VNQ Options History — February 2016

In February 2016, VNQ traded between $71.64 and $77.43. ATM implied volatility averaged 21.0%, placing in the 58.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 2.3% (HV 20d: 23.4%). Max pain ranged from $75.00 to $79.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 5.99.

Notable Days

  • 2016-02-09: Highest Volume — 67,708 contracts
  • 2016-02-08: Largest IV spike — 37.2% change
  • 2016-02-09: Highest IV Rank — 100.0%
  • 2016-02-11: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.13$71.64$77.43$77.25$76.86
Max Pain$78.25$75.00$79.00$75.00$77.00
ATM IV21.0%17.4%29.7%18.7%18.1%
Expected Move6.0%5.0%7.7%5.4%5.2%
HV 20d23.4%20.5%26.0%24.0%20.5%
HV 60d19.7%18.4%20.4%19.5%20.2%
IV Rank58.0%37.0%100.0%50.1%40.5%
IV Percentile82.5%61.5%100.0%78.6%66.3%
Term Structure-0.7%-3.3%0.7%0.3%0.3%
VWIV22.5%18.5%29.7%21.7%20.6%
Skew 25d5.7%3.9%8.1%3.9%5.3%
Skew 10d11.3%8.0%17.0%8.3%8.0%
Call IV 25d18.5%14.0%24.0%16.6%16.6%
Put IV 25d24.1%20.1%31.5%20.5%22.0%
Bid-Ask Spread %55.1918.5881.3574.5677.20
Gamma HHI0.300.240.380.300.24
Net GEX-10.9M-15.7M-5.2M-9.3M-8.2M
Net DEX110.1M45.7M191.2M74.7M77.9M
Net VEX-751.3K-907.5K-635.9K-659.2K-844.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.990.8927.241.0610.56
Total Volume18,135.24,29867,7084,33525,751
Total OI79,949.2575,30190,47675,30190,476

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$77.25$75.0018.7%5.4%24.0%50.1%21.7%3.9%0.3%-9.3M74.7M-659.2K1.0674.56N/AN/A2,1062,22910,70264,599
2016-02-02$76.43$76.0020.8%5.9%23.5%62.0%23.4%4.8%0.4%-10.6M91.3M-702.3K0.8972.35N/AN/A2,2742,02410,92164,710
2016-02-03$76.99$75.0019.6%5.6%22.3%55.4%22.0%4.3%0.7%-9.7M84.3M-685.8K1.2838.67N/AN/A2,2492,87511,06765,090
2016-02-04$77.00$79.0019.3%5.7%22.3%53.3%21.7%5.9%-1.2%-9.7M83.8M-684.8K0.9139.63N/AN/A2,2482,05311,11665,641
2016-02-05$75.55$79.0019.8%6.0%22.6%56.6%24.4%6.5%-0.8%-12.1M110.8M-717.9K1.1534.19N/AN/A2,2822,61511,12665,659
2016-02-08$73.35$79.0027.2%7.2%24.0%99.7%23.1%6.0%-3.3%-15.5M162.3M-757.7K0.9530.28N/AN/A2,7392,61511,16966,174
2016-02-09$71.95$79.0029.7%7.5%24.3%100.0%27.7%8.1%-2.5%-15.7M191.2M-773.9K27.2425.08N/AN/A2,39865,31011,64366,336
2016-02-10$72.51$79.0024.3%7.0%24.7%72.3%27.3%8.0%-1.1%-13.2M165.4M-907.5K15.3426.79N/AN/A2,26634,76911,88569,194
2016-02-11$71.64$79.0026.7%7.7%24.5%85.0%29.7%7.5%-3.0%-14.0M186.0M-899.1K6.3418.58N/AN/A2,31414,67611,99968,994
2016-02-12$72.31$79.0024.6%7.1%24.9%74.2%27.5%6.8%-1.9%-13.9M169.7M-869.7K4.8634.67N/AN/A2,97114,43212,24068,540
2016-02-16$73.64$79.0022.1%6.3%25.9%61.3%20.8%5.6%-0.7%-13.2M136.9M-823.9K4.9364.48N/AN/A2,90814,34113,10768,567
2016-02-17$74.29$79.0020.8%6.0%26.0%54.8%23.8%6.2%0.7%-12.2M115.7M-785.4K5.6966.27N/AN/A2,65015,08413,20868,667
2016-02-18$74.97$79.0019.3%5.5%24.2%46.7%20.7%4.5%0.7%-11.5M102.5M-775.5K4.7162.64N/AN/A3,14014,78913,30169,282
2016-02-19$75.47$79.0019.3%5.5%24.2%46.7%20.3%4.4%-0.1%-9.9M91.2M-745.2K4.7766.52N/AN/A3,14114,96913,53969,304
2016-02-22$76.15$79.0018.2%5.2%22.6%41.3%19.5%5.0%-1.1%-8.8M77.6M-684.5K6.4567.93N/AN/A2,28714,74811,47967,076
2016-02-23$76.00$79.0018.0%5.2%22.5%40.3%19.0%4.7%-0.1%-9.2M82.2M-689.0K4.9874.34N/AN/A2,92014,54011,66367,845
2016-02-24$75.83$79.0019.0%5.5%21.3%45.5%19.9%5.1%-0.8%-9.2M89.6M-729.3K5.3773.72N/AN/A2,70014,51012,41268,192
2016-02-25$77.43$79.0017.4%5.0%21.6%37.0%18.5%6.1%0.3%-7.8M63.8M-654.3K4.0074.49N/AN/A4,08516,35612,48668,411
2016-02-26$77.08$77.0017.5%5.0%21.5%37.8%19.2%5.0%-0.5%-5.2M45.7M-635.9K8.3381.35N/AN/A2,82423,51613,91167,254
2016-02-29$76.86$77.0018.1%5.2%20.5%40.5%20.6%5.3%0.3%-8.2M77.9M-844.3K10.5677.20N/AN/A2,22823,52314,27576,201