VNQ Options History — November 2018

In November 2018, VNQ traded between $77.99 and $81.92. ATM implied volatility averaged 17.1%, placing in the 62.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.7% (HV 20d: 16.4%). Max pain ranged from $78.00 to $83.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 5.80.

Notable Days

  • 2018-11-14: Highest Volume — 95,382 contracts
  • 2018-11-12: Largest IV spike — 32.8% change
  • 2018-11-02: Highest IV Rank — 78.3%
  • 2018-11-02: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.26$77.99$81.92$78.67$81.92
Max Pain$81.71$78.00$83.00$78.00$81.00
ATM IV17.1%13.8%19.8%18.5%15.3%
Expected Move4.9%4.4%5.7%5.3%4.4%
HV 20d16.4%10.6%21.0%20.8%10.7%
HV 60d16.5%16.2%16.8%16.2%16.5%
IV Rank62.5%43.5%78.3%70.8%52.7%
IV Percentile83.7%70.2%96.8%91.7%71.4%
Term Structure-2.2%-3.0%-0.5%-0.5%-2.8%
VWIV18.2%13.9%21.6%19.0%13.9%
Skew 25d4.3%3.6%5.2%4.0%3.9%
Skew 10d8.6%5.1%12.4%8.4%5.6%
Call IV 25d14.9%12.9%17.9%17.4%12.9%
Put IV 25d19.3%16.7%22.4%21.4%16.7%
Bid-Ask Spread %34.0325.9742.3727.9841.29
Gamma HHI0.230.200.310.240.31
Net GEX-60.0M-77.8M-38.2M-63.6M-38.2M
Net DEX278.9M123.6M511.0M458.0M123.6M
Net VEX-1.9M-2.8M-1.1M-2.8M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.800.9841.182.350.98
Total Volume13,574.0953,53895,3825,2223,678
Total OI310,643.381296,048330,311296,048330,311

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$78.67$78.0018.5%5.3%20.8%70.8%19.0%4.0%-0.5%-63.6M458.0M-2.8M2.3527.98N/AN/A1,5573,66523,999272,049
2018-11-02$77.99$78.0019.8%5.7%21.0%78.3%19.5%4.5%-1.7%-77.4M511.0M-2.7M0.9825.97N/AN/A4,5844,48024,131272,473
2018-11-05$79.07$83.0019.7%5.3%20.7%77.4%16.7%5.2%-1.9%-60.8M396.9M-2.6M1.0334.40N/AN/A2,8692,95827,196272,820
2018-11-06$79.37$83.0018.7%5.2%20.8%71.6%18.2%4.8%-1.9%-57.5M369.3M-2.5M2.1233.81N/AN/A1,4173,00928,434272,901
2018-11-07$80.41$83.0015.6%4.7%20.9%54.1%17.2%4.0%-2.0%-53.6M228.2M-2.0M1.9042.37N/AN/A1,4992,84328,435272,981
2018-11-08$80.49$83.0015.4%4.7%17.7%52.9%18.3%4.2%-2.8%-43.8M246.3M-2.1M1.4339.65N/AN/A1,8572,65428,480272,866
2018-11-09$80.65$83.0013.8%4.4%17.2%43.5%19.4%4.2%-1.9%-43.5M234.4M-2.1M1.5035.42N/AN/A1,6712,51428,462272,892
2018-11-12$80.79$83.0018.3%4.8%16.8%69.4%19.0%4.7%-2.0%-46.3M204.1M-1.9M2.2032.08N/AN/A1,6633,65628,462272,894
2018-11-13$80.77$83.0017.0%4.7%16.3%62.0%17.4%4.5%-1.7%-47.8M192.7M-1.8M1.5232.65N/AN/A1,6602,52128,419274,037
2018-11-14$80.61$83.0017.4%5.0%16.2%64.6%19.7%4.9%-3.0%-49.1M217.7M-1.9M32.8635.15N/AN/A2,81792,56528,559274,110
2018-11-15$79.74$82.0017.9%5.1%16.8%67.1%20.0%4.6%-2.8%-69.4M415.5M-2.4M1.7434.94N/AN/A3,0065,23128,619298,751
2018-11-16$80.82$82.0016.4%4.7%17.2%59.0%17.5%4.1%-2.1%-62.0M232.9M-1.8M1.8534.29N/AN/A2,1914,05328,079298,723
2018-11-19$80.75$82.0016.9%4.8%16.3%61.5%17.5%5.1%-2.4%-64.9M256.7M-1.8M1.9527.66N/AN/A1,4922,90325,605289,619
2018-11-20$80.27$82.0017.8%5.1%16.6%66.8%21.6%4.5%-2.5%-65.6M346.7M-2.1M1.8331.76N/AN/A1,4622,68125,656289,801
2018-11-21$80.19$82.0017.1%4.9%16.2%62.8%17.8%3.8%-2.5%-74.1M286.2M-1.8M1.6733.38N/AN/A1,8873,14325,685289,904
2018-11-23$79.98$81.0017.3%5.0%15.8%64.1%19.0%4.7%-2.1%-73.3M304.9M-1.7M1.5732.40N/AN/A1,3762,16226,094290,483
2018-11-26$80.03$81.0017.2%4.9%12.3%63.3%20.2%4.6%-2.7%-77.8M283.4M-1.6M2.6526.61N/AN/A1,5574,12426,147290,491
2018-11-27$80.43$81.0016.6%4.8%12.2%60.1%17.2%3.7%-2.5%-74.3M218.9M-1.4M1.2935.44N/AN/A1,5481,99226,258286,259
2018-11-28$81.04$81.0015.3%4.4%11.1%52.6%17.1%3.6%-1.7%-52.6M137.2M-1.1M41.1835.25N/AN/A1,50061,77526,292286,209
2018-11-29$81.39$81.0016.2%4.6%10.6%57.4%16.9%3.9%-2.7%-64.4M192.7M-1.5M17.2642.22N/AN/A1,90832,92826,382303,543
2018-11-30$81.92$81.0015.3%4.4%10.7%52.7%13.9%3.9%-2.8%-38.2M123.6M-1.3M0.9841.29N/AN/A1,8531,82526,725303,586