VNQ Options History — October 2017

In October 2017, VNQ traded between $81.99 and $84.78. ATM implied volatility averaged 11.0%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 2.4% (HV 20d: 8.6%). Max pain ranged from $84.00 to $84.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.22.

Notable Days

  • 2017-10-20: Highest Volume — 18,474 contracts
  • 2017-10-06: Largest IV spike — 12.8% change
  • 2017-10-30: Highest IV Rank — 29.0%
  • 2017-10-30: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.42$81.99$84.78$83.06$82.22
Max Pain$84.00$84.00$84.00$84.00$84.00
ATM IV11.0%9.3%13.2%10.3%12.1%
Expected Move3.2%2.9%3.8%3.0%3.5%
HV 20d8.6%6.2%10.9%10.7%6.4%
HV 60d10.0%9.8%10.5%10.5%9.8%
IV Rank15.7%5.3%29.0%11.5%22.7%
IV Percentile26.2%1.6%62.7%9.9%47.2%
Term Structure0.8%-0.2%1.7%1.7%0.1%
VWIV12.0%9.5%17.0%10.7%12.4%
Skew 25d2.7%1.6%4.2%1.6%4.2%
Skew 10d5.9%3.2%9.0%4.5%8.1%
Call IV 25d10.2%8.9%11.8%10.1%10.6%
Put IV 25d12.9%11.5%15.5%11.6%14.7%
Bid-Ask Spread %17.5212.8624.6014.6916.34
Gamma HHI0.130.110.170.120.13
Net GEX-8.8M-22.5M4.4M-11.3M-22.5M
Net DEX73.7M7.6M142.3M91.6M142.3M
Net VEX-1.0M-1.1M-933.3K-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.220.657.081.343.00
Total Volume6,305.5453,87918,4744,9837,892
Total OI101,699.81895,636105,41097,879105,410

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$83.06$84.0010.3%3.0%10.7%11.5%10.7%1.6%1.7%-11.3M91.6M-1.1M1.3414.69N/AN/A2,1312,85228,20969,670
2017-10-03$82.87$84.0010.5%3.0%10.7%12.3%10.5%2.1%1.6%-12.3M96.2M-1.1M0.9612.86N/AN/A2,6432,52528,67269,995
2017-10-04$83.31$84.0010.1%2.9%10.9%9.8%9.5%2.5%1.7%-9.9M82.0M-1.1M0.9115.08N/AN/A3,0992,83528,98070,025
2017-10-05$83.63$84.009.3%3.2%10.8%5.3%11.5%2.4%1.2%-6.5M64.2M-1.1M1.0817.43N/AN/A3,0173,25530,09470,303
2017-10-06$83.30$84.0010.5%3.5%10.8%12.8%11.8%2.8%0.7%-8.5M77.1M-1.1M1.4516.41N/AN/A1,7452,53630,62970,732
2017-10-09$83.50$84.0011.7%3.5%10.2%20.2%12.5%2.5%0.7%-7.3M66.9M-1.1M1.4715.85N/AN/A1,5692,31031,09570,865
2017-10-10$83.78$84.0010.3%3.3%9.4%10.9%11.6%2.6%0.9%-7.0M61.9M-1.1M1.3118.26N/AN/A1,7062,24330,87370,868
2017-10-11$84.09$84.0011.3%3.2%9.5%17.6%11.6%2.1%1.1%-4.4M44.0M-1.1M1.3719.97N/AN/A1,6952,32431,07370,903
2017-10-12$84.53$84.0010.9%3.1%9.2%15.2%12.3%2.7%0.8%219.4K28.1M-1.1M0.8617.57N/AN/A2,4712,13031,30570,973
2017-10-13$84.78$84.0010.4%3.0%9.3%12.1%11.9%2.4%1.1%4.4M7.6M-1.0M1.1424.60N/AN/A2,3352,66732,37670,972
2017-10-16$84.38$84.0010.9%3.1%9.2%15.2%11.8%2.2%0.9%2.7M18.1M-1.0M1.2117.65N/AN/A2,4552,97233,42670,764
2017-10-17$84.46$84.0010.8%3.1%8.9%14.1%11.6%2.5%1.0%-2.2M22.4M-982.4K1.2221.39N/AN/A2,3442,85733,42070,935
2017-10-18$84.41$84.0010.3%2.9%8.8%11.1%10.1%2.3%1.4%229.0K19.6M-986.9K0.6522.36N/AN/A3,5842,32433,44471,010
2017-10-19$84.08$84.0010.1%2.9%8.9%10.0%11.5%2.5%0.8%-1.5M36.3M-955.8K1.8617.26N/AN/A1,4422,68534,00371,125
2017-10-20$83.63$84.0010.0%2.9%6.7%9.4%13.9%2.5%1.0%-6.0M68.8M-933.3K5.8016.87N/AN/A2,71615,75834,04871,114
2017-10-23$83.31$84.0011.2%3.2%6.8%16.8%11.2%2.6%0.4%-11.1M70.8M-973.3K2.7016.53N/AN/A1,6684,50024,29871,338
2017-10-24$82.85$84.0011.2%3.2%7.0%16.5%12.7%3.0%1.1%-15.0M99.7M-1.0M3.0913.61N/AN/A1,4224,39124,63673,716
2017-10-25$82.56$84.0011.9%3.4%6.2%21.0%12.4%3.2%0.4%-16.4M111.5M-1.0M1.6018.30N/AN/A2,1443,42624,65673,620
2017-10-26$81.99$84.0012.4%3.6%6.5%24.6%12.5%3.4%0.6%-19.4M137.9M-1.0M4.0117.20N/AN/A1,6486,60124,84974,592
2017-10-27$82.27$84.0013.0%3.7%6.4%27.8%17.0%3.7%-0.1%-19.6M134.5M-1.1M7.0818.91N/AN/A1,2308,71024,79378,560
2017-10-30$82.20$84.0013.2%3.8%6.4%29.0%13.4%3.7%-0.2%-21.0M139.4M-1.0M4.7116.27N/AN/A1,3776,48824,80880,219
2017-10-31$82.22$84.0012.1%3.5%6.4%22.7%12.4%4.2%0.1%-22.5M142.3M-1.0M3.0016.34N/AN/A1,9715,92124,81780,593