VNQ Options History — November 2016

In November 2016, VNQ traded between $78.19 and $81.20. ATM implied volatility averaged 20.2%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.6% (HV 20d: 19.6%). Max pain ranged from $77.00 to $85.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2016-11-18: Highest Volume — 12,262 contracts
  • 2016-11-28: Largest IV spike — 8.6% change
  • 2016-11-04: Highest IV Rank — 74.9%
  • 2016-11-01: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.61$78.19$81.20$80.03$80.57
Max Pain$81.71$77.00$85.00$82.00$78.00
ATM IV20.2%16.3%24.6%23.7%19.8%
Expected Move5.6%4.7%6.8%6.8%5.7%
HV 20d19.6%16.9%22.4%17.4%17.9%
HV 60d19.2%18.0%20.0%18.0%19.9%
IV Rank53.4%34.3%74.9%70.4%51.5%
IV Percentile82.9%54.8%98.0%97.6%84.9%
Term Structure-0.4%-2.9%1.2%-2.9%-1.3%
VWIV20.0%16.3%24.9%23.7%18.2%
Skew 25d4.3%2.6%6.7%6.0%3.5%
Skew 10d8.8%4.9%12.7%4.9%8.1%
Call IV 25d17.9%15.2%19.9%19.9%18.5%
Put IV 25d22.2%18.6%25.9%25.9%22.0%
Bid-Ask Spread %29.6618.3188.2383.8027.75
Gamma HHI0.230.190.260.220.24
Net GEX-5.9M-9.9M-3.3M-5.0M-4.1M
Net DEX118.5M46.2M164.4M126.7M65.7M
Net VEX-882.7K-971.8K-816.6K-971.8K-826.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.263.783.780.31
Total Volume8,220.7144,30412,2625,74111,730
Total OI94,056.38189,295102,78289,29597,559

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$80.03$82.0023.7%6.8%17.4%70.4%23.7%6.0%-2.9%-5.0M126.7M-971.8K3.7883.80N/AN/A1,2014,54037,89651,399
2016-11-02$79.06$82.0022.4%6.4%16.9%64.3%24.9%6.4%-1.7%-6.7M148.1M-944.7K1.6888.23N/AN/A1,6072,69737,93851,736
2016-11-03$78.20$85.0024.1%6.1%17.2%72.4%19.3%4.1%-0.2%-7.3M163.2M-929.1K0.8420.53N/AN/A4,3713,65238,16952,040
2016-11-04$78.87$85.0024.6%5.9%17.6%74.9%19.7%6.7%-0.6%-6.1M152.8M-921.6K2.5418.31N/AN/A1,4563,70539,71551,630
2016-11-07$80.03$85.0023.6%5.7%18.4%70.4%18.5%4.6%-0.8%-4.8M126.7M-921.5K2.3220.63N/AN/A1,4073,26839,91951,649
2016-11-08$80.83$85.0021.8%5.4%18.5%61.4%18.1%6.2%-0.6%-3.4M112.5M-916.5K2.5320.00N/AN/A1,2613,19340,05551,777
2016-11-09$79.49$85.0020.0%5.7%18.7%52.5%21.4%5.7%-0.4%-6.0M142.0M-895.0K2.5324.30N/AN/A1,3343,37140,06251,889
2016-11-10$78.19$85.0020.8%6.0%19.0%56.2%19.1%4.5%-0.3%-7.4M164.4M-871.8K1.9221.35N/AN/A1,8963,64040,22251,697
2016-11-11$78.66$85.0020.9%6.0%19.3%56.6%22.8%4.3%-0.6%-6.9M155.6M-885.3K1.1821.35N/AN/A4,7585,60240,56651,976
2016-11-14$80.41$85.0020.7%5.9%21.2%56.0%21.0%5.1%-1.4%-4.6M121.4M-919.6K0.8725.57N/AN/A3,2662,82940,62654,108
2016-11-15$79.69$85.0019.7%5.6%21.2%50.9%20.9%3.5%-0.6%-7.4M139.5M-880.6K1.7922.23N/AN/A1,6482,94240,06354,152
2016-11-16$79.56$85.0019.3%5.5%21.1%48.8%19.1%3.8%0.4%-8.8M146.0M-867.1K1.1922.33N/AN/A2,3432,78740,19454,356
2016-11-17$78.80$85.0019.0%5.4%21.3%47.3%20.9%2.6%0.8%-9.9M157.8M-859.0K0.3129.03N/AN/A8,8332,74141,03454,434
2016-11-18$78.94$77.0018.0%5.2%21.3%42.5%20.3%3.9%0.3%-8.3M116.4M-879.4K0.2622.87N/AN/A9,7242,53848,27654,506
2016-11-21$78.69$77.0017.1%4.9%21.2%37.9%18.2%3.2%1.0%-4.0M93.4M-888.2K0.2924.68N/AN/A8,5682,49843,08851,769
2016-11-22$80.08$77.0016.9%4.8%22.4%36.9%20.3%3.7%-0.5%-5.3M81.5M-830.1K0.2926.73N/AN/A8,9212,58743,23652,041
2016-11-23$79.75$77.0016.3%4.7%22.1%34.3%20.7%3.4%0.9%-5.1M89.7M-816.6K0.2826.30N/AN/A8,7792,48343,79252,113
2016-11-25$80.18$77.0017.4%5.0%20.0%39.4%16.3%2.7%1.2%-4.5M75.5M-844.9K0.3125.65N/AN/A8,8512,71443,99052,217
2016-11-28$80.54$77.0018.9%5.4%20.0%46.7%18.1%3.4%-0.8%-4.4M62.8M-820.2K0.3024.69N/AN/A8,6972,61344,14952,421
2016-11-29$81.20$77.0019.7%5.7%19.4%51.1%17.8%2.8%-0.7%-3.3M46.2M-846.8K0.2926.49N/AN/A8,9702,61444,15952,566
2016-11-30$80.57$78.0019.8%5.7%17.9%51.5%18.2%3.5%-1.3%-4.1M65.7M-826.9K0.3127.75N/AN/A8,9802,75044,74552,814