VNQ Options History — December 2018

In December 2018, VNQ traded between $71.76 and $82.95. ATM implied volatility averaged 18.8%, placing in the 68.8% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.3% (HV 20d: 17.4%). Max pain ranged from $79.00 to $82.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 25.47.

Notable Days

  • 2018-12-07: Highest Volume — 128,417 contracts
  • 2018-12-07: Largest IV spike — 39.1% change
  • 2018-12-24: Highest IV Rank — 100.0%
  • 2018-12-24: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.10$71.76$82.95$82.21$74.27
Max Pain$80.20$79.00$82.00$81.00$79.00
ATM IV18.8%12.2%25.7%14.8%21.2%
Expected Move5.4%3.9%7.4%4.2%6.1%
HV 20d17.4%9.9%26.6%9.9%26.0%
HV 60d18.0%16.3%20.6%16.3%20.4%
IV Rank68.8%34.7%100.0%49.3%73.1%
IV Percentile84.6%43.3%100.0%67.9%95.2%
Term Structure-1.1%-4.0%0.5%-2.3%-1.0%
VWIV18.9%13.9%24.3%13.9%15.0%
Skew 25d4.3%3.5%5.1%3.9%4.0%
Skew 10d7.8%4.3%9.7%4.3%7.6%
Call IV 25d17.1%12.0%24.1%12.1%19.5%
Put IV 25d21.4%16.0%28.5%16.0%23.5%
Bid-Ask Spread %29.1216.5240.3540.3520.77
Gamma HHI0.270.190.370.340.36
Net GEX-76.4M-160.6M-33.6M-33.6M-66.1M
Net DEX514.1M90.5M1.18B90.5M609.2M
Net VEX-2.0M-2.6M-1.1M-1.1M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio25.470.14206.820.630.64
Total Volume25,838.15687128,41768713,341
Total OI346,087.75225,711407,501329,811228,596

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$82.21$81.0014.8%4.2%9.9%49.3%13.9%3.9%-2.3%-33.6M90.5M-1.1M0.6340.35N/AN/A42126626,203303,608
2018-12-04$81.17$81.0017.5%5.0%10.4%65.1%16.0%4.0%-3.2%-46.9M180.0M-1.3M206.8236.90N/AN/A611126,36926,398303,653
2018-12-05$81.12$81.0017.8%5.1%10.4%66.8%16.3%4.3%-4.0%-54.7M183.3M-1.3M205.1538.06N/AN/A616126,37326,398303,653
2018-12-06$82.95$82.0012.2%3.9%12.2%34.7%14.0%4.7%0.3%-43.5M173.3M-1.8M0.2838.29N/AN/A87124326,528363,806
2018-12-07$82.35$82.0017.0%4.1%12.6%62.1%23.3%4.6%-0.1%-50.6M210.8M-1.9M73.4438.28N/AN/A1,725126,69226,438363,834
2018-12-10$81.76$81.0013.9%4.3%12.9%44.6%20.0%4.9%0.2%-60.6M271.4M-2.0M0.2132.11N/AN/A1,75836327,997364,171
2018-12-11$81.85$80.0012.7%4.2%12.9%37.7%16.8%4.4%0.5%-56.9M236.3M-1.8M0.1434.72N/AN/A12,5571,81529,312364,391
2018-12-12$80.62$81.0015.4%4.4%14.1%53.0%16.9%4.5%0.5%-81.0M346.8M-2.3M0.7130.25N/AN/A5,6864,04937,748365,499
2018-12-13$79.94$80.0016.7%4.8%14.4%60.1%17.3%3.5%0.0%-77.2M316.2M-2.3M0.5619.76N/AN/A2,1751,22040,360363,950
2018-12-14$79.44$80.0017.3%4.9%14.0%63.6%17.3%3.5%0.1%-87.3M364.9M-2.3M0.4522.62N/AN/A2,7821,25040,818363,331
2018-12-17$76.58$80.0020.4%5.8%18.2%81.5%20.0%4.5%-1.2%-130.8M812.3M-2.6M1.8216.52N/AN/A3,2805,97341,047362,607
2018-12-18$77.51$80.0019.7%5.6%19.0%77.5%21.3%4.1%-0.8%-128.1M682.0M-2.4M6.1622.07N/AN/A1,4028,64242,398365,103
2018-12-19$76.63$80.0020.0%5.7%19.2%75.5%19.9%3.9%-0.4%-140.6M802.5M-2.5M2.9530.58N/AN/A1,5824,67242,779363,086
2018-12-20$75.44$80.0021.8%6.2%19.8%87.4%22.1%4.4%-1.1%-160.6M987.0M-2.4M0.4532.16N/AN/A7,6963,50043,300359,881
2018-12-21$74.73$80.0021.7%6.2%19.9%87.0%20.7%4.5%-2.2%-62.2M1.18B-2.2M3.3329.00N/AN/A3,05310,15942,187351,761
2018-12-24$71.76$79.0025.7%7.4%23.8%100.0%24.3%4.5%-2.3%-58.0M841.5M-2.0M1.6823.55N/AN/A2,7144,55625,298200,413
2018-12-26$73.88$79.0023.7%6.8%26.6%88.4%23.3%5.1%-1.6%-62.6M675.5M-2.1M2.2326.84N/AN/A1,8324,08126,813200,623
2018-12-27$73.81$79.0023.4%6.7%26.2%86.1%23.3%4.9%-1.9%-63.0M673.9M-2.1M0.9225.64N/AN/A3,0612,82526,996201,519
2018-12-28$74.06$79.0022.8%6.5%26.2%82.6%17.0%4.6%-1.0%-64.2M647.4M-2.1M0.8823.91N/AN/A8,8067,74627,588201,664
2018-12-31$74.27$79.0021.2%6.1%26.0%73.1%15.0%4.0%-1.0%-66.1M609.2M-2.0M0.6420.77N/AN/A8,1415,20032,307196,289