VNQ Options History — December 2017

In December 2017, VNQ traded between $81.27 and $85.61. ATM implied volatility averaged 10.2%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 2.8%. IV traded above realized volatility by 1.1% (HV 20d: 9.1%). Max pain ranged from $83.00 to $85.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.07.

Notable Days

  • 2017-12-08: Highest Volume — 10,645 contracts
  • 2017-12-13: Largest IV drop — 44.9% change
  • 2017-12-21: Highest IV Rank — 37.9%
  • 2017-12-01: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.60$81.27$85.61$84.47$83.00
Max Pain$83.85$83.00$85.00$85.00$83.00
ATM IV10.2%6.2%12.9%12.5%9.4%
Expected Move2.8%1.8%3.6%3.6%2.7%
HV 20d9.1%6.2%13.1%7.4%13.0%
HV 60d8.5%7.1%9.5%8.4%9.5%
IV Rank24.0%0.0%37.9%30.6%27.2%
IV Percentile24.8%0.0%68.7%61.9%4.8%
Term Structure1.5%-1.3%2.9%-1.3%1.5%
VWIV13.0%9.0%19.2%13.0%9.0%
Skew 25d3.6%1.9%4.8%3.3%2.3%
Skew 10d7.4%4.5%10.2%10.2%6.6%
Call IV 25d9.0%6.8%10.9%10.9%8.5%
Put IV 25d12.6%10.8%14.5%14.2%10.8%
Bid-Ask Spread %16.017.4731.8816.428.46
Gamma HHI0.180.130.550.130.14
Net GEX-6.1M-26.1M50.7M-5.5M-456.0K
Net DEX34.6M-37.9M104.8M34.8M13.2M
Net VEX-776.4K-976.2K-673.6K-976.2K-673.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.071.193.602.201.30
Total Volume7,665.855,30810,6457,7885,308
Total OI106,525.879,433127,082122,41086,300

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$84.47$85.0012.5%3.6%7.4%30.6%13.0%3.3%-1.3%-5.5M34.8M-976.2K2.2016.42N/AN/A2,4315,35738,19784,213
2017-12-04$84.16$84.0012.9%3.3%7.5%33.9%14.0%4.1%1.1%-8.7M43.0M-914.9K2.6620.95N/AN/A2,0345,41938,27984,250
2017-12-05$83.53$84.0011.3%3.1%7.6%21.5%16.3%4.6%1.3%-20.7M85.2M-889.3K2.0723.24N/AN/A3,1746,58438,41384,240
2017-12-06$83.37$84.0012.8%3.4%7.1%33.0%15.5%4.8%1.0%-26.1M104.8M-909.1K2.8331.88N/AN/A2,1206,00938,15385,519
2017-12-07$83.61$84.0011.2%3.1%7.0%20.3%19.2%4.1%1.2%-25.1M90.5M-860.7K2.1719.18N/AN/A2,4945,41338,34385,496
2017-12-08$84.00$84.0010.5%3.1%7.2%15.2%14.5%3.9%1.4%-25.0M67.5M-839.7K2.3622.38N/AN/A3,1717,47438,06285,599
2017-12-11$83.94$84.0011.7%3.0%7.2%24.5%17.9%4.1%1.6%-24.5M58.7M-814.3K2.4421.36N/AN/A3,0807,52839,28487,754
2017-12-12$84.44$84.0012.8%3.0%7.4%32.6%18.8%3.8%1.4%-9.3M11.7M-790.4K2.8019.70N/AN/A1,8805,26940,34885,778
2017-12-13$84.56$84.007.0%2.0%7.4%0.0%12.8%4.4%2.9%-766.9K-5.0M-764.8K2.6018.91N/AN/A2,1145,50340,39785,554
2017-12-14$84.56$84.008.8%2.5%6.5%15.6%11.8%3.9%2.5%-3.6M1.3M-742.5K2.1617.45N/AN/A2,1524,65540,43586,487
2017-12-15$85.07$84.008.7%2.5%6.2%15.0%11.3%4.0%2.4%50.7M-37.9M-695.8K1.9321.19N/AN/A2,5494,90740,48686,596
2017-12-18$85.61$84.006.2%1.8%6.4%0.0%9.5%4.4%2.3%9.7M-34.7M-683.9K1.8713.12N/AN/A2,9415,49026,52052,913
2017-12-19$83.84$84.008.8%2.5%9.9%22.7%11.2%4.3%1.9%414.5K21.4M-714.7K3.6012.28N/AN/A2,2788,19127,53753,546
2017-12-20$82.91$84.009.4%2.7%10.3%27.5%12.0%3.9%1.9%-6.6M50.2M-723.2K1.829.79N/AN/A3,1085,64327,99956,447
2017-12-21$81.27$84.0010.7%3.1%12.3%37.9%10.4%2.5%1.4%-9.0M62.1M-681.0K1.408.61N/AN/A2,5503,57327,67356,847
2017-12-22$81.82$84.009.8%2.8%12.6%30.4%10.8%2.4%1.6%-6.8M49.9M-740.4K1.199.59N/AN/A2,7643,28528,21556,586
2017-12-26$82.24$83.0010.2%2.9%12.8%34.3%11.1%1.9%1.5%-4.4M27.5M-687.5K1.349.54N/AN/A2,4133,24129,01856,750
2017-12-27$82.56$83.009.4%2.7%12.9%27.7%10.8%2.8%1.7%-3.8M28.8M-717.4K1.268.59N/AN/A2,4253,06529,27156,887
2017-12-28$82.99$83.009.7%2.8%13.1%29.6%10.3%3.1%1.3%-1.7M18.6M-708.0K1.287.47N/AN/A2,5063,21929,23456,890
2017-12-29$83.00$83.009.4%2.7%13.0%27.2%9.0%2.3%1.5%-456.0K13.2M-673.6K1.308.46N/AN/A2,3083,00029,35356,947