VNQ Options History — April 2015 In April 2015, VNQ traded between $79.37 and $85.70. ATM implied volatility averaged 15.2%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 2.0% (HV 20d: 17.2%). Max pain ranged from $82.00 to $86.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 5.39.
Notable Days 2015-04-01 : Highest Volume — 25,450 contracts2015-04-30 : Largest IV spike — 11.2% change2015-04-30 : Highest IV Rank — 72.2%2015-04-30 : Largest Expected Move — 5.2%Monthly Statistics Metric Avg Min Max Open Close Price $82.63 $79.37 $85.70 $84.07 $79.37 Max Pain $84.33 $82.00 $86.00 $85.00 $82.00 ATM IV 15.2% 13.7% 18.0% 15.6% 18.0% Expected Move 4.4% 3.9% 5.2% 4.5% 5.2% HV 20d 17.2% 11.8% 22.4% 22.2% 14.2% HV 60d 18.5% 17.9% 19.0% 18.4% 18.5% IV Rank 53.4% 43.4% 72.2% 56.2% 72.2% IV Percentile 85.7% 68.7% 98.0% 92.1% 98.0% Term Structure 0.3% -0.5% 1.0% -0.2% -0.5% VWIV 15.6% 14.0% 19.7% 16.2% 19.7% Skew 25d 3.4% 2.9% 4.4% 3.5% 3.7% Skew 10d 6.6% 4.4% 9.3% 5.6% 4.7% Call IV 25d 13.8% 12.8% 16.4% 14.6% 16.4% Put IV 25d 17.2% 15.8% 20.0% 18.1% 20.0% Bid-Ask Spread % 54.19 33.24 76.36 76.36 57.61 Gamma HHI 0.21 0.14 0.39 0.27 0.21 Net GEX -13.2M -37.4M -3.2M -24.0M -7.3M Net DEX 46.5M 2.1M 100.0M 43.6M 78.2M Net VEX -586.7K -691.4K -524.4K -566.6K -601.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 5.39 1.08 25.51 10.76 1.52 Total Volume 10,325.714 2,333 25,450 25,450 8,821 Total OI 131,218.762 50,979 192,057 172,388 55,409
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-04-01 $84.07 $85.00 15.6% 4.5% 22.2% 56.2% 16.2% 3.5% -0.2% -24.0M 43.6M -566.6K 10.76 76.36 N/A N/A 2,164 23,286 14,045 158,343 2015-04-02 $84.90 $86.00 14.5% 4.2% 22.4% 48.8% 16.0% 4.4% 0.5% -17.2M 35.9M -691.4K 13.54 51.85 N/A N/A 1,745 23,622 14,133 173,732 2015-04-06 $85.70 $86.00 14.2% 4.1% 17.9% 46.9% 15.6% 3.6% 0.4% -8.4M 2.1M -566.1K 14.56 61.24 N/A N/A 1,601 23,312 14,261 174,178 2015-04-07 $84.25 $86.00 15.3% 4.4% 19.2% 54.2% 16.4% 4.0% 0.2% -12.0M 23.4M -608.4K 4.53 59.64 N/A N/A 1,814 8,226 14,401 174,356 2015-04-08 $84.33 $86.00 15.0% 4.3% 19.2% 52.2% 14.0% 3.8% 0.4% -10.0M 17.7M -560.3K 25.51 44.00 N/A N/A 88 2,245 15,022 174,466 2015-04-09 $82.57 $86.00 15.7% 4.5% 20.9% 56.4% 16.8% 3.6% 0.2% -31.3M 86.0M -675.2K 3.48 33.24 N/A N/A 2,702 9,403 15,371 176,021 2015-04-10 $82.47 $85.00 15.4% 4.4% 20.0% 54.6% 15.5% 3.4% 0.5% -37.4M 100.0M -680.4K 5.30 46.59 N/A N/A 1,643 8,705 15,458 176,599 2015-04-13 $82.37 $85.00 15.7% 4.5% 20.0% 56.8% 15.6% 3.6% 0.4% -31.8M 76.7M -596.0K 6.35 34.88 N/A N/A 1,350 8,571 15,487 176,085 2015-04-14 $82.54 $85.00 14.7% 4.2% 19.6% 49.9% 15.5% 3.3% 0.6% -20.8M 51.8M -578.0K 6.22 51.45 N/A N/A 1,266 7,872 15,593 176,427 2015-04-15 $82.01 $85.00 15.0% 4.3% 19.7% 52.2% 15.3% 3.1% 0.1% -20.8M 54.7M -530.8K 5.83 55.34 N/A N/A 1,370 7,988 15,686 176,294 2015-04-16 $82.20 $85.00 15.4% 4.4% 18.1% 54.6% 15.1% 3.3% 0.1% -17.7M 48.9M -524.4K 1.84 48.95 N/A N/A 1,355 2,498 15,747 176,041 2015-04-17 $81.79 $85.00 15.3% 4.4% 18.1% 53.9% 15.1% 3.6% 0.3% -3.2M 72.4M -553.6K 3.59 56.91 N/A N/A 3,182 11,432 15,837 175,881 2015-04-20 $81.90 $83.00 15.3% 4.4% 15.2% 54.1% 14.8% 3.4% 0.1% -4.7M 38.6M -575.7K 1.20 52.83 N/A N/A 4,185 5,023 13,147 37,832 2015-04-21 $82.10 $83.00 14.9% 4.3% 15.4% 51.1% 14.7% 3.1% 0.3% -4.5M 35.6M -606.1K 1.11 53.13 N/A N/A 4,282 4,763 13,484 40,250 2015-04-22 $82.22 $83.00 14.7% 4.2% 15.3% 49.9% 15.6% 3.2% 0.1% -4.3M 34.0M -576.0K 1.15 55.84 N/A N/A 3,142 3,606 13,692 40,302 2015-04-23 $82.47 $83.00 14.6% 4.2% 13.2% 49.5% 14.7% 3.2% 0.3% -3.8M 30.3M -565.0K 1.15 55.78 N/A N/A 3,103 3,580 13,733 40,371 2015-04-24 $82.57 $83.00 13.7% 3.9% 13.1% 43.4% 14.3% 2.9% 1.0% -3.4M 28.5M -573.8K 1.15 56.91 N/A N/A 3,070 3,523 13,894 40,392 2015-04-27 $82.42 $83.00 14.9% 4.3% 13.0% 51.5% 16.0% 2.9% 0.3% -3.9M 29.7M -559.2K 1.08 60.34 N/A N/A 2,007 2,159 14,015 40,470 2015-04-28 $82.29 $83.00 15.1% 4.3% 11.8% 52.8% 15.0% 3.0% 0.6% -3.9M 30.1M -538.5K 1.85 62.92 N/A N/A 1,230 2,276 13,995 40,513 2015-04-29 $80.70 $83.00 16.2% 4.6% 13.2% 60.0% 16.4% 3.3% -0.1% -6.3M 57.6M -593.4K 1.48 62.23 N/A N/A 1,866 2,764 13,996 40,635 2015-04-30 $79.37 $82.00 18.0% 5.2% 14.2% 72.2% 19.7% 3.7% -0.5% -7.3M 78.2M -601.0K 1.52 57.61 N/A N/A 3,505 5,316 14,549 40,860
« Mar 2015 | All History | May 2015 » Home VNQ History April 2015