VNQ Options History — January 2017

In January 2017, VNQ traded between $81.77 and $84.48. ATM implied volatility averaged 14.6%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 0.9% (HV 20d: 15.5%). Max pain ranged from $81.00 to $83.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.53.

Notable Days

  • 2017-01-31: Highest Volume — 78,918 contracts
  • 2017-01-11: Largest IV spike — 14.6% change
  • 2017-01-03: Highest IV Rank — 35.7%
  • 2017-01-06: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.12$81.77$84.48$82.60$82.44
Max Pain$82.05$81.00$83.00$83.00$82.00
ATM IV14.6%13.2%16.6%16.6%13.8%
Expected Move4.3%3.8%4.8%4.8%4.0%
HV 20d15.5%12.0%18.7%18.0%12.1%
HV 60d17.8%16.4%18.3%17.8%16.4%
IV Rank25.6%18.7%35.7%35.7%21.9%
IV Percentile31.7%12.3%55.2%55.2%21.4%
Term Structure1.1%-0.3%2.2%1.2%2.0%
VWIV15.0%12.8%17.5%16.0%12.8%
Skew 25d2.8%1.8%3.8%2.8%2.6%
Skew 10d5.5%3.9%7.5%5.0%6.5%
Call IV 25d13.8%11.8%15.7%15.7%12.7%
Put IV 25d16.5%14.7%18.4%18.4%15.3%
Bid-Ask Spread %32.7120.1445.9828.9925.47
Gamma HHI0.210.150.270.260.19
Net GEX2.2M-10.5M9.3M-2.4M-457.5K
Net DEX-1.8M-32.7M28.0M24.6M10.7M
Net VEX-578.5K-669.4K-514.0K-669.4K-537.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.454.440.453.06
Total Volume10,371.254,29778,9187,31578,918
Total OI80,23066,64592,50276,30173,218

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$82.60$83.0016.6%4.8%18.0%35.7%16.0%2.8%1.2%-2.4M24.6M-669.4K0.4528.99N/AN/A5,0432,27227,78948,512
2017-01-04$84.05$83.0016.3%4.7%18.7%34.0%15.8%3.0%0.9%1.5M-14.9M-641.9K1.4837.65N/AN/A2,5593,77730,37749,009
2017-01-05$84.23$81.0014.6%4.5%18.7%25.9%16.9%3.3%2.2%3.4M-24.7M-638.8K0.8837.02N/AN/A2,3762,08030,52350,968
2017-01-06$84.48$82.0014.7%4.8%17.3%26.4%15.7%2.7%1.2%4.0M-32.7M-600.8K1.1430.01N/AN/A4,1044,66830,63450,973
2017-01-09$83.56$82.0013.7%4.6%17.7%21.3%17.5%2.5%1.2%5.1M-12.6M-647.1K1.1945.98N/AN/A3,2243,84232,43253,377
2017-01-10$82.88$82.0013.6%4.6%17.9%20.7%16.4%2.6%-0.3%2.7M4.4M-631.5K1.1545.02N/AN/A3,2623,76133,36453,413
2017-01-11$82.42$82.0015.6%4.5%17.9%30.5%15.9%2.5%1.2%1.2M19.5M-647.0K1.6137.36N/AN/A2,9944,81133,82353,507
2017-01-12$82.70$82.0015.0%4.3%17.9%27.5%15.9%2.8%1.0%3.6M16.2M-591.3K1.0743.68N/AN/A3,0823,31233,86052,416
2017-01-13$82.71$82.0014.8%4.2%16.2%26.8%15.1%2.3%1.3%3.9M13.6M-606.0K2.8231.89N/AN/A2,9918,43833,95652,429
2017-01-17$83.21$82.0015.6%4.5%15.8%30.7%14.9%2.6%0.9%113.6K2.8M-569.8K1.3526.65N/AN/A2,5133,39234,03557,459
2017-01-18$83.36$82.0015.2%4.4%14.8%28.9%14.9%3.3%1.0%5.4M-14.7M-556.0K1.2836.72N/AN/A2,6223,35734,28757,512
2017-01-19$82.49$82.0015.6%4.5%14.8%30.7%15.4%3.7%0.3%-10.5M28.0M-559.5K1.4439.03N/AN/A2,6593,81634,53457,525
2017-01-20$83.15$82.0013.6%3.9%15.1%20.7%12.9%3.2%1.3%9.3M-5.0M-524.0K0.5336.06N/AN/A7,1613,77034,68557,817
2017-01-23$83.92$82.0014.0%4.0%14.6%22.7%13.6%2.3%1.5%4.5M-17.3M-545.4K1.5521.98N/AN/A2,0103,11122,28444,361
2017-01-24$83.85$82.0013.2%3.8%12.0%18.7%12.8%2.5%1.2%5.3M-21.2M-527.7K1.3620.14N/AN/A2,0302,76922,91444,555
2017-01-25$83.28$82.0013.9%4.0%12.4%22.4%13.7%1.8%0.7%4.7M-18.8M-521.1K1.7824.21N/AN/A1,5462,75123,55644,589
2017-01-26$83.11$82.0013.4%3.8%12.4%19.6%13.6%2.8%1.5%4.2M-17.7M-514.0K1.1123.64N/AN/A2,5262,81523,58544,285
2017-01-27$82.24$82.0013.9%4.0%12.9%22.1%15.4%3.8%1.0%2.0M-1.0M-514.8K4.4430.81N/AN/A1,5346,81524,77144,189
2017-01-30$81.77$82.0014.6%4.2%12.5%25.6%14.7%2.5%0.4%-3.2M24.9M-526.5K0.9031.91N/AN/A2,4812,23324,85548,222
2017-01-31$82.44$82.0013.8%4.0%12.1%21.9%12.8%2.6%2.0%-457.5K10.7M-537.6K3.0625.47N/AN/A19,42059,49824,80448,414