VNQ Options History — December 2016

In December 2016, VNQ traded between $79.13 and $83.81. ATM implied volatility averaged 18.2%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 0.4% (HV 20d: 17.8%). Max pain ranged from $78.00 to $83.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2016-12-13: Highest Volume — 17,087 contracts
  • 2016-12-14: Largest IV drop — 15.4% change
  • 2016-12-12: Highest IV Rank — 60.4%
  • 2016-12-01: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.88$79.13$83.81$79.13$82.37
Max Pain$82.52$78.00$83.00$78.00$83.00
ATM IV18.2%15.4%21.6%21.5%18.0%
Expected Move5.1%4.4%6.2%6.2%5.2%
HV 20d17.8%14.8%19.2%18.5%18.3%
HV 60d18.3%17.6%20.2%20.1%17.8%
IV Rank43.4%29.5%60.4%59.6%42.6%
IV Percentile68.6%42.5%93.3%93.3%67.5%
Term Structure1.3%-1.9%3.8%-1.9%0.9%
VWIV18.6%14.1%27.8%27.8%17.2%
Skew 25d3.4%2.0%5.3%3.2%2.7%
Skew 10d6.1%3.1%10.6%6.2%5.8%
Call IV 25d16.3%14.4%20.8%20.8%15.7%
Put IV 25d19.7%17.2%23.9%23.9%18.4%
Bid-Ask Spread %32.3123.9946.4926.3426.82
Gamma HHI0.260.190.350.280.27
Net GEX-3.0M-5.2M-615.6K-5.1M-2.8M
Net DEX30.6M-39.5M98.1M98.1M33.8M
Net VEX-726.2K-836.6K-624.5K-836.6K-710.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.222.380.270.79
Total Volume9,902.1433,79517,08712,4634,519
Total OI89,858.28668,717108,50998,84075,993

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$79.13$78.0021.5%6.2%18.5%59.6%27.8%3.2%-1.9%-5.1M98.1M-836.6K0.2726.34N/AN/A9,8232,64045,73253,108
2016-12-02$79.98$78.0020.4%5.8%18.4%54.3%22.5%3.2%-1.1%-4.7M78.6M-828.4K0.2724.90N/AN/A9,3882,50245,98853,557
2016-12-05$80.58$83.0019.3%5.3%18.4%48.7%20.7%5.3%1.2%-4.5M58.7M-773.3K0.2730.38N/AN/A9,0532,48646,54353,602
2016-12-06$81.03$83.0019.1%5.2%17.8%48.1%21.3%5.1%0.8%-3.3M41.9M-798.7K0.2933.40N/AN/A8,9062,56946,64553,779
2016-12-07$82.77$83.0017.9%5.0%19.0%41.9%18.2%4.5%1.0%-1.6M1.2M-757.7K0.3035.72N/AN/A9,1682,75246,66053,852
2016-12-08$83.23$83.0020.0%5.3%17.8%52.2%20.1%4.4%-0.2%-615.6K-18.4M-781.5K0.4435.26N/AN/A9,2854,11446,87353,773
2016-12-09$83.17$83.0019.4%5.4%16.4%49.6%19.8%3.6%0.8%-737.2K-23.7M-771.3K0.4140.12N/AN/A9,3533,78847,20053,879
2016-12-12$83.66$83.0021.6%5.3%16.4%60.4%17.6%3.7%1.7%-1.7M-31.5M-722.4K0.2925.55N/AN/A10,2002,95647,36754,237
2016-12-13$83.81$83.0021.5%5.1%14.8%59.7%19.7%3.5%2.1%-828.5K-39.5M-698.5K0.2323.99N/AN/A13,9343,15349,85854,367
2016-12-14$82.06$83.0018.2%5.2%16.5%43.4%20.5%3.4%1.8%-1.7M10.3M-729.7K0.2237.90N/AN/A12,8702,83053,87554,531
2016-12-15$81.24$83.0018.4%5.3%17.0%44.3%19.4%2.5%1.9%-4.6M38.1M-704.2K0.2240.67N/AN/A12,3262,71253,70154,730
2016-12-16$82.59$83.0016.5%4.7%17.3%34.9%17.7%3.9%2.9%-4.4M21.6K-677.5K0.2636.24N/AN/A10,4842,72853,73454,775
2016-12-19$83.43$83.0015.4%4.4%17.6%29.7%15.8%2.9%3.8%-2.0M26.2M-636.0K0.8834.36N/AN/A2,3702,09025,58643,131
2016-12-20$83.53$83.0015.9%4.5%17.4%32.0%16.6%3.7%1.3%-1.9M22.0M-624.5K1.2629.96N/AN/A1,6812,11425,80442,994
2016-12-21$82.44$83.0017.5%5.0%17.4%39.9%14.1%4.5%-0.7%-2.1M32.2M-627.8K0.5846.49N/AN/A3,7742,19526,21643,161
2016-12-22$80.67$83.0017.0%4.9%19.2%37.7%16.4%2.4%2.0%-3.4M62.3M-687.1K2.3827.88N/AN/A3,0847,33226,97643,741
2016-12-23$80.86$83.0015.9%4.5%19.1%32.0%15.5%2.1%2.3%-4.2M66.7M-744.1K0.9129.70N/AN/A2,7352,49627,06247,696
2016-12-27$81.05$83.0015.4%4.4%19.1%29.5%15.7%2.0%2.4%-4.1M59.1M-716.5K0.7525.37N/AN/A2,7182,04927,08848,006
2016-12-28$80.53$83.0016.0%4.6%19.0%32.7%16.9%2.6%2.3%-5.2M66.5M-710.1K0.8129.14N/AN/A2,5172,04827,22248,149
2016-12-29$81.45$83.0017.3%5.0%19.2%39.0%16.3%2.5%1.4%-3.8M59.1M-714.8K0.7638.40N/AN/A2,3921,81127,34748,486
2016-12-30$82.37$83.0018.0%5.2%18.3%42.6%17.2%2.7%0.9%-2.8M33.8M-710.5K0.7926.82N/AN/A2,5301,98927,49348,500