VNQ Options History — November 2014

In November 2014, VNQ traded between $78.43 and $80.57. ATM implied volatility averaged 11.3%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.5% (HV 20d: 10.7%). Max pain ranged from $76.00 to $76.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 10.35.

Notable Days

  • 2014-11-18: Highest Volume — 21,278 contracts
  • 2014-11-26: Largest IV spike — 13.7% change
  • 2014-11-14: Highest IV Rank — 47.2%
  • 2014-11-14: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.27$78.43$80.57$79.66$80.57
Max Pain$76.00$76.00$76.00$76.00$76.00
ATM IV11.3%9.4%12.6%12.4%11.3%
Expected Move3.7%3.5%3.8%3.7%3.7%
HV 20d10.7%9.9%12.6%12.6%10.4%
HV 60d13.4%13.2%13.7%13.4%13.6%
IV Rank35.2%18.9%47.2%45.5%35.3%
IV Percentile47.1%15.5%71.8%64.7%52.0%
Term Structure1.0%-0.6%2.1%-0.6%0.1%
VWIV15.7%12.2%18.8%14.1%13.1%
Skew 25d3.0%1.9%4.0%2.4%2.1%
Skew 10d6.5%2.3%9.5%5.1%2.3%
Call IV 25d10.3%9.0%11.9%11.9%10.3%
Put IV 25d13.3%11.8%14.6%14.3%12.4%
Bid-Ask Spread %31.2123.6041.1630.1638.63
Gamma HHI0.170.090.230.090.14
Net GEX-3.8M-10.6M509.2K-6.9K-571.0K
Net DEX-24.1M-39.7M-11.4M-39.7M-27.1M
Net VEX-261.2K-303.6K-191.4K-191.4K-298.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.350.2041.237.384.33
Total Volume9,700.8421,59221,2786,9914,876
Total OI40,629.63234,02648,00034,02640,965

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$79.66$76.0012.4%3.7%12.6%45.5%14.1%2.4%-0.6%-6.9K-39.7M-191.4K7.3830.16N/AN/A8346,15710,62523,401
2014-11-04$79.72$76.0011.9%3.7%11.8%41.3%14.8%3.1%0.1%-3.0M-29.3M-228.8K5.1023.60N/AN/A7573,85810,72025,769
2014-11-05$79.71$76.0011.2%3.6%10.2%34.8%14.8%2.8%0.6%-2.5M-33.9M-198.2K4.8929.32N/AN/A6903,37710,78025,976
2014-11-06$78.96$76.0011.9%3.8%11.2%41.1%15.8%1.9%0.5%-2.7M-27.1M-212.9K3.0525.48N/AN/A1,2493,81011,05825,929
2014-11-07$78.87$76.0011.1%3.7%11.3%34.1%18.4%3.5%1.0%-3.1M-27.7M-220.3K13.6724.59N/AN/A1,26217,25611,66326,574
2014-11-10$79.57$76.0010.6%3.5%11.4%29.1%18.7%3.7%1.1%-4.6M-27.5M-279.5K8.4928.55N/AN/A1,93216,40311,71928,973
2014-11-11$79.24$76.0011.2%3.7%10.3%34.3%18.5%3.1%1.1%-3.9M-32.9M-206.3K12.3028.15N/AN/A1,33616,43311,45125,010
2014-11-12$78.69$76.0011.3%3.7%10.3%35.4%18.5%3.2%0.8%-4.2M-17.4M-287.9K13.0128.70N/AN/A1,23816,10912,48629,141
2014-11-13$79.11$76.0011.9%3.7%10.3%41.2%18.8%4.0%0.9%-5.2M-22.9M-289.2K29.9125.90N/AN/A57817,28812,51729,334
2014-11-14$78.45$76.0012.6%3.8%11.1%47.2%14.2%3.9%0.7%-5.1M-11.6M-284.7K19.2329.55N/AN/A1863,57612,52429,350
2014-11-17$78.72$76.0011.0%3.7%10.1%33.3%18.7%3.2%1.7%-10.6M-11.4M-293.6K41.2327.22N/AN/A47419,54412,62833,277
2014-11-18$79.13$76.0010.8%3.6%9.9%31.3%18.6%3.3%1.7%-7.5M-29.3M-247.4K12.5128.08N/AN/A1,57519,70312,67431,661
2014-11-19$78.43$76.0011.9%3.8%10.6%40.6%12.2%3.4%1.5%-7.4M-13.3M-285.0K0.2039.16N/AN/A2,38448313,55031,981
2014-11-20$78.67$76.0011.1%3.6%10.4%34.0%13.7%3.4%1.4%-6.1M-19.6M-287.0K2.0530.28N/AN/A2,2294,57114,66831,274
2014-11-21$79.16$76.0011.1%3.7%10.6%33.6%14.1%3.1%2.1%-5.0M-33.2M-285.1K4.1035.89N/AN/A1,0524,31515,24732,753
2014-11-24$79.46$76.0010.4%3.8%10.4%28.2%13.6%2.4%1.4%-878.8K-12.9M-281.7K1.4138.99N/AN/A66093211,03126,702
2014-11-25$79.57$76.009.4%3.6%10.4%18.9%14.1%2.8%1.7%-450.4K-12.9M-303.6K1.1341.16N/AN/A9181,03511,60927,531
2014-11-26$80.37$76.0010.7%3.7%10.5%30.2%14.2%2.5%1.1%509.2K-28.0M-281.2K12.7139.60N/AN/A3824,85411,71627,696
2014-11-28$80.57$76.0011.3%3.7%10.4%35.3%13.1%2.1%0.1%-571.0K-27.1M-298.0K4.3338.63N/AN/A9153,96111,96628,999