VNQ Options History — April 2017

In April 2017, VNQ traded between $82.70 and $85.52. ATM implied volatility averaged 11.7%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.6% (HV 20d: 9.2%). Max pain ranged from $80.00 to $81.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.02.

Notable Days

  • 2017-04-07: Highest Volume — 4,064 contracts
  • 2017-04-12: Largest IV spike — 28.2% change
  • 2017-04-12: Highest IV Rank — 19.3%
  • 2017-04-12: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.08$82.70$85.52$82.72$82.70
Max Pain$80.16$80.00$81.00$81.00$80.00
ATM IV11.7%9.8%13.7%11.0%9.8%
Expected Move3.5%2.8%3.9%3.1%2.8%
HV 20d9.2%6.5%13.8%13.8%9.1%
HV 60d11.3%11.0%11.7%11.7%11.0%
IV Rank7.9%0.0%19.3%2.3%0.0%
IV Percentile9.5%0.0%31.0%0.8%0.0%
Term Structure1.0%-0.0%3.6%2.6%2.7%
VWIV12.3%10.5%15.2%11.4%10.5%
Skew 25d2.5%1.5%3.5%3.3%2.9%
Skew 10d5.3%1.0%8.1%4.1%1.0%
Call IV 25d11.1%9.0%12.3%9.0%9.5%
Put IV 25d13.6%11.1%15.6%12.2%12.4%
Bid-Ask Spread %27.4915.8767.1720.7467.17
Gamma HHI0.200.130.340.130.23
Net GEX16.5M9.8M22.2M9.8M13.1M
Net DEX-140.6M-218.9M-74.1M-74.1M-74.5M
Net VEX-647.0K-800.5K-492.2K-800.5K-502.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.451.720.751.10
Total Volume2,5331,8234,0642,1022,613
Total OI92,167.05378,17799,05993,29879,287

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$82.72$81.0011.0%3.1%13.8%2.3%11.4%3.3%2.6%9.8M-74.1M-800.5K0.7520.74N/AN/A1,20290041,14252,156
2017-04-04$82.79$81.0010.4%3.0%13.7%0.0%11.1%2.4%3.6%10.8M-79.9M-795.9K0.4523.79N/AN/A2,16898141,29752,176
2017-04-05$83.00$81.0010.9%3.1%11.9%2.9%10.5%1.5%2.1%13.5M-97.1M-771.2K1.0519.27N/AN/A92796942,46852,378
2017-04-06$83.35$80.0012.5%3.9%10.8%11.9%13.9%2.5%0.8%14.2M-103.7M-739.1K0.7734.83N/AN/A1,3921,07642,50152,617
2017-04-07$83.53$80.0010.4%3.5%10.5%0.0%13.5%2.5%0.6%16.4M-122.7M-733.5K0.5925.48N/AN/A2,5571,50743,01652,619
2017-04-10$83.97$80.0011.4%3.5%10.6%5.7%12.9%2.3%1.1%18.6M-141.1M-719.4K1.3225.07N/AN/A1,1701,54844,19652,918
2017-04-11$84.55$80.0010.7%3.8%10.7%2.1%14.1%2.6%0.1%19.1M-167.0M-696.2K0.4723.00N/AN/A2,6861,25244,35652,968
2017-04-12$84.40$80.0013.7%3.9%7.6%19.3%15.2%2.6%1.0%18.6M-168.6M-724.9K0.8226.81N/AN/A1,4621,19345,13552,985
2017-04-13$84.37$80.0013.6%3.9%7.4%18.2%13.1%2.9%0.5%20.0M-164.1M-705.6K0.9925.94N/AN/A1,1501,14045,13352,990
2017-04-17$84.66$80.0013.6%3.9%7.3%18.7%12.7%3.5%0.0%17.1M-175.8M-651.1K1.0043.94N/AN/A1,1361,13345,40353,021
2017-04-18$85.52$80.0012.5%3.6%7.9%12.1%12.1%3.1%0.9%17.4M-215.6M-609.1K0.6722.00N/AN/A1,6461,10145,48152,958
2017-04-19$85.29$80.0013.2%3.8%7.9%16.2%13.3%2.4%0.3%18.7M-218.9M-552.1K1.7224.65N/AN/A9381,61745,49152,963
2017-04-20$85.27$80.0012.6%3.6%6.6%12.9%12.0%2.4%0.5%18.5M-208.5M-594.3K1.6420.94N/AN/A1,0021,64645,54553,514
2017-04-21$85.15$80.0013.0%3.7%6.5%15.0%13.7%2.6%-0.0%22.2M-204.0M-592.5K1.5321.77N/AN/A8461,29545,45953,593
2017-04-24$84.13$80.0012.1%3.5%8.2%9.8%11.9%2.2%0.3%14.3M-110.2M-573.8K1.2327.59N/AN/A1,0381,27635,43442,743
2017-04-25$84.55$80.0010.7%3.1%7.3%2.0%10.8%2.1%0.7%17.3M-125.0M-532.6K1.0815.87N/AN/A89496235,69343,230
2017-04-26$83.93$80.0010.6%3.0%8.0%1.1%10.6%1.6%1.3%17.2M-115.4M-505.7K1.0824.48N/AN/A87694735,81243,235
2017-04-27$83.56$80.0010.4%3.0%8.2%0.2%10.9%2.1%0.6%16.9M-105.3M-492.2K1.0328.91N/AN/A92795435,94743,314
2017-04-28$82.70$80.009.8%2.8%9.1%0.0%10.5%2.9%2.7%13.1M-74.5M-502.8K1.1067.17N/AN/A1,2431,37035,96543,322