VNQ Options History — April 2010

In April 2010, VNQ traded between $49.06 and $53.98. ATM implied volatility averaged 23.0%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.3% (HV 20d: 22.8%). Max pain ranged from $49.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.35.

Notable Days

  • 2010-04-16: Highest Volume — 303 contracts
  • 2010-04-27: Largest IV spike — 20.7% change
  • 2010-04-30: Highest IV Rank — 13.8%
  • 2010-04-30: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.18$49.06$53.98$49.06$52.30
Max Pain$49.95$49.00$50.00$49.00$50.00
ATM IV23.0%19.9%29.7%21.1%29.7%
Expected Move6.6%5.9%8.5%6.1%8.5%
HV 20d22.8%15.5%33.6%16.4%33.6%
HV 60d22.1%20.8%24.7%20.8%24.7%
IV Rank5.3%1.3%13.8%2.9%13.8%
IV Percentile12.0%2.0%36.1%3.6%36.1%
Term Structure1.7%-0.0%4.4%0.9%4.1%
VWIV23.1%19.4%30.6%19.4%30.6%
Skew 25d4.4%1.8%7.0%4.0%2.9%
Skew 10d7.5%1.9%14.1%14.1%1.9%
Call IV 25d21.2%17.6%30.1%19.3%30.1%
Put IV 25d25.6%22.9%33.0%23.3%33.0%
Bid-Ask Spread %42.0720.1158.4854.5934.58
Gamma HHI0.130.110.160.130.11
Net GEX164.7K69.6K255.3K120.0K156.5K
Net DEX-8.2M-11.5M-4.7M-4.7M-9.3M
Net VEX-33.3K-36.6K-29.1K-36.0K-36.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.350.2131.140.2131.14
Total Volume135.6674630382225
Total OI5,611.2865,1316,0075,1315,954

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$49.06$49.0021.1%6.1%16.4%2.9%19.4%4.0%0.9%120.0K-4.7M-36.0K0.2154.59N/AN/A68142,5672,564
2010-04-05$50.14$50.0022.8%6.2%15.5%5.0%20.8%6.9%2.4%155.4K-6.5M-32.9K0.4434.79N/AN/A48212,6232,578
2010-04-06$51.29$50.0021.3%6.2%16.8%3.0%21.7%7.0%2.6%142.6K-8.2M-31.0K0.3726.87N/AN/A121452,6472,592
2010-04-07$50.16$50.0024.0%6.5%19.3%6.5%22.1%5.4%0.7%143.5K-6.8M-34.1K0.5820.11N/AN/A114662,7152,610
2010-04-08$50.22$50.0022.9%6.5%19.2%5.1%21.7%4.2%1.7%146.8K-6.9M-33.0K1.3137.67N/AN/A1041362,7152,610
2010-04-09$50.93$50.0020.7%5.9%19.6%2.2%19.9%4.1%1.9%119.9K-8.2M-33.9K0.4837.28N/AN/A31152,9232,797
2010-04-12$50.61$50.0021.2%6.3%19.8%2.9%22.3%3.9%1.4%142.4K-8.1M-33.5K0.5630.89N/AN/A66372,9542,749
2010-04-13$51.85$50.0019.9%6.2%21.1%1.3%21.9%3.9%0.5%180.1K-10.1M-31.0K0.9348.23N/AN/A43403,0132,767
2010-04-14$51.93$50.0020.5%6.0%19.7%2.1%21.7%3.8%1.4%179.7K-10.5M-30.5K1.2828.92N/AN/A791013,0402,788
2010-04-15$50.51$50.0023.5%6.7%22.0%5.8%21.9%5.1%1.1%128.4K-8.4M-34.2K2.5040.34N/AN/A24603,0732,870
2010-04-16$49.35$50.0024.7%7.1%23.5%7.4%25.0%4.7%1.7%69.6K-5.3M-36.6K0.9445.31N/AN/A1561473,0812,926
2010-04-19$49.57$50.0024.5%7.0%23.2%7.1%24.2%2.9%1.7%146.9K-5.7M-36.4K1.3858.17N/AN/A66912,7922,511
2010-04-20$50.41$50.0023.3%6.7%23.5%5.6%23.5%1.8%2.5%183.5K-6.8M-34.7K0.6251.21N/AN/A55342,8562,582
2010-04-21$51.29$50.0022.4%6.4%24.2%4.4%22.6%4.2%4.4%195.0K-8.4M-32.2K0.2149.87N/AN/A58122,8972,616
2010-04-22$52.08$50.0021.9%6.3%24.6%3.8%25.6%4.1%2.2%255.3K-9.6M-29.6K1.4458.48N/AN/A36522,9382,615
2010-04-23$52.77$50.0020.6%5.9%24.8%2.2%20.0%3.5%1.7%217.3K-10.1M-32.0K1.7451.61N/AN/A31542,9642,625
2010-04-26$53.19$50.0021.5%6.2%24.6%3.4%23.8%6.4%2.4%203.7K-10.6M-31.2K1.6442.76N/AN/A891462,9752,658
2010-04-27$51.49$50.0026.0%7.4%27.8%9.0%24.2%3.9%0.5%186.2K-8.6M-35.0K1.1857.68N/AN/A881043,0502,770
2010-04-28$51.65$50.0025.6%7.3%27.8%8.5%25.3%4.9%0.8%174.0K-8.5M-36.1K0.2136.71N/AN/A90193,0812,839
2010-04-29$53.98$50.0025.6%7.3%30.9%8.5%26.9%5.5%-0.0%211.7K-11.5M-29.1K0.2637.35N/AN/A50133,0572,855
2010-04-30$52.30$50.0029.7%8.5%33.6%13.8%30.6%2.9%4.1%156.5K-9.3M-36.0K31.1434.58N/AN/A72183,1002,854