VNQ Options History — May 2017

In May 2017, VNQ traded between $80.99 and $83.36. ATM implied volatility averaged 11.9%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 1.4% (HV 20d: 10.5%). Max pain ranged from $80.00 to $82.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2017-05-08: Highest Volume — 31,656 contracts
  • 2017-05-17: Largest IV spike — 13.9% change
  • 2017-05-17: Highest IV Rank — 21.7%
  • 2017-05-17: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.14$80.99$83.36$83.25$82.20
Max Pain$81.73$80.00$82.00$80.00$82.00
ATM IV11.9%10.5%13.7%11.3%11.4%
Expected Move3.4%3.0%3.9%3.2%3.3%
HV 20d10.5%9.1%11.2%9.1%10.2%
HV 60d11.1%10.8%11.3%10.9%11.1%
IV Rank11.8%3.7%21.7%8.2%9.0%
IV Percentile12.6%1.6%36.9%6.0%9.5%
Term Structure0.5%-0.5%1.3%-0.2%0.7%
VWIV11.0%9.7%13.0%10.5%11.3%
Skew 25d2.5%1.4%3.1%1.4%2.1%
Skew 10d4.8%2.6%7.8%2.6%2.9%
Call IV 25d11.0%9.7%12.5%10.6%10.5%
Put IV 25d13.5%11.9%15.4%12.0%12.6%
Bid-Ask Spread %17.4011.9544.1921.3612.52
Gamma HHI0.250.210.310.240.22
Net GEX11.1M1.0M25.4M15.6M15.3M
Net DEX-44.6M-80.5M-12.3M-79.8M-28.9M
Net VEX-586.1K-689.1K-396.0K-465.9K-551.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.371.710.990.84
Total Volume5,163.7272,31031,6562,5072,521
Total OI94,324.579,778110,00379,98297,203

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$83.25$80.0011.3%3.2%9.1%8.2%10.5%1.4%-0.2%15.6M-79.8M-465.9K0.9921.36N/AN/A1,2591,24836,29743,685
2017-05-02$83.00$80.0011.4%3.3%9.2%9.0%10.6%2.1%0.2%15.2M-79.7M-457.0K1.1824.25N/AN/A1,0621,24836,48243,676
2017-05-03$82.07$80.0012.0%3.4%10.0%12.3%13.0%2.7%-0.0%8.4M-40.1M-466.1K1.5144.19N/AN/A1,1301,71036,53643,732
2017-05-04$81.55$82.0013.0%3.4%10.2%17.6%10.9%2.5%1.0%4.9M-27.3M-465.3K0.5119.30N/AN/A3,6491,86436,56143,354
2017-05-05$82.25$82.0012.2%3.5%10.6%13.2%12.0%2.9%0.8%8.6M-44.0M-452.8K0.6818.67N/AN/A2,5621,73136,18843,590
2017-05-08$81.75$82.0011.5%3.3%10.7%9.7%10.7%2.1%1.3%6.4M-35.3M-396.0K0.7518.01N/AN/A18,06913,58736,23843,652
2017-05-09$81.20$82.0012.3%3.7%10.6%13.7%10.4%2.0%0.0%3.2M-18.1M-658.4K1.2517.40N/AN/A1,2551,57344,23455,691
2017-05-10$82.03$82.0012.7%3.6%11.0%16.1%9.7%2.4%0.1%7.7M-45.3M-689.1K1.3315.14N/AN/A1,2641,68744,21255,730
2017-05-11$81.67$82.0012.7%3.7%11.0%16.3%10.4%2.7%0.2%4.0M-25.8M-684.7K1.2616.27N/AN/A1,3131,65444,27155,871
2017-05-12$81.24$82.0012.6%3.6%11.1%15.6%11.3%3.0%0.2%1.1M-12.3M-649.7K0.4214.21N/AN/A4,3231,82744,20455,963
2017-05-15$81.50$82.0012.4%3.6%11.1%14.6%10.6%2.9%-0.1%4.2M-32.2M-634.0K1.3112.01N/AN/A1,6162,12145,29256,031
2017-05-16$80.99$82.0012.0%3.5%10.2%12.5%11.4%2.5%0.5%1.0M-19.2M-607.6K1.7113.42N/AN/A1,5232,60645,55156,240
2017-05-17$81.33$82.0013.7%3.9%10.5%21.7%12.3%2.9%-0.5%2.0M-23.3M-675.0K0.3718.32N/AN/A7,6412,86145,56357,021
2017-05-18$81.93$82.0012.9%3.7%11.1%17.1%11.8%3.1%0.9%9.0M-52.8M-686.7K0.7917.39N/AN/A2,8252,23351,50558,102
2017-05-19$82.24$82.0011.6%3.3%11.2%9.9%9.9%2.5%0.9%15.5M-80.5M-641.1K0.9619.00N/AN/A2,5062,39851,81058,193
2017-05-22$82.57$82.0010.6%3.0%10.7%4.5%10.7%2.2%1.1%16.4M-40.9M-586.5K0.9513.59N/AN/A1,6121,53942,28652,077
2017-05-23$82.58$82.0010.5%3.0%10.5%3.7%11.7%2.3%0.8%18.1M-52.1M-658.1K1.1314.16N/AN/A1,2841,45142,61752,115
2017-05-24$83.28$82.0010.9%3.1%10.8%6.0%10.5%2.6%0.6%24.1M-72.4M-618.1K0.8316.46N/AN/A1,3931,15942,69052,140
2017-05-25$83.36$82.0011.3%3.2%10.7%8.2%11.0%2.5%0.8%25.4M-79.3M-639.7K0.6912.99N/AN/A2,3861,63742,78052,163
2017-05-26$82.64$82.0011.1%3.2%10.5%7.0%10.9%2.8%1.3%19.8M-49.7M-611.8K0.5711.95N/AN/A2,3851,36743,95952,662
2017-05-30$82.46$82.0012.1%3.5%10.2%12.8%11.2%2.7%0.4%18.9M-41.9M-600.1K0.8712.31N/AN/A1,3461,17743,99552,977
2017-05-31$82.20$82.0011.4%3.3%10.2%9.0%11.3%2.1%0.7%15.3M-28.9M-551.2K0.8412.52N/AN/A1,3671,15444,10953,094