VNQ Options History — September 2015

In September 2015, VNQ traded between $72.34 and $76.92. ATM implied volatility averaged 20.8%, placing in the 64.1% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 3.4% (HV 20d: 24.2%). Max pain ranged from $73.00 to $80.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.48.

Notable Days

  • 2015-09-14: Highest Volume — 31,980 contracts
  • 2015-09-24: Largest IV spike — 57.7% change
  • 2015-09-01: Highest IV Rank — 100.0%
  • 2015-09-01: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.51$72.34$76.92$72.52$75.60
Max Pain$74.33$73.00$80.00$80.00$74.00
ATM IV20.8%12.0%27.2%27.2%18.1%
Expected Move5.9%3.4%7.8%7.8%5.2%
HV 20d24.2%16.9%27.9%24.3%16.9%
HV 60d17.9%17.3%18.3%17.3%18.1%
IV Rank64.1%14.4%100.0%100.0%49.0%
IV Percentile89.1%18.3%100.0%100.0%83.7%
Term Structure0.0%-4.6%4.1%-4.6%0.3%
VWIV20.0%13.8%26.2%26.2%19.6%
Skew 25d5.4%3.6%7.0%5.8%4.6%
Skew 10d10.2%6.2%16.5%11.1%11.4%
Call IV 25d18.6%14.0%25.5%25.5%16.3%
Put IV 25d24.0%20.0%31.4%31.4%21.0%
Bid-Ask Spread %79.4368.9696.9268.9682.14
Gamma HHI0.200.100.370.370.11
Net GEX-2.8M-9.0M1.6M-9.0M1.6M
Net DEX58.9M1.4M142.0M142.0M7.1M
Net VEX-575.7K-843.3K-318.0K-810.9K-455.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.115.982.231.74
Total Volume9,331.95281231,9805,4405,485
Total OI62,566.71447,81381,69772,34951,150

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$72.52$80.0027.2%7.8%24.3%100.0%26.2%5.8%-4.6%-9.0M142.0M-810.9K2.2368.96N/AN/A1,6843,75615,54156,808
2015-09-02$73.30$80.0024.6%7.1%24.9%86.5%24.2%4.9%-2.7%-8.9M131.5M-792.6K2.6871.88N/AN/A1,3773,69016,08956,985
2015-09-03$73.66$73.0022.9%6.1%25.0%77.3%19.9%6.2%-0.2%-8.9M120.6M-792.6K0.3874.79N/AN/A8,2773,12416,26957,420
2015-09-04$72.34$73.0025.8%6.9%25.4%92.6%20.5%7.0%1.1%-7.7M135.9M-843.3K0.6077.99N/AN/A4,9122,94423,41257,462
2015-09-08$73.29$73.0025.5%6.3%26.1%90.3%22.3%6.8%-0.8%-6.8M123.6M-826.8K0.5084.37N/AN/A54127123,50157,433
2015-09-09$72.39$73.0023.5%6.7%26.0%79.1%20.2%6.6%-2.7%-7.3M125.4M-822.7K0.5584.63N/AN/A4,9712,72623,93857,430
2015-09-10$72.59$73.0021.4%6.1%25.9%67.4%20.6%5.3%0.1%-7.4M131.8M-814.5K0.5882.17N/AN/A4,8462,78924,01657,548
2015-09-11$73.89$74.0020.1%5.8%27.1%59.9%19.5%4.3%1.3%-8.4M97.9M-714.1K5.8176.52N/AN/A4,69027,22824,02957,668
2015-09-14$74.01$74.0020.6%5.9%27.0%62.6%18.8%4.7%0.8%-1.1M44.7M-450.4K5.9878.17N/AN/A4,58327,39724,14135,123
2015-09-15$74.77$74.0021.7%6.2%27.0%69.2%20.1%5.8%-1.2%82.2K31.9M-421.3K0.1184.72N/AN/A7,00576024,14035,211
2015-09-16$75.59$74.0020.2%5.8%27.5%60.8%19.5%5.7%0.3%-2.6M32.7M-318.0K0.3882.81N/AN/A7,9683,00518,59235,652
2015-09-17$76.43$74.0020.0%5.7%27.9%59.7%18.3%3.6%1.0%665.7K21.2M-410.0K0.9196.92N/AN/A3,9473,61021,96435,797
2015-09-18$76.27$74.0018.5%5.3%27.9%51.0%19.4%5.9%1.4%1.4M10.2M-423.2K0.5187.18N/AN/A6,5023,29824,36636,271
2015-09-21$76.92$74.0016.5%4.7%27.5%40.0%19.2%4.9%1.5%1.3M1.4M-447.2K0.7378.42N/AN/A4,3363,16518,39829,415
2015-09-22$75.88$74.0018.7%5.4%22.9%52.0%17.1%4.9%0.8%700.7K9.5M-471.7K0.8278.20N/AN/A3,8223,13519,05229,478
2015-09-23$75.72$74.0012.0%3.4%20.7%14.4%13.8%6.8%4.1%1.1M5.6M-436.3K0.7574.61N/AN/A4,0163,00719,03929,593
2015-09-24$74.98$74.0018.9%5.4%20.0%53.2%18.3%5.0%0.2%938.6K13.0M-473.6K1.0775.80N/AN/A2,8413,03520,16729,703
2015-09-25$75.35$74.0018.3%5.3%19.1%50.0%19.0%4.2%0.8%1.3M10.2M-451.5K1.0776.23N/AN/A3,0843,28720,17229,739
2015-09-28$74.23$74.0021.8%6.3%19.8%69.6%22.0%5.3%-0.8%314.6K23.5M-454.9K1.9873.00N/AN/A1,7833,53420,41929,914
2015-09-29$74.93$74.0020.5%5.9%18.8%62.2%22.0%5.5%0.3%804.2K16.5M-459.0K1.8178.58N/AN/A1,9723,56820,52130,335
2015-09-30$75.60$74.0018.1%5.2%16.9%49.0%19.6%4.6%0.3%1.6M7.1M-455.8K1.7482.14N/AN/A2,0033,48220,72630,424