VNQ Options History — September 2017

In September 2017, VNQ traded between $82.37 and $85.69. ATM implied volatility averaged 10.2%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 0.7% (HV 20d: 10.9%). Max pain ranged from $83.00 to $85.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 4.14.

Notable Days

  • 2017-09-06: Highest Volume — 45,973 contracts
  • 2017-09-12: Largest IV spike — 25.0% change
  • 2017-09-27: Highest IV Rank — 16.6%
  • 2017-09-06: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.10$82.37$85.69$84.39$83.07
Max Pain$84.70$83.00$85.00$83.00$84.00
ATM IV10.2%8.5%11.5%9.7%9.7%
Expected Move3.0%2.7%3.5%2.8%2.8%
HV 20d10.9%9.5%11.8%11.7%10.9%
HV 60d11.3%10.6%11.8%11.0%10.6%
IV Rank9.1%0.0%16.6%2.7%7.6%
IV Percentile9.9%0.0%26.6%1.6%4.0%
Term Structure1.7%1.0%3.1%2.1%1.7%
VWIV11.1%9.3%13.7%9.5%10.1%
Skew 25d3.0%1.9%4.0%2.2%1.9%
Skew 10d6.6%4.3%9.6%5.0%4.3%
Call IV 25d9.6%8.3%10.9%8.3%9.2%
Put IV 25d12.6%10.5%14.4%10.5%11.1%
Bid-Ask Spread %23.5111.6439.5211.6416.99
Gamma HHI0.220.120.530.370.12
Net GEX7.4M-21.3M65.4M31.6M-11.7M
Net DEX32.3M-101.7M153.5M-60.1M95.6M
Net VEX-1.0M-1.2M-404.0K-454.5K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.140.1610.991.131.71
Total Volume15,191.83,17345,9733,1734,540
Total OI104,283.578,611132,35778,61197,175

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$84.39$83.009.7%2.8%11.7%2.7%9.5%2.2%2.1%31.6M-60.1M-454.5K1.1311.64N/AN/A1,4871,68635,11743,494
2017-09-05$84.12$85.0011.5%3.4%11.8%12.1%12.8%4.0%1.0%23.9M-34.0M-404.0K1.0423.79N/AN/A3,5583,68435,24643,544
2017-09-06$84.31$85.0011.2%3.5%11.6%10.7%11.3%3.4%1.0%31.0M-52.8M-413.5K1.4224.51N/AN/A18,98826,98537,28145,815
2017-09-07$84.77$85.009.8%3.3%11.7%3.2%11.9%3.5%1.3%21.8M-32.1M-946.8K0.1826.85N/AN/A9,5171,75137,39571,096
2017-09-08$84.93$85.009.3%3.2%11.4%0.3%12.2%4.0%1.7%26.1M-42.8M-950.1K0.1627.25N/AN/A11,3141,80337,70071,241
2017-09-11$85.69$85.008.5%3.0%11.2%0.0%12.7%3.5%1.6%47.7M-101.7M-912.1K0.2525.27N/AN/A9,3812,32839,75571,218
2017-09-12$84.62$85.0010.6%3.1%10.9%10.9%12.0%3.4%1.6%30.1M-31.6M-922.3K7.1039.52N/AN/A2,55218,13139,81771,745
2017-09-13$84.48$85.0011.2%3.2%10.8%14.0%13.7%3.4%2.0%14.3M13.4M-1.1M6.5431.65N/AN/A2,91819,08240,47287,032
2017-09-14$85.18$85.0010.4%3.0%11.1%11.7%9.7%3.2%2.3%65.4M-25.6M-1.1M4.6031.69N/AN/A3,81617,56939,97889,678
2017-09-15$85.36$85.009.7%2.8%10.9%7.4%10.0%3.2%3.1%1.1M-42.4M-1.1M4.1927.66N/AN/A3,16713,27541,49690,861
2017-09-18$84.90$85.009.9%2.8%10.2%8.9%12.0%3.2%2.0%-377.2K28.6M-1.1M10.9822.81N/AN/A2,27124,93127,21262,105
2017-09-19$84.32$85.0010.7%3.1%10.0%13.4%13.7%3.0%1.7%-12.5M81.5M-1.2M7.6817.77N/AN/A2,61220,05427,63374,539
2017-09-20$84.07$85.0010.6%3.1%10.0%13.4%10.6%3.2%1.5%-14.7M99.7M-1.2M6.0538.96N/AN/A2,22113,43727,57875,835
2017-09-21$83.97$85.009.9%2.8%9.5%8.7%9.9%2.7%1.9%-16.6M108.1M-1.2M5.4026.04N/AN/A2,59514,00127,60576,284
2017-09-22$82.58$85.009.6%2.7%11.1%6.6%9.4%2.4%1.7%-19.7M141.0M-1.2M2.0817.43N/AN/A2,2574,69927,61177,177
2017-09-25$82.94$85.0010.0%2.9%11.0%9.5%9.8%2.5%1.2%-18.7M126.2M-1.2M2.6915.52N/AN/A1,6254,37727,56578,124
2017-09-26$83.16$84.0010.4%3.0%10.5%12.0%10.1%2.4%1.6%-17.8M116.8M-1.2M2.3116.34N/AN/A1,5363,55227,86978,256
2017-09-27$82.37$84.0011.2%3.2%11.0%16.6%11.8%2.6%1.0%-21.3M153.5M-1.2M10.9914.73N/AN/A1,35814,92227,91478,153
2017-09-28$82.74$84.0010.4%3.0%11.0%11.8%9.3%2.7%1.6%-12.5M104.8M-1.2M6.3413.75N/AN/A1,3428,51427,91869,136
2017-09-29$83.07$84.009.7%2.8%10.9%7.6%10.1%1.9%1.7%-11.7M95.6M-1.1M1.7116.99N/AN/A1,6762,86427,93969,236