VNQ Options History — May 2015

In May 2015, VNQ traded between $78.09 and $81.13. ATM implied volatility averaged 17.3%, placing in the 67.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.5% (HV 20d: 16.8%). Max pain ranged from $82.00 to $82.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.61.

Notable Days

  • 2015-05-15: Highest Volume — 13,221 contracts
  • 2015-05-11: Largest IV spike — 18.1% change
  • 2015-05-05: Highest IV Rank — 81.7%
  • 2015-05-05: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.83$78.09$81.13$80.11$79.05
Max Pain$82.00$82.00$82.00$82.00$82.00
ATM IV17.3%15.7%19.4%17.2%17.0%
Expected Move4.9%4.6%5.3%4.9%4.9%
HV 20d16.8%13.4%19.1%14.1%17.5%
HV 60d18.3%17.9%19.0%18.6%18.1%
IV Rank67.4%56.6%81.7%66.4%65.3%
IV Percentile94.1%88.9%98.8%96.8%92.5%
Term Structure-0.8%-2.6%0.1%-0.3%-1.0%
VWIV17.6%14.8%19.4%17.6%18.7%
Skew 25d4.1%3.0%4.9%3.4%3.0%
Skew 10d8.6%4.7%11.0%5.6%4.7%
Call IV 25d15.5%14.3%16.7%15.3%15.7%
Put IV 25d19.6%18.2%21.5%18.7%18.8%
Bid-Ask Spread %47.5132.0262.5852.8238.69
Gamma HHI0.190.150.270.210.25
Net GEX-8.8M-15.0M-5.1M-7.1M-8.7M
Net DEX72.0M40.4M108.1M65.9M81.0M
Net VEX-616.9K-684.8K-543.3K-601.3K-634.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.610.628.631.451.19
Total Volume5,097.7539713,2215,2944,368
Total OI63,109.4558,22264,87858,22264,878

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$80.11$82.0017.2%4.9%14.1%66.4%17.6%3.4%-0.3%-7.1M65.9M-601.3K1.4552.82N/AN/A2,1623,13215,12243,100
2015-05-04$80.06$82.0016.7%4.9%13.4%63.1%17.2%4.3%-0.5%-7.3M64.5M-591.1K1.2961.40N/AN/A28036115,11043,344
2015-05-05$78.32$82.0019.4%5.3%14.2%81.7%19.4%4.8%-2.6%-9.6M93.6M-601.0K1.9632.02N/AN/A2,6535,20915,33743,359
2015-05-06$78.09$82.0018.6%5.2%14.1%76.2%17.1%4.4%-0.5%-12.9M108.1M-616.9K0.9432.38N/AN/A3,7823,54615,64546,143
2015-05-07$79.47$82.0018.8%4.9%14.4%77.5%16.7%3.8%0.1%-10.1M77.0M-591.0K1.1445.54N/AN/A3,6244,14216,43846,560
2015-05-08$80.48$82.0015.7%4.9%15.3%56.6%16.1%4.0%-1.6%-8.0M54.0M-576.2K5.9962.58N/AN/A7014,20016,36547,626
2015-05-11$79.27$82.0018.5%5.2%16.1%75.6%17.6%4.2%-1.0%-12.6M84.1M-578.4K5.9751.05N/AN/A2541,51716,62047,428
2015-05-12$79.55$82.0017.2%5.0%16.2%66.6%18.5%4.1%-1.1%-12.7M81.9M-577.4K1.6345.41N/AN/A1,4772,41216,71047,398
2015-05-13$78.73$82.0018.4%5.3%16.4%74.8%19.2%4.9%-1.2%-15.0M96.9M-573.4K1.0447.69N/AN/A1,7291,79616,82947,512
2015-05-14$80.27$82.0018.4%5.3%18.0%74.5%17.2%3.6%-1.5%-8.0M61.5M-562.0K1.1852.03N/AN/A1,5411,82216,82647,607
2015-05-15$81.13$82.0017.4%5.0%18.4%68.4%17.2%4.6%-0.3%-5.1M40.4M-543.3K4.9948.07N/AN/A2,20611,01516,90147,768
2015-05-18$80.88$82.0017.4%5.0%18.4%67.9%18.7%4.8%-1.2%-6.4M55.4M-675.3K0.8545.38N/AN/A37331813,25049,771
2015-05-19$80.60$82.0016.7%4.8%18.4%63.3%18.6%4.2%-0.3%-6.6M59.2M-667.7K2.4245.24N/AN/A11628113,52549,971
2015-05-20$80.61$82.0016.0%4.6%18.4%58.8%17.7%4.1%-0.3%-7.0M62.2M-682.6K6.3353.91N/AN/A1,67010,57813,63550,126
2015-05-21$80.13$82.0016.5%4.7%18.4%62.0%16.1%4.2%-0.4%-7.5M69.8M-684.8K8.6348.42N/AN/A1,22410,55813,83450,213
2015-05-22$80.08$82.0016.1%4.6%18.4%59.4%19.2%3.9%-0.6%-7.4M65.6M-656.9K1.4054.25N/AN/A1,1321,58313,90950,253
2015-05-26$79.45$82.0017.7%5.1%18.6%70.4%18.5%4.4%-1.2%-8.3M80.5M-661.3K1.5157.98N/AN/A1,1121,67913,92250,326
2015-05-27$80.30$82.0016.3%4.7%19.1%60.6%15.8%3.7%-0.5%-7.7M68.1M-630.1K1.6740.15N/AN/A1,0641,77413,94350,382
2015-05-28$80.11$82.0016.1%4.6%17.8%59.1%14.8%4.1%-0.5%-7.9M70.6M-631.8K0.6235.14N/AN/A2,8101,75413,97750,526
2015-05-29$79.05$82.0017.0%4.9%17.5%65.3%18.7%3.0%-1.0%-8.7M81.0M-634.7K1.1938.69N/AN/A1,9922,37614,18850,690