VNQ Options History — March 2010

In March 2010, VNQ traded between $44.91 and $49.86. ATM implied volatility averaged 21.2%, placing in the 1.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.8% (HV 20d: 16.5%). Max pain ranged from $42.00 to $49.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.70.

Notable Days

  • 2010-03-25: Highest Volume — 548 contracts
  • 2010-03-10: Largest IV spike — 11.8% change
  • 2010-03-16: Highest IV Rank — 4.0%
  • 2010-03-10: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.03$44.91$49.86$45.01$48.81
Max Pain$45.74$42.00$49.00$42.00$49.00
ATM IV21.2%18.9%23.5%22.2%20.3%
Expected Move6.2%5.4%7.0%6.4%5.8%
HV 20d16.5%13.4%24.2%24.2%16.4%
HV 60d21.2%20.6%22.1%22.1%20.8%
IV Rank1.6%0.0%4.0%0.0%1.7%
IV Percentile2.1%0.0%6.7%0.0%2.8%
Term Structure2.3%1.1%4.3%2.4%3.3%
VWIV22.1%18.8%26.3%21.9%21.2%
Skew 25d4.5%0.9%8.4%6.5%2.9%
Skew 10d10.4%2.7%17.2%16.5%14.6%
Call IV 25d20.0%16.0%23.8%17.6%20.3%
Put IV 25d24.5%20.9%26.5%24.1%23.2%
Bid-Ask Spread %56.4934.0377.4752.1167.77
Gamma HHI0.200.140.250.210.14
Net GEX165.0K22.8K334.9K179.5K109.8K
Net DEX-6.7M-12.0M-3.1M-3.1M-4.7M
Net VEX-27.8K-34.3K-20.1K-31.8K-34.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.112.190.291.04
Total Volume170.17429548163320
Total OI5,156.7833,9036,2635,1694,879

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$45.01$42.0022.2%6.4%24.2%0.0%21.9%6.5%2.4%179.5K-3.1M-31.8K0.2952.11N/AN/A126372,3512,818
2010-03-02$45.03$42.0022.6%6.5%23.5%0.4%26.3%6.3%1.5%209.0K-3.5M-32.6K1.0748.16N/AN/A14152,4562,820
2010-03-03$44.91$42.0022.9%6.6%23.2%0.7%21.1%8.2%1.1%203.2K-3.4M-32.4K0.3464.11N/AN/A58202,4702,830
2010-03-04$45.19$42.0021.4%6.1%22.3%0.0%21.7%8.4%1.3%235.8K-3.8M-32.0K1.8660.02N/AN/A22412,4952,825
2010-03-05$46.42$45.0019.3%6.9%18.2%0.0%24.1%7.2%2.2%334.9K-5.9M-29.4K0.7542.62N/AN/A44332,5042,842
2010-03-08$46.89$45.0021.5%6.4%17.7%2.1%22.2%4.3%2.6%312.7K-6.5M-29.4K0.2236.61N/AN/A133292,5312,857
2010-03-09$47.00$45.0020.1%6.7%14.4%0.8%23.7%1.7%2.1%294.5K-7.4M-28.5K0.4243.86N/AN/A91382,6142,869
2010-03-10$47.42$45.0022.5%7.0%14.0%3.0%24.0%2.3%2.2%270.3K-7.9M-28.4K0.1334.03N/AN/A200252,6772,901
2010-03-11$47.70$45.0022.7%6.5%13.9%3.2%24.9%3.8%2.6%281.6K-8.5M-28.3K2.1936.31N/AN/A32702,7922,907
2010-03-12$48.08$45.0022.7%6.5%13.8%3.2%23.8%3.6%2.5%238.7K-9.1M-27.8K0.4043.44N/AN/A85342,8102,962
2010-03-15$47.97$45.0023.0%6.6%14.1%3.5%23.0%3.3%1.9%245.4K-9.3M-27.0K0.3839.85N/AN/A85322,8482,986
2010-03-16$49.13$45.0023.5%6.7%13.4%4.0%23.2%0.9%1.6%85.5K-10.5M-25.7K0.1860.06N/AN/A162292,8723,017
2010-03-17$49.86$45.0022.5%6.5%13.7%3.1%22.4%1.1%2.6%91.0K-12.0M-20.7K0.9256.63N/AN/A87802,9883,042
2010-03-18$49.59$47.0021.9%6.3%14.0%2.5%22.7%7.6%2.8%85.3K-11.5M-24.8K0.6475.99N/AN/A149963,0413,118
2010-03-19$49.05$47.0020.9%6.0%15.1%1.6%21.0%4.7%3.9%78.2K-10.9M-25.5K0.8952.43N/AN/A62553,0553,208
2010-03-22$49.67$47.0020.0%5.7%15.3%0.7%21.7%5.3%2.7%92.2K-5.9M-20.1K0.4361.44N/AN/A58251,8432,086
2010-03-23$49.53$47.0019.1%5.5%14.8%0.0%20.8%3.1%1.7%109.7K-5.3M-25.9K1.4366.15N/AN/A47671,8992,107
2010-03-24$49.80$47.0018.9%5.4%14.7%0.0%18.8%3.2%2.1%101.1K-5.8M-24.7K0.6275.29N/AN/A105651,9232,154
2010-03-25$49.55$48.0019.1%5.5%15.2%0.3%19.4%4.6%2.6%22.8K-4.7M-23.9K0.6973.06N/AN/A3252231,7322,171
2010-03-26$49.29$49.0019.2%5.5%15.5%0.3%19.3%5.7%4.3%61.3K-4.6M-29.2K1.0777.47N/AN/A15162,0312,382
2010-03-29$49.44$49.0021.2%6.1%15.5%2.9%20.1%4.5%1.1%77.9K-4.5M-28.8K0.1165.85N/AN/A106122,0392,389
2010-03-30$49.37$49.0021.2%6.1%15.6%3.0%20.2%4.0%1.6%73.7K-4.6M-29.3K0.1165.99N/AN/A494522,0682,397
2010-03-31$48.81$49.0020.3%5.8%16.4%1.7%21.2%2.9%3.3%109.8K-4.7M-34.3K1.0467.77N/AN/A1571632,4302,449