VNQ Options History — July 2017

In July 2017, VNQ traded between $81.21 and $84.34. ATM implied volatility averaged 11.5%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 1.1% (HV 20d: 12.6%). Max pain ranged from $83.00 to $84.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.49.

Notable Days

  • 2017-07-21: Highest Volume — 21,069 contracts
  • 2017-07-06: Largest IV spike — 18.7% change
  • 2017-07-06: Highest IV Rank — 24.3%
  • 2017-07-06: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.23$81.21$84.34$84.29$84.34
Max Pain$83.85$83.00$84.00$84.00$84.00
ATM IV11.5%10.0%13.7%10.1%10.8%
Expected Move3.3%2.9%3.9%2.9%3.1%
HV 20d12.6%8.7%13.5%8.7%12.8%
HV 60d10.6%9.5%11.1%9.5%10.2%
IV Rank12.3%4.4%24.3%4.8%8.4%
IV Percentile18.0%2.0%48.4%2.0%9.5%
Term Structure-0.2%-1.2%1.1%1.1%0.1%
VWIV11.7%10.1%14.2%10.1%12.6%
Skew 25d2.9%2.0%3.6%2.0%3.3%
Skew 10d7.3%4.6%10.2%7.5%7.7%
Call IV 25d10.5%9.2%12.4%9.2%9.9%
Put IV 25d13.4%11.2%15.8%11.2%13.2%
Bid-Ask Spread %19.2612.0132.3532.3518.27
Gamma HHI0.240.170.440.210.21
Net GEX-696.3K-23.6M12.8M5.4M12.8M
Net DEX-2.1M-52.5M75.8M-42.4M-44.6M
Net VEX-582.5K-678.2K-489.8K-590.5K-649.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.490.7116.601.591.33
Total Volume5,525.62,93821,0692,9893,025
Total OI66,527.357,56272,98657,56272,962

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$84.29$84.0010.1%2.9%8.7%4.8%10.1%2.0%1.1%5.4M-42.4M-590.5K1.5932.35N/AN/A1,1521,83727,93929,623
2017-07-05$83.22$84.0011.6%3.3%9.8%12.8%10.8%3.5%0.3%3.8M-15.1M-538.3K4.0024.74N/AN/A1,1304,52028,02429,720
2017-07-06$81.55$84.0013.7%3.9%12.0%24.3%13.8%3.4%-0.7%95.5K50.3M-529.1K2.3324.26N/AN/A1,1952,78828,08032,407
2017-07-07$82.05$84.0012.0%3.7%12.3%15.3%14.2%3.6%-0.7%-1.1M43.8M-548.2K1.6519.14N/AN/A1,3952,30428,04533,294
2017-07-10$81.27$84.0013.5%3.8%12.4%22.9%12.7%3.3%0.1%-476.4K63.3M-504.1K2.0721.42N/AN/A1,6203,35128,16233,566
2017-07-11$81.21$84.0012.8%3.8%11.8%19.2%12.4%3.5%-1.2%355.3K75.8M-489.8K1.1718.57N/AN/A2,3662,75828,45834,916
2017-07-12$82.19$84.0012.4%3.6%12.8%17.2%11.4%2.9%0.1%-1.9M51.4M-538.1K0.8919.12N/AN/A2,3912,13027,91135,504
2017-07-13$82.31$84.0012.4%3.6%12.7%17.2%11.4%3.3%-0.6%-1.4M46.7M-530.1K0.7116.82N/AN/A3,4792,45628,04135,558
2017-07-14$83.13$84.0011.6%3.3%13.1%13.0%10.5%2.9%-0.8%-5.5M17.3M-547.1K0.9415.73N/AN/A2,3452,19529,25635,907
2017-07-17$83.66$83.0010.8%3.1%13.3%8.4%10.4%2.6%-0.3%-9.0M-10.7M-546.6K1.6617.37N/AN/A2,3993,99129,43335,886
2017-07-18$83.57$83.0010.5%3.0%13.3%7.0%12.5%2.5%-0.1%-10.8M-3.7M-570.7K1.2517.28N/AN/A3,2053,99929,60538,022
2017-07-19$84.14$83.0011.1%3.2%13.5%10.2%10.3%2.4%-0.6%-10.6M-45.3M-587.2K1.4416.23N/AN/A2,8014,02931,66838,042
2017-07-20$83.86$84.0010.4%3.0%13.5%6.3%10.5%2.4%0.7%-23.5M-33.9M-573.5K5.8619.78N/AN/A1,1746,87932,33938,165
2017-07-21$83.69$84.0010.0%2.9%13.5%4.4%10.6%2.4%0.2%-23.6M-5.1M-560.2K16.6019.01N/AN/A1,19719,87232,37638,398
2017-07-24$83.66$84.0010.7%3.1%13.5%8.3%11.3%2.9%-0.7%8.5M-24.2M-657.1K1.3312.01N/AN/A1,4361,90329,45541,285
2017-07-25$83.62$84.0011.1%3.2%13.2%10.1%11.5%3.1%-0.6%8.4M-22.6M-670.2K1.0215.19N/AN/A1,6091,64829,61841,617
2017-07-26$84.33$84.0011.3%3.2%13.4%11.0%11.1%2.7%-0.1%11.6M-45.1M-678.2K1.2221.54N/AN/A1,3251,61330,10041,652
2017-07-27$84.34$84.0011.8%3.4%13.4%14.0%13.2%2.4%-0.6%11.8M-52.5M-668.8K1.1917.92N/AN/A1,4631,73630,82741,699
2017-07-28$84.13$84.0011.3%3.2%12.8%11.2%12.4%3.0%0.0%11.2M-45.1M-673.0K1.6318.53N/AN/A1,4422,35431,18141,805
2017-07-31$84.34$84.0010.8%3.1%12.8%8.4%12.6%3.3%0.1%12.8M-44.6M-649.7K1.3318.27N/AN/A1,2971,72831,20841,754