VNQ Options History — May 2010

In May 2010, VNQ traded between $46.77 and $54.04. ATM implied volatility averaged 38.6%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 4.9% (HV 20d: 43.4%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.92.

Notable Days

  • 2010-05-03: Highest Volume — 654 contracts
  • 2010-05-10: Largest IV drop — 22.2% change
  • 2010-05-20: Highest IV Rank — 56.4%
  • 2010-05-20: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.38$46.77$54.04$54.04$49.51
Max Pain$46.00$45.00$50.00$50.00$45.00
ATM IV38.6%30.9%51.9%32.0%31.3%
Expected Move11.1%8.9%14.9%9.2%9.0%
HV 20d43.4%34.4%49.2%34.6%48.3%
HV 60d29.7%23.9%35.0%23.9%35.0%
IV Rank32.2%16.7%56.4%16.7%27.4%
IV Percentile63.7%40.5%94.4%41.3%40.9%
Term Structure-1.2%-8.8%6.8%-0.4%2.7%
VWIV38.7%29.0%48.2%30.5%31.0%
Skew 25d10.5%4.8%25.1%7.7%8.9%
Skew 10d16.5%-36.2%31.0%11.9%28.3%
Call IV 25d34.2%23.9%46.8%29.8%28.5%
Put IV 25d44.7%37.3%58.8%37.5%37.3%
Bid-Ask Spread %46.2020.16110.4832.9468.99
Gamma HHI0.130.110.190.120.11
Net GEX174.7K-95.0K336.7K138.9K244.8K
Net DEX-6.7M-12.2M-633.5K-10.6M-6.5M
Net VEX-42.2K-48.4K-35.2K-35.2K-39.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.033.610.031.75
Total Volume182.346654654140
Total OI7,173.856,1347,7776,1347,084

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$54.04$50.0032.0%9.2%34.6%16.7%30.5%7.7%-0.4%138.9K-10.6M-35.2K0.0332.94N/AN/A637173,1023,032
2010-05-04$52.81$50.0034.5%9.9%35.1%19.9%35.3%8.2%-2.7%218.6K-10.3M-40.1K0.1442.74N/AN/A334463,5953,037
2010-05-05$52.10$50.0035.6%10.2%34.4%21.3%38.9%4.8%-1.8%244.0K-9.7M-44.0K0.9841.81N/AN/A48473,9153,083
2010-05-06$49.96$50.0040.9%11.7%37.8%28.0%37.7%25.1%6.8%166.3K-6.4M-47.1K1.00110.48N/AN/A1141143,9203,121
2010-05-07$49.12$45.0046.6%13.0%37.8%35.3%45.4%7.2%-6.7%117.4K-4.6M-48.4K1.8031.92N/AN/A35633,9413,206
2010-05-10$52.36$45.0036.2%10.3%44.4%22.1%40.0%8.0%-1.0%236.9K-9.7M-43.3K0.0658.32N/AN/A170113,9563,263
2010-05-11$52.67$45.0035.5%10.6%43.6%27.5%36.5%9.2%-1.5%288.3K-10.5M-44.3K0.8832.22N/AN/A60534,1003,255
2010-05-12$53.52$45.0033.3%10.3%43.9%24.6%33.7%7.4%-1.6%336.7K-12.2M-42.5K0.3141.69N/AN/A35114,1463,281
2010-05-13$52.65$45.0034.6%9.9%43.1%26.7%34.1%6.8%-0.0%330.9K-11.3M-43.1K0.0640.33N/AN/A7754,1573,251
2010-05-14$50.98$45.0039.9%11.4%43.9%35.9%40.2%11.0%-3.1%230.2K-7.7M-44.4K3.6134.72N/AN/A18654,2133,251
2010-05-17$51.05$45.0039.1%11.2%43.9%34.5%40.3%11.1%-2.9%216.6K-7.5M-43.0K0.3235.91N/AN/A84274,2193,302
2010-05-18$49.76$45.0041.9%12.0%44.5%39.3%42.1%10.7%-2.9%141.9K-5.4M-43.7K0.7225.14N/AN/A36264,2693,311
2010-05-19$49.30$45.0044.6%12.8%44.1%43.8%45.2%11.7%-3.9%78.4K-4.4M-43.5K3.6020.16N/AN/A572054,2773,325
2010-05-20$46.77$45.0051.9%14.9%47.1%56.4%48.2%12.1%-8.8%21.0K-633.5K-43.6K0.6032.51N/AN/A124754,2933,429
2010-05-21$48.34$45.0043.7%12.5%48.6%42.3%44.6%14.6%-2.8%-95.0K-1.6M-42.3K0.7640.28N/AN/A1721314,3293,448
2010-05-24$47.26$45.0041.6%11.9%48.8%38.8%38.8%9.6%3.5%107.9K-2.9M-39.6K0.5358.97N/AN/A152803,6612,970
2010-05-25$47.64$45.0039.3%11.3%48.0%34.9%42.6%12.9%0.4%107.4K-2.7M-39.5K0.6554.03N/AN/A93603,7893,023
2010-05-26$47.54$45.0037.9%10.9%47.9%42.1%39.2%9.4%-0.0%131.7K-3.3M-39.8K0.2256.20N/AN/A68153,8703,072
2010-05-27$50.15$45.0030.9%8.9%49.2%26.6%29.0%12.8%2.6%231.0K-6.9M-37.0K0.3864.53N/AN/A102393,9243,057
2010-05-28$49.51$45.0031.3%9.0%48.3%27.4%31.0%8.9%2.7%244.8K-6.5M-39.0K1.7568.99N/AN/A51893,9913,093