VNQ Options History — November 2017

In November 2017, VNQ traded between $82.60 and $85.29. ATM implied volatility averaged 10.8%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 3.1% (HV 20d: 7.7%). Max pain ranged from $84.00 to $85.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.16.

Notable Days

  • 2017-11-24: Highest Volume — 16,005 contracts
  • 2017-11-16: Largest IV drop — 15.0% change
  • 2017-11-15: Highest IV Rank — 27.6%
  • 2017-11-15: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.40$82.60$85.29$82.60$84.45
Max Pain$84.76$84.00$85.00$84.00$85.00
ATM IV10.8%9.0%12.1%11.2%11.4%
Expected Move3.1%2.6%3.5%3.2%3.3%
HV 20d7.7%6.3%8.5%6.3%7.9%
HV 60d9.0%8.5%9.9%9.8%8.5%
IV Rank16.8%4.2%27.6%16.6%21.9%
IV Percentile27.0%0.4%51.2%32.5%43.7%
Term Structure0.3%-1.0%1.3%0.5%-0.6%
VWIV11.3%8.3%13.8%12.6%12.3%
Skew 25d3.1%2.3%3.7%3.2%3.0%
Skew 10d7.3%4.1%10.0%9.2%7.2%
Call IV 25d9.8%8.1%10.7%10.7%10.0%
Put IV 25d12.9%10.7%14.1%13.9%13.0%
Bid-Ask Spread %20.8713.7040.3140.3116.56
Gamma HHI0.130.110.150.120.13
Net GEX-4.2M-20.6M6.8M-20.6M-7.4M
Net DEX32.8M-15.9M123.8M123.8M42.8M
Net VEX-967.9K-1.0M-891.9K-1.0M-950.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.425.664.032.34
Total Volume8,098.9524,97316,0057,0517,329
Total OI112,713.381105,357122,093105,477122,093

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$82.60$84.0011.2%3.2%6.3%16.6%12.6%3.2%0.5%-20.6M123.8M-1.0M4.0340.31N/AN/A1,4025,64924,77380,704
2017-11-02$83.30$85.0011.0%3.3%6.9%15.6%11.4%3.3%0.5%-15.8M82.7M-966.5K3.7521.67N/AN/A1,5325,74125,04180,667
2017-11-03$83.10$84.0010.4%3.2%6.8%11.8%13.0%3.7%0.5%-18.2M101.0M-948.8K4.3619.78N/AN/A1,3425,85624,88780,470
2017-11-06$83.70$84.009.7%2.9%7.3%7.6%13.8%3.4%1.0%-13.3M65.5M-891.9K2.3423.08N/AN/A1,4883,48525,04680,594
2017-11-07$84.32$84.0011.1%3.2%7.6%17.1%10.8%2.8%0.8%-8.2M44.7M-954.5K0.8421.27N/AN/A4,0573,41925,34281,414
2017-11-08$84.66$84.0010.6%3.0%7.6%15.8%11.3%3.1%0.6%-3.0M22.2M-950.3K1.4825.68N/AN/A2,8834,25927,88082,040
2017-11-09$84.79$85.0011.5%3.3%7.4%22.6%11.4%3.6%0.3%-1.8M25.5M-1.0M1.5921.54N/AN/A2,3483,73029,36082,543
2017-11-10$84.89$85.0011.7%3.4%7.4%24.6%12.8%3.3%0.5%-1.1M5.1M-970.4K2.4520.49N/AN/A1,4693,60230,14983,247
2017-11-13$85.29$85.0012.0%3.5%7.3%27.1%12.5%3.6%0.2%2.7M-4.8M-979.0K0.8521.13N/AN/A4,3073,66630,32283,721
2017-11-14$85.15$85.0011.6%3.3%7.4%23.3%11.6%3.0%0.1%4.4M-15.9M-971.2K0.4224.35N/AN/A10,9534,58133,43684,167
2017-11-15$84.32$85.0012.1%3.5%8.2%27.6%11.3%3.5%0.2%-1.1M25.3M-1.0M1.0924.68N/AN/A3,7564,08333,41985,690
2017-11-16$84.98$85.0010.3%3.0%8.5%13.8%9.6%3.2%0.4%6.8M-2.5M-998.8K2.0523.55N/AN/A2,5415,20333,79185,975
2017-11-17$84.66$85.009.5%2.7%8.4%7.7%9.6%3.4%1.2%-791.2K22.4M-995.5K1.3120.69N/AN/A3,5714,68633,93286,585
2017-11-20$84.41$85.0010.1%2.9%8.3%12.5%9.4%2.5%0.6%-1.9M32.5M-921.0K1.2217.49N/AN/A4,0544,93233,25272,369
2017-11-21$84.92$85.009.0%2.6%8.2%4.2%9.7%3.2%1.3%3.0M2.1M-930.6K1.9015.93N/AN/A2,3354,43535,00472,973
2017-11-22$84.81$85.009.3%2.7%8.1%6.4%8.3%2.3%0.1%3.4M593.8K-955.7K1.1314.30N/AN/A3,6604,12335,09573,090
2017-11-24$84.95$85.0010.1%2.9%7.5%12.3%12.1%2.8%0.6%5.5M-6.4M-961.9K5.6618.50N/AN/A2,40213,60336,30673,136
2017-11-27$84.58$85.0011.0%3.1%7.7%18.8%11.6%2.5%-1.0%-3.8M20.2M-956.2K1.8516.66N/AN/A2,9705,49436,41280,954
2017-11-28$84.16$85.0011.3%3.2%8.0%21.5%10.7%3.1%-0.7%-9.3M48.3M-971.7K2.2413.70N/AN/A2,3065,17137,44781,915
2017-11-29$84.27$85.0011.6%3.3%8.0%23.4%11.8%3.3%-0.7%-7.8M53.0M-1000.0K2.4416.98N/AN/A2,2275,42837,81383,927
2017-11-30$84.45$85.0011.4%3.3%7.9%21.9%12.3%3.0%-0.6%-7.4M42.8M-950.6K2.3416.56N/AN/A2,1935,13637,96784,126