VNQ Options History — May 2016

In May 2016, VNQ traded between $81.48 and $86.55. ATM implied volatility averaged 15.8%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.6% (HV 20d: 16.4%). Max pain ranged from $80.00 to $82.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2016-05-18: Highest Volume — 32,036 contracts
  • 2016-05-06: Largest IV drop — 10.4% change
  • 2016-05-19: Highest IV Rank — 49.0%
  • 2016-05-19: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.92$81.48$86.55$83.16$83.84
Max Pain$81.43$80.00$82.00$82.00$82.00
ATM IV15.8%13.2%19.3%15.0%14.8%
Expected Move4.6%3.9%5.5%4.3%4.3%
HV 20d16.4%13.2%18.8%13.4%17.0%
HV 60d15.7%14.8%17.2%17.2%15.4%
IV Rank31.8%19.0%49.0%27.9%26.9%
IV Percentile48.4%18.3%79.8%40.1%40.9%
Term Structure0.3%-1.0%1.1%0.6%0.1%
VWIV16.3%14.5%20.2%16.6%15.3%
Skew 25d3.8%2.6%4.7%3.8%3.2%
Skew 10d8.1%6.6%10.1%7.9%7.1%
Call IV 25d14.3%13.0%17.4%13.2%13.9%
Put IV 25d18.1%15.8%21.9%17.1%17.1%
Bid-Ask Spread %24.2015.8934.4916.6227.05
Gamma HHI0.180.150.200.150.20
Net GEX6.1M810.2K16.6M5.1M4.3M
Net DEX-42.2M-120.2M19.8M-37.8M-18.6M
Net VEX-712.2K-982.8K-469.3K-495.4K-850.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.112.112.111.43
Total Volume11,962.4293,67132,0363,7465,032
Total OI106,759.1988,453125,02088,453123,081

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$83.16$82.0015.0%4.3%13.4%27.9%16.6%3.8%0.6%5.1M-37.8M-495.4K2.1116.62N/AN/A1,2062,54022,70765,746
2016-05-03$83.24$82.0015.5%4.4%13.2%30.1%16.2%3.8%-0.0%5.2M-38.0M-480.6K1.9818.16N/AN/A1,2392,45122,74866,002
2016-05-04$84.49$82.0015.7%4.5%14.2%31.2%15.5%3.4%0.4%6.2M-61.9M-501.2K1.5016.65N/AN/A1,4712,20022,66666,109
2016-05-05$84.62$80.0014.8%4.3%13.9%26.6%17.0%4.3%0.7%5.2M-49.9M-674.0K1.7322.17N/AN/A1,3892,40222,92666,220
2016-05-06$85.55$80.0013.2%4.3%14.2%19.0%15.0%3.8%0.6%7.5M-83.1M-469.3K1.3317.93N/AN/A1,6282,16722,98166,237
2016-05-09$86.55$80.0014.0%4.1%14.7%22.6%16.1%4.0%1.1%5.2M-79.7M-652.7K1.4215.89N/AN/A1,7842,53623,24466,433
2016-05-10$86.46$81.0015.0%4.3%14.7%27.8%16.5%3.9%0.9%5.0M-82.1M-655.7K1.1217.50N/AN/A2,2082,47523,41966,811
2016-05-11$84.62$81.0015.8%4.5%16.8%31.8%14.5%4.2%0.6%5.7M-49.9M-660.2K0.5719.70N/AN/A4,0022,30123,63567,263
2016-05-12$85.13$81.0015.9%4.6%16.7%32.3%17.4%4.4%0.7%7.2M-63.8M-680.2K1.0217.66N/AN/A2,4332,49025,97767,362
2016-05-13$84.40$81.0017.2%4.9%16.9%38.7%17.2%4.3%0.1%9.0M-67.2M-490.1K0.1122.47N/AN/A26,7512,88626,31067,664
2016-05-16$85.20$81.0016.6%4.8%17.1%35.7%16.3%4.3%0.5%16.6M-120.2M-787.0K0.1122.56N/AN/A26,3692,94050,83468,376
2016-05-17$84.30$81.0017.3%5.0%17.6%39.3%15.9%3.5%0.1%14.0M-79.6M-982.8K0.1233.91N/AN/A26,0493,01851,25469,030
2016-05-18$82.23$82.0018.9%5.4%18.8%46.7%20.2%4.7%-0.8%6.6M-23.4M-680.9K0.2034.49N/AN/A26,7155,32151,90370,429
2016-05-19$81.48$82.0019.3%5.5%18.0%49.0%18.5%3.9%-1.0%810.2K19.8M-894.7K0.1233.23N/AN/A27,3083,25152,09372,856
2016-05-20$82.07$82.0017.5%5.0%17.9%40.0%17.1%3.9%0.5%3.2M4.8M-901.8K0.1325.08N/AN/A26,0213,51152,12272,898
2016-05-23$82.05$82.0016.6%4.8%17.7%35.7%16.3%3.7%0.2%3.0M4.6M-855.1K1.7324.82N/AN/A2,1233,66447,75270,816
2016-05-24$83.06$82.0015.6%4.5%18.2%30.6%15.6%3.8%0.6%4.3M-11.6M-878.0K1.9032.38N/AN/A2,0373,86748,09472,020
2016-05-25$83.03$82.0015.3%4.4%18.2%29.3%15.2%3.4%0.5%3.4M-7.7M-850.0K1.5127.39N/AN/A1,9022,87348,25973,190
2016-05-26$83.27$82.0014.7%4.2%18.1%26.1%15.4%2.6%0.2%5.6M-26.6M-640.4K1.7133.58N/AN/A1,8773,20648,39773,523
2016-05-27$83.65$82.0013.7%3.9%17.9%21.4%14.9%2.7%0.5%4.1M-14.1M-874.9K1.8228.97N/AN/A1,9743,59448,50674,050
2016-05-31$83.84$82.0014.8%4.3%17.0%26.9%15.3%3.2%0.1%4.3M-18.6M-850.4K1.4327.05N/AN/A2,0712,96148,70074,381