VNQ Options History — April 2016

In April 2016, VNQ traded between $80.98 and $83.78. ATM implied volatility averaged 14.0%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.1% (HV 20d: 13.9%). Max pain ranged from $81.00 to $83.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2016-04-11: Highest Volume — 7,428 contracts
  • 2016-04-20: Largest IV spike — 18.1% change
  • 2016-04-21: Highest IV Rank — 30.9%
  • 2016-04-07: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.86$80.98$83.78$83.75$81.84
Max Pain$82.57$81.00$83.00$81.00$82.00
ATM IV14.0%11.8%15.6%12.1%15.6%
Expected Move4.1%3.4%4.5%3.5%4.5%
HV 20d13.9%10.6%16.4%16.0%12.0%
HV 60d18.5%16.9%20.1%20.1%17.0%
IV Rank22.6%11.8%30.9%13.3%30.5%
IV Percentile26.6%2.0%45.2%5.6%43.7%
Term Structure0.8%0.3%1.5%1.3%0.3%
VWIV14.6%12.5%16.4%12.5%16.4%
Skew 25d3.8%2.7%5.0%2.7%2.9%
Skew 10d7.8%5.3%10.0%5.3%6.8%
Call IV 25d12.7%10.8%14.4%11.2%14.4%
Put IV 25d16.5%13.9%17.9%13.9%17.3%
Bid-Ask Spread %20.4014.2130.4816.7715.38
Gamma HHI0.150.140.170.150.16
Net GEX1.7M-682.0K4.4M944.4K929.7K
Net DEX-16.2M-35.1M19.6M-27.8M7.1M
Net VEX-735.7K-826.4K-526.0K-803.9K-683.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.482.260.782.26
Total Volume4,978.7623,6237,4286,0583,891
Total OI87,306.38184,62690,11186,03888,411

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$83.75$81.0012.1%3.5%16.0%13.3%12.5%2.7%1.3%944.4K-27.8M-803.9K0.7816.77N/AN/A3,3942,66420,27865,760
2016-04-04$83.54$82.0012.4%3.9%16.1%14.8%14.0%3.8%0.3%1.1M-21.3M-793.9K0.7722.01N/AN/A3,4712,68220,52365,983
2016-04-05$83.00$83.0014.6%4.3%16.4%25.7%15.0%4.6%0.4%142.2K-17.0M-798.5K0.7419.09N/AN/A3,4372,53620,38365,999
2016-04-06$83.25$83.0014.0%4.3%15.8%22.9%15.1%4.3%0.6%365.0K-20.4M-750.9K0.7427.12N/AN/A3,3172,44420,52466,045
2016-04-07$82.64$83.0014.5%4.5%16.1%25.2%16.3%4.0%0.6%-368.2K-10.4M-804.1K0.8123.37N/AN/A3,4542,81020,52566,340
2016-04-08$83.13$83.0013.8%4.3%16.0%21.9%15.8%5.0%1.0%327.8K-16.7M-826.4K0.8019.32N/AN/A3,3422,68720,61566,764
2016-04-11$83.11$83.0015.4%4.2%14.0%29.8%13.6%4.3%1.1%787.0K-19.4M-760.6K0.4821.40N/AN/A5,0162,41220,76366,819
2016-04-12$83.49$83.0014.2%4.3%13.9%23.8%14.3%4.7%0.5%2.7M-30.8M-801.0K0.8224.24N/AN/A3,1442,58522,84166,813
2016-04-13$83.21$83.0014.5%4.2%14.0%25.4%14.6%4.5%0.9%2.6M-30.8M-746.3K0.8527.01N/AN/A2,8812,45322,88166,914
2016-04-14$82.74$83.0013.4%3.8%13.6%19.9%13.4%3.8%1.5%2.1M-21.8M-763.3K1.0923.73N/AN/A2,2942,49623,00366,928
2016-04-15$83.40$83.0012.9%3.7%13.1%17.4%13.1%3.7%1.0%2.6M-33.2M-744.1K1.0430.48N/AN/A2,2192,31223,11866,993
2016-04-18$83.77$83.0011.8%3.4%13.1%11.8%14.0%3.4%1.3%3.7M-25.1M-730.2K2.0415.29N/AN/A1,2742,60221,20463,422
2016-04-19$83.78$83.0011.9%3.4%10.6%12.2%13.0%3.2%1.2%4.4M-35.1M-655.0K1.6417.90N/AN/A1,3872,27521,29263,909
2016-04-20$82.36$83.0014.0%4.0%12.5%22.8%14.3%3.7%1.0%1.9M-11.1M-690.9K2.0215.92N/AN/A1,2002,42321,42964,041
2016-04-21$80.98$83.0015.6%4.5%13.9%30.9%15.6%3.6%0.5%-682.0K19.6M-751.0K1.4016.95N/AN/A1,8942,65121,30864,334
2016-04-22$81.80$82.0014.6%4.2%14.3%25.7%14.9%3.5%1.1%454.1K11.6M-764.7K1.6421.38N/AN/A1,6022,62021,83964,760
2016-04-25$82.39$82.0014.9%4.3%14.3%27.2%14.9%3.6%0.4%1.3M-1.8M-728.3K1.6219.26N/AN/A1,6062,60522,18264,902
2016-04-26$82.75$82.0014.7%4.2%12.0%26.0%16.2%3.7%0.5%4.1M-30.8M-526.0K2.0514.21N/AN/A1,3402,74222,45864,989
2016-04-27$82.77$82.0014.0%4.0%12.0%22.5%14.6%3.2%0.9%3.2M-15.6M-675.3K2.0718.86N/AN/A1,4312,95922,61865,183
2016-04-28$82.45$82.0014.6%4.2%11.8%25.5%15.2%3.6%0.5%2.6M-10.0M-651.4K1.9718.66N/AN/A1,3472,65522,67165,670
2016-04-29$81.84$82.0015.6%4.5%12.0%30.5%16.4%2.9%0.3%929.7K7.1M-683.2K2.2615.38N/AN/A1,1932,69822,68965,722