VNQ Options History — November 2015

In November 2015, VNQ traded between $76.44 and $81.40. ATM implied volatility averaged 16.7%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 1.5% (HV 20d: 18.2%). Max pain ranged from $74.00 to $79.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 2.49.

Notable Days

  • 2015-11-17: Highest Volume — 27,679 contracts
  • 2015-11-30: Largest IV spike — 18.1% change
  • 2015-11-13: Highest IV Rank — 58.8%
  • 2015-11-13: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.66$76.44$81.40$81.40$79.39
Max Pain$75.42$74.00$79.00$79.00$76.00
ATM IV16.7%14.1%19.9%14.1%19.6%
Expected Move4.8%4.0%5.7%4.0%5.6%
HV 20d18.2%13.8%19.5%13.8%19.3%
HV 60d19.5%16.7%21.5%19.7%16.7%
IV Rank40.8%26.1%58.8%26.1%56.2%
IV Percentile71.2%44.0%90.5%44.0%90.1%
Term Structure-0.1%-2.7%1.4%1.4%-2.7%
VWIV16.9%14.8%19.4%14.8%19.4%
Skew 25d3.8%2.7%5.0%3.6%3.9%
Skew 10d7.5%4.9%10.3%8.0%7.8%
Call IV 25d15.2%12.5%17.5%12.5%17.5%
Put IV 25d19.0%16.1%22.4%16.1%21.4%
Bid-Ask Spread %69.6460.8084.8684.8660.80
Gamma HHI0.150.120.230.120.12
Net GEX-451.0K-5.5M4.0M4.0M1.2M
Net DEX13.2M-51.8M58.4M-51.8M1.5M
Net VEX-509.9K-677.8K-330.5K-442.5K-553.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.491.0511.462.043.19
Total Volume6,184.47417627,6795,3391,513
Total OI90,804.89580,437104,73180,437103,382

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$81.40$79.0014.1%4.0%13.8%26.1%14.8%3.6%1.4%4.0M-51.8M-442.5K2.0484.86N/AN/A1,7543,58520,00460,433
2015-11-04$80.28$79.0014.7%4.2%14.9%29.5%15.0%3.4%1.1%3.1M-28.5M-464.8K2.0974.29N/AN/A1,6623,47720,02860,517
2015-11-05$80.72$74.0014.4%4.4%14.7%28.0%16.3%4.4%-0.1%4.0M-39.4M-440.9K1.9963.72N/AN/A1,7063,38920,07660,523
2015-11-06$78.22$74.0015.7%4.8%18.4%35.3%18.9%4.0%0.2%337.1K11.9M-479.2K3.6469.14N/AN/A3431,24920,13960,525
2015-11-09$76.88$75.0017.5%5.0%19.3%45.6%17.1%4.4%0.4%-2.7M36.4M-472.6K1.7270.78N/AN/A37965320,14961,201
2015-11-10$77.80$75.0015.9%4.9%19.5%36.5%17.2%4.9%-0.0%-1.9M4.9M-330.5K2.2172.53N/AN/A1,9134,23620,31861,440
2015-11-11$77.94$75.0017.2%4.9%19.3%43.5%17.1%3.8%-0.0%-570.0K21.6M-468.3K2.0374.22N/AN/A2,0914,24720,42961,866
2015-11-12$77.37$75.0018.1%5.2%19.3%49.0%17.5%4.0%-0.2%-1.6M29.4M-449.7K1.8669.11N/AN/A2,0213,75220,33262,037
2015-11-13$76.44$75.0019.9%5.7%18.8%58.8%19.2%5.0%-0.4%-5.5M35.9M-409.3K2.4372.12N/AN/A2,1225,16220,32062,099
2015-11-16$77.32$75.0018.4%5.3%19.1%50.6%19.3%4.3%-0.0%-3.2M45.8M-494.6K1.6775.47N/AN/A6611020,42863,752
2015-11-17$77.45$75.0018.1%5.2%18.3%49.0%16.9%4.0%-0.5%-2.6M39.6M-490.7K11.4670.05N/AN/A2,22125,45820,46763,774
2015-11-18$78.03$75.0017.2%4.9%18.6%43.6%16.2%4.0%-0.6%-4.2M58.4M-674.7K1.6772.70N/AN/A3,2885,48020,32783,215
2015-11-19$78.34$75.0016.8%4.8%18.7%41.7%17.4%3.5%-0.0%-1.8M45.8M-677.8K2.3773.10N/AN/A2,3365,54421,39183,279
2015-11-20$79.27$75.0015.8%4.5%19.0%35.9%14.8%2.8%-0.0%-1.9M16.9M-607.0K1.0566.81N/AN/A5,4485,73521,42583,306
2015-11-23$79.39$75.0015.4%4.4%18.7%34.0%15.5%2.7%-0.3%2.8M-5.2M-466.5K1.2063.84N/AN/A20825019,33782,067
2015-11-24$78.97$75.0015.9%4.6%18.8%36.5%16.0%3.0%-0.1%-927.4K20.4M-596.3K1.9261.34N/AN/A13425719,48982,171
2015-11-25$79.31$75.0015.5%4.5%18.9%34.4%15.6%3.1%0.4%-46.0K15.0M-598.6K1.6065.06N/AN/A3,2815,24819,56982,355
2015-11-27$79.98$76.0016.6%4.8%19.1%40.5%17.4%3.5%-0.9%2.9M-8.2M-570.9K1.1363.32N/AN/A3,3693,81820,63382,490
2015-11-30$79.39$76.0019.6%5.6%19.3%56.2%19.4%3.9%-2.7%1.2M1.5M-553.4K3.1960.80N/AN/A3611,15220,73582,647