VNQ Options History — June 2017

In June 2017, VNQ traded between $82.63 and $85.15. ATM implied volatility averaged 11.1%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 2.7% (HV 20d: 8.4%). Max pain ranged from $82.00 to $84.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2017-06-14: Highest Volume — 11,304 contracts
  • 2017-06-14: Largest IV drop — 25.5% change
  • 2017-06-13: Highest IV Rank — 28.2%
  • 2017-06-29: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.99$82.63$85.15$82.63$83.39
Max Pain$83.45$82.00$84.00$82.00$84.00
ATM IV11.1%9.2%14.9%10.9%10.8%
Expected Move3.1%2.6%3.3%3.1%3.1%
HV 20d8.4%7.5%9.7%9.5%7.9%
HV 60d9.5%8.9%11.1%11.1%9.3%
IV Rank8.2%0.0%28.2%6.0%8.7%
IV Percentile10.6%0.0%59.1%4.0%7.5%
Term Structure0.6%-0.1%1.6%0.2%0.8%
VWIV11.2%8.6%13.0%11.4%11.7%
Skew 25d2.8%1.2%3.5%2.9%2.8%
Skew 10d5.5%2.6%7.8%4.0%5.8%
Call IV 25d9.7%8.3%10.7%10.0%9.6%
Put IV 25d12.5%10.4%13.6%12.9%12.4%
Bid-Ask Spread %22.7914.0837.4514.0823.85
Gamma HHI0.310.200.830.240.20
Net GEX23.4M1.6M75.1M19.1M3.6M
Net DEX-66.8M-150.0M-12.2M-41.0M-12.2M
Net VEX-574.8K-620.4K-467.7K-549.6K-584.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.211.550.910.99
Total Volume4,684.8642,63511,3042,6354,031
Total OI79,440.59150,992105,32797,18057,311

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$82.63$82.0010.9%3.1%9.5%6.0%11.4%2.9%0.2%19.1M-41.0M-549.6K0.9114.08N/AN/A1,3831,25244,13253,048
2017-06-02$83.44$82.0011.4%3.3%9.7%9.0%11.7%2.3%0.5%28.4M-75.5M-587.6K0.5615.96N/AN/A2,4871,40244,15753,098
2017-06-05$83.22$83.0011.4%3.3%9.4%8.8%12.8%2.7%0.8%27.6M-65.4M-572.8K0.4620.49N/AN/A2,8651,30845,36053,225
2017-06-06$82.85$83.0011.5%3.2%9.3%9.6%12.1%2.9%0.2%24.4M-59.1M-550.1K0.4924.24N/AN/A2,6081,27645,50853,275
2017-06-07$83.28$83.0012.5%3.2%9.0%15.2%12.2%2.6%0.2%28.6M-67.9M-543.2K0.9024.19N/AN/A2,3332,10245,48453,307
2017-06-08$83.08$83.0012.2%3.3%8.4%13.2%13.0%2.9%0.2%26.6M-57.0M-545.5K0.8121.38N/AN/A1,9571,59145,83253,491
2017-06-09$83.58$83.0011.2%3.2%8.4%8.0%11.2%2.9%-0.1%34.1M-81.6M-546.9K0.6228.04N/AN/A2,8971,80245,95353,583
2017-06-12$84.28$83.0013.9%3.2%8.4%22.6%12.3%3.3%0.2%47.1M-126.1M-557.9K0.2122.40N/AN/A8,7281,87346,95053,788
2017-06-13$84.49$83.0014.9%3.3%8.4%28.2%10.8%3.4%0.2%47.2M-122.1M-542.7K0.8323.99N/AN/A2,1941,83246,07953,964
2017-06-14$84.66$83.0011.1%3.2%7.8%7.1%11.8%3.1%0.3%53.4M-150.0M-467.7K1.5537.45N/AN/A4,4296,87546,85854,030
2017-06-15$85.15$84.0011.2%3.2%7.9%7.7%11.9%3.5%0.4%56.7M-142.2M-620.3K0.7226.10N/AN/A2,5001,79845,37459,065
2017-06-16$84.72$84.0010.3%3.0%8.1%3.1%10.9%3.5%1.3%75.1M-102.4M-620.4K0.6023.78N/AN/A3,4502,06646,18359,144
2017-06-19$84.89$84.009.5%2.7%8.0%0.0%10.5%2.8%1.6%4.1M-40.9M-599.2K0.8023.84N/AN/A2,5652,04623,29827,694
2017-06-20$84.56$84.009.6%2.7%8.2%0.2%10.7%3.1%1.5%6.4M-44.2M-522.2K1.2018.42N/AN/A1,5331,84124,65428,116
2017-06-21$84.52$84.0010.3%2.9%8.2%4.0%10.5%3.1%1.2%4.0M-33.4M-609.0K1.3524.22N/AN/A1,2771,72524,78928,374
2017-06-22$84.56$84.009.2%2.6%7.8%0.0%9.1%1.2%0.6%1.6M-38.9M-597.8K0.5527.31N/AN/A2,9441,61724,85128,446
2017-06-23$84.19$84.0010.2%2.9%8.0%5.2%10.4%2.2%0.9%4.5M-44.6M-610.0K1.1921.22N/AN/A1,6061,90925,32528,450
2017-06-26$84.72$84.009.2%2.6%7.5%0.1%8.6%2.8%0.9%6.5M-59.2M-602.1K0.5020.54N/AN/A3,3431,67125,77028,989
2017-06-27$84.12$84.0010.3%3.0%7.9%6.1%10.4%2.9%0.7%6.1M-44.8M-613.5K0.7520.87N/AN/A2,3321,74027,70729,037
2017-06-28$84.12$84.0010.1%2.9%7.8%4.9%10.2%2.2%1.2%6.1M-45.5M-611.7K0.7818.74N/AN/A2,2251,73727,85029,117
2017-06-29$83.25$84.0011.5%3.3%8.6%12.3%12.6%3.1%0.3%3.8M-15.3M-592.1K1.0020.38N/AN/A1,9621,95527,86529,162
2017-06-30$83.39$84.0010.8%3.1%7.9%8.7%11.7%2.8%0.8%3.6M-12.2M-584.2K0.9923.85N/AN/A2,0302,00127,89929,412