VNQ Options History — October 2016

In October 2016, VNQ traded between $80.26 and $85.40. ATM implied volatility averaged 18.6%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 0.9% (HV 20d: 17.8%). Max pain ranged from $82.00 to $85.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.36.

Notable Days

  • 2016-10-03: Highest Volume — 51,565 contracts
  • 2016-10-05: Largest IV spike — 11.6% change
  • 2016-10-31: Highest IV Rank — 55.9%
  • 2016-10-31: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.90$80.26$85.40$85.40$81.81
Max Pain$84.57$82.00$85.00$85.00$82.00
ATM IV18.6%16.6%20.7%17.3%20.7%
Expected Move5.4%4.8%5.9%4.9%5.9%
HV 20d17.8%13.8%24.4%23.9%16.8%
HV 60d16.7%16.1%17.6%16.1%17.6%
IV Rank45.7%35.5%55.9%38.8%55.9%
IV Percentile80.2%61.5%94.4%72.2%94.4%
Term Structure0.0%-3.5%1.0%0.5%-3.5%
VWIV19.9%16.3%22.3%17.2%19.7%
Skew 25d4.7%3.0%5.8%4.2%3.0%
Skew 10d9.4%5.3%11.6%8.1%5.3%
Call IV 25d16.5%15.0%18.2%15.2%18.2%
Put IV 25d21.2%19.5%23.0%19.5%21.2%
Bid-Ask Spread %31.8221.3283.1824.5283.18
Gamma HHI0.180.140.240.140.18
Net GEX-10.3M-16.8M-3.3M-10.1M-3.3M
Net DEX133.8M92.9M181.7M111.4M97.6M
Net VEX-1.0M-1.2M-910.3K-1.1M-989.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.360.066.980.060.49
Total Volume13,260.5713,95651,56551,56513,499
Total OI88,891.33378,16697,95388,69989,113

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$85.40$85.0017.3%4.9%23.9%38.8%17.2%4.2%0.5%-10.1M111.4M-1.1M0.0624.52N/AN/A48,6022,96320,59268,107
2016-10-04$83.89$85.0018.3%5.2%24.3%43.7%17.8%4.9%0.8%-11.3M141.8M-1.2M0.0926.96N/AN/A40,9983,53428,08968,476
2016-10-05$82.44$85.0020.4%5.8%24.4%54.2%20.1%5.0%-0.3%-12.8M176.9M-1.2M1.5822.61N/AN/A1,7642,77928,24569,110
2016-10-06$82.30$85.0020.4%5.7%24.3%54.1%20.9%5.1%0.2%-12.9M181.7M-1.2M4.9525.31N/AN/A2,57412,73628,59969,354
2016-10-07$82.23$85.0018.8%5.6%20.3%46.6%20.7%5.6%0.2%-10.6M158.3M-1.1M5.7324.98N/AN/A2,16512,41427,91060,644
2016-10-10$82.74$85.0019.0%5.5%19.8%47.2%19.8%5.8%-0.1%-11.3M150.5M-1.1M5.7421.32N/AN/A2,13712,26427,79160,975
2016-10-11$81.86$85.0020.0%5.7%16.1%52.5%20.1%3.8%-0.2%-11.3M167.1M-1.0M6.9828.40N/AN/A1,76512,31227,83761,075
2016-10-12$82.81$85.0018.7%5.4%16.7%46.0%19.7%4.7%-0.1%-11.9M152.7M-1.0M6.9637.22N/AN/A1,75412,20327,77061,283
2016-10-13$83.42$85.0018.9%5.4%16.9%46.8%21.7%5.8%-0.3%-11.8M134.4M-1.0M1.5929.09N/AN/A1,5982,53727,82261,113
2016-10-14$83.22$85.0018.8%5.4%16.9%46.4%21.7%4.7%0.3%-12.0M132.9M-1.0M1.4528.73N/AN/A1,6262,36328,08361,254
2016-10-17$83.35$85.0018.9%5.4%16.6%46.7%22.3%4.8%0.2%-13.2M132.1M-986.7K1.4428.95N/AN/A1,6192,33728,19561,291
2016-10-18$83.80$85.0018.1%5.2%16.7%43.2%20.5%5.0%0.4%-14.3M114.7M-951.7K1.3729.60N/AN/A1,7352,37928,27261,297
2016-10-19$83.99$85.0017.8%5.1%16.1%41.5%21.5%4.8%0.7%-16.8M113.7M-944.6K2.5431.84N/AN/A2,2705,77228,38161,196
2016-10-20$83.73$85.0017.3%5.0%14.4%38.9%20.9%4.7%1.0%-14.5M122.4M-969.9K1.3633.62N/AN/A1,8512,51929,04760,931
2016-10-21$83.42$85.0017.6%5.0%14.3%40.4%16.3%5.0%1.0%-7.6M139.6M-938.4K0.8731.01N/AN/A3,2832,84429,08860,953
2016-10-24$83.60$85.0017.3%5.0%14.3%39.1%19.2%4.9%0.4%-5.6M95.4M-910.3K0.4833.44N/AN/A5,4292,59123,59854,568
2016-10-25$83.58$84.0016.6%4.8%13.8%35.5%19.4%4.6%0.3%-4.2M92.9M-964.2K1.8735.67N/AN/A2,4134,51227,41254,667
2016-10-26$82.49$84.0017.9%5.1%13.8%42.0%19.3%4.7%0.1%-6.4M116.8M-921.5K2.7632.13N/AN/A1,6984,69228,26354,747
2016-10-27$80.26$84.0020.0%5.7%16.2%52.2%18.9%4.0%-0.6%-9.2M155.9M-916.9K0.8530.18N/AN/A11,6219,83128,34755,026
2016-10-28$80.52$82.0019.1%5.5%16.4%47.8%20.9%4.7%-0.1%-5.1M121.3M-988.8K0.4729.38N/AN/A9,8304,65936,77351,424
2016-10-31$81.81$82.0020.7%5.9%16.8%55.9%19.7%3.0%-3.5%-3.3M97.6M-989.2K0.4983.18N/AN/A9,0524,44737,73051,383