74.00 to $76.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 9.01.

Notable Days

  • 2014-09-25: Highest Volume — 9,215 contracts
  • 2014-09-12: Largest IV spike — 21.2% change
  • 2014-09-15: Highest IV Rank — 61.6%
  • 2014-09-25: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.53$71.35$77.92$77.19$71.85
Max Pain$74.33$74.00$76.00$74.00$76.00
ATM IV12.0%8.1%15.6%8.9%13.9%
Expected Move4.0%3.5%4.6%3.7%4.5%
HV 20d12.5%7.7%15.9%8.8%15.5%
HV 60d10.4%8.4%11.9%8.9%11.8%
IV Rank34.6%5.9%61.6%11.8%48.8%
IV Percentile52.6%1.2%88.1%7.9%82.1%
Term Structure1.0%-0.5%1.8%1.5%1.2%
VWIV14.6%12.2%18.7%14.5%16.5%
Skew 25d3.7%1.7%5.6%2.6%3.5%
Skew 10d8.5%3.7%12.6%7.5%9.8%
Call IV 25d10.9%7.4%13.3%8.4%12.8%
Put IV 25d14.6%9.9%18.8%11.0%16.2%
Bid-Ask Spread %35.2024.2945.1830.4736.75
Gamma HHI0.170.120.290.120.18
Net GEX-5.7M-11.7M-1.3M-2.1M-11.2M
Net DEX45.9M-6.1M82.0M6.1M82.0M
Net VEX-275.9K-348.2K-230.2K-249.8K-343.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.010.20108.701.680.41
Total Volume2,191.9521859,215287187
Total OI34,151.1926,11740,27429,43039,568

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$77.19$74.008.9%3.7%8.8%11.8%14.5%2.6%1.5%-2.1M6.1M-249.8K1.6830.47N/AN/A1071807,40022,030
2014-09-03$77.39$74.009.1%3.7%7.7%13.5%13.6%2.5%1.3%-1.7M2.1M-245.9K0.9328.50N/AN/A96897,46722,113
2014-09-04$77.10$74.009.8%3.7%7.9%19.1%13.3%2.4%0.8%-2.1M6.2M-246.0K0.7925.29N/AN/A107847,48122,204
2014-09-05$77.92$74.008.1%3.5%8.5%5.9%14.3%3.3%1.5%-1.3M-6.1M-231.4K1.6824.59N/AN/A691167,55322,252
2014-09-08$77.83$74.008.8%3.6%8.4%11.7%12.2%3.4%1.7%-1.5M-6.1M-230.2K0.4424.29N/AN/A4031777,58922,341
2014-09-09$77.36$74.0010.4%3.7%8.7%23.5%12.5%3.9%1.1%-1.5M1.6M-240.6K0.2028.24N/AN/A1,0632147,91522,453
2014-09-10$76.14$74.0011.1%3.8%10.6%28.3%16.5%3.7%1.1%-2.1M18.9M-256.4K2.2129.42N/AN/A4429759,34822,630
2014-09-11$76.20$74.0011.4%3.8%9.3%30.3%13.1%4.5%1.0%-2.9M22.1M-260.0K1.8635.14N/AN/A9511,7738,85423,199
2014-09-12$73.86$74.0013.8%4.2%14.4%48.0%15.8%5.0%0.7%-4.7M61.9M-272.4K2.8534.51N/AN/A1,3743,9129,31524,562
2014-09-15$73.50$74.0015.6%4.4%14.5%61.6%15.1%5.6%-0.5%-6.0M74.3M-284.4K6.7535.52N/AN/A2541,71510,33127,557
2014-09-16$74.22$74.0014.6%4.2%14.5%54.0%14.2%5.1%-0.2%-6.7M65.9M-291.5K1.0935.09N/AN/A38842210,37728,859
2014-09-17$74.20$74.0012.3%4.0%14.4%37.3%14.3%4.2%1.4%-6.9M63.2M-269.9K2.7739.58N/AN/A4221,16910,46429,026
2014-09-18$73.55$74.0012.1%4.0%14.4%35.8%14.2%3.4%1.5%-9.7M79.5M-265.7K1.0138.84N/AN/A22823010,60329,205
2014-09-19$73.64$74.0011.0%4.0%14.5%27.6%13.2%4.3%1.8%-9.5M77.2M-263.3K0.7339.20N/AN/A45833310,72929,263
2014-09-22$73.06$74.0012.8%4.1%14.4%41.0%13.7%3.6%1.0%-4.8M51.6M-259.8K5.1541.79N/AN/A7483,8516,11720,000
2014-09-23$72.53$74.0012.2%4.2%14.5%36.3%14.2%1.7%0.9%-6.9M58.1M-272.1K2.2441.96N/AN/A6061,3586,84223,771
2014-09-24$71.67$74.0013.5%4.4%14.8%45.9%18.7%3.3%1.4%-6.9M67.0M-293.9K35.2440.19N/AN/A1776,2376,92924,935
2014-09-25$71.35$75.0014.9%4.6%14.7%56.2%16.3%4.4%0.5%-8.8M81.3M-331.5K108.7041.96N/AN/A849,1317,07429,053
2014-09-26$72.31$76.0013.3%4.4%15.9%44.7%14.6%3.7%1.1%-11.7M78.9M-348.2K11.2545.18N/AN/A4254,7807,13933,135
2014-09-29$72.21$76.0013.5%4.4%15.6%45.6%16.2%4.5%1.2%-10.9M79.0M-337.6K1.2542.74N/AN/A3103867,37232,120
2014-09-30$71.85$76.0013.9%4.5%15.5%48.8%16.5%3.5%1.2%-11.2M82.0M-343.2K0.4136.75N/AN/A133547,52332,045