VNQ Options History — February 2015

In February 2015, VNQ traded between $82.75 and $87.73. ATM implied volatility averaged 14.7%, placing in the 65.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 2.3% (HV 20d: 17.0%). Max pain ranged from $81.00 to $86.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.32.

Notable Days

  • 2015-02-26: Highest Volume — 5,707 contracts
  • 2015-02-06: Largest IV spike — 22.0% change
  • 2015-02-19: Highest IV Rank — 82.5%
  • 2015-02-19: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.02$82.75$87.73$86.32$83.38
Max Pain$82.53$81.00$86.00$86.00$81.00
ATM IV14.7%12.1%16.6%14.8%14.8%
Expected Move4.3%3.7%4.8%4.2%4.2%
HV 20d17.0%13.2%19.5%13.4%19.5%
HV 60d13.9%12.1%15.4%12.1%15.4%
IV Rank65.7%42.8%82.5%66.5%66.3%
IV Percentile91.6%68.3%98.8%95.2%91.7%
Term Structure0.2%-1.0%1.2%1.0%-0.6%
VWIV15.3%13.2%19.1%14.5%16.0%
Skew 25d4.0%2.5%5.2%2.5%4.1%
Skew 10d9.2%6.5%12.6%10.1%9.1%
Call IV 25d13.4%11.6%14.9%13.5%12.8%
Put IV 25d17.4%14.7%20.0%15.9%16.9%
Bid-Ask Spread %67.3651.8081.7174.8067.73
Gamma HHI0.150.090.370.090.13
Net GEX-1.6M-4.1M331.2K-552.9K-341.8K
Net DEX-14.4M-42.1M6.8M-29.1M-11.6M
Net VEX-258.3K-291.7K-231.0K-273.1K-246.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.503.002.010.84
Total Volume3,204.2115965,7071,0554,174
Total OI36,073.57931,83639,18333,86135,070

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$86.32$86.0014.8%4.2%13.4%66.5%14.5%2.5%1.0%-552.9K-29.1M-273.1K2.0174.80N/AN/A35170410,97622,885
2015-02-03$87.04$86.0012.8%3.7%13.5%48.6%13.3%2.8%0.8%-177.0K-37.6M-267.2K1.2277.84N/AN/A1,3101,59611,12823,235
2015-02-04$86.63$86.0013.1%3.8%13.5%51.7%15.2%2.7%0.8%-16.0K-36.8M-257.9K2.9981.71N/AN/A1,3484,02811,26423,346
2015-02-05$87.73$81.0012.1%3.8%13.2%42.8%13.2%4.0%1.0%-632.0K-42.1M-258.8K3.0073.01N/AN/A1,2883,86211,39225,730
2015-02-06$85.14$82.0014.8%4.4%17.3%66.2%15.8%4.1%0.9%-2.6M-11.8M-279.6K0.9665.56N/AN/A1,6501,57911,42825,132
2015-02-09$84.68$82.0015.8%4.6%17.4%75.3%16.8%4.3%0.2%-3.2M-3.7M-291.7K1.0162.30N/AN/A1,6841,69711,81525,301
2015-02-10$84.82$82.0015.1%4.5%17.2%68.9%15.1%4.4%0.3%-3.2M-5.1M-284.4K1.1368.62N/AN/A1,6361,84711,89125,568
2015-02-11$84.67$82.0015.1%4.3%17.2%69.1%14.2%4.5%0.9%-3.5M-1.7M-280.5K0.7071.18N/AN/A2,2481,58312,00725,816
2015-02-12$85.70$82.0014.2%4.1%17.4%60.9%13.3%3.7%0.9%-4.1M-16.6M-275.6K0.8470.39N/AN/A1,7341,45712,61525,832
2015-02-13$85.11$82.0014.5%4.1%17.5%63.6%14.4%4.1%1.2%-3.2M-10.3M-272.1K1.1859.19N/AN/A1,3661,61712,56825,838
2015-02-17$84.89$82.0015.1%4.3%17.0%69.0%15.9%3.7%0.5%-2.4M-8.5M-250.4K1.2157.39N/AN/A1,2691,53112,60825,841
2015-02-18$85.67$82.0014.5%4.2%17.3%64.1%15.4%4.5%0.5%-3.9M-21.6M-239.0K1.1967.69N/AN/A1,3781,64512,63325,833
2015-02-19$83.80$82.0016.6%4.8%18.9%82.5%19.1%5.1%-0.9%-1.7M6.8M-243.2K2.2463.65N/AN/A39287712,54525,808
2015-02-20$84.61$82.0014.7%4.2%18.0%65.5%15.4%5.2%0.5%210.4K-866.7K-244.0K0.5072.38N/AN/A39719912,74726,436
2015-02-23$85.18$82.0015.5%4.5%18.3%73.0%15.3%4.7%-1.0%331.2K-22.7M-231.0K1.0365.66N/AN/A1,3131,35510,42221,414
2015-02-24$83.60$82.0015.8%4.5%18.9%75.1%15.6%4.3%-0.7%-215.4K-10.9M-239.6K1.0363.64N/AN/A1,4021,44410,67521,618
2015-02-25$83.71$82.0014.9%4.3%18.9%67.6%15.8%4.2%-0.9%-333.9K-9.6M-235.7K1.5065.38N/AN/A1,2841,92810,79821,800
2015-02-26$82.75$82.0015.5%4.4%19.2%72.6%15.9%3.8%-0.7%-909.0K822.0K-237.6K0.5251.80N/AN/A3,7541,95310,93822,445
2015-02-27$83.38$81.0014.8%4.2%19.5%66.3%16.0%4.1%-0.6%-341.8K-11.6M-246.0K0.8467.73N/AN/A2,2681,90612,55722,513