VNQ Options History — June 2010

In June 2010, VNQ traded between $46.25 and $51.75. ATM implied volatility averaged 35.1%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 7.4% (HV 20d: 42.5%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2010-06-18: Highest Volume — 242 contracts
  • 2010-06-08: Largest IV drop — 21.7% change
  • 2010-06-30: Highest IV Rank — 72.0%
  • 2010-06-30: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.04$46.25$51.75$48.48$46.49
Max Pain$47.59$45.00$48.00$45.00$48.00
ATM IV35.1%28.4%49.7%39.5%42.7%
Expected Move10.0%8.1%12.2%11.3%12.2%
HV 20d42.5%36.3%49.1%46.8%36.7%
HV 60d37.8%34.9%39.7%34.9%39.5%
IV Rank44.6%28.7%72.0%45.5%72.0%
IV Percentile55.5%32.5%96.8%69.8%87.7%
Term Structure0.1%-6.8%3.1%2.4%-6.8%
VWIV34.1%26.4%43.6%39.1%36.8%
Skew 25d8.3%4.5%14.3%8.5%5.2%
Skew 10d14.3%8.1%34.0%34.0%17.7%
Call IV 25d30.8%25.7%35.9%34.4%35.9%
Put IV 25d39.1%31.9%43.6%42.9%41.0%
Bid-Ask Spread %45.5228.4979.3171.2051.77
Gamma HHI0.150.100.270.100.15
Net GEX226.5K91.2K460.0K191.1K91.2K
Net DEX-5.4M-11.8M-1.3M-4.8M-1.3M
Net VEX-32.4K-39.1K-28.5K-39.1K-28.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.002.870.170.00
Total Volume1141724211917
Total OI6,174.2733,4887,8737,1873,901

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$48.48$45.0039.5%11.3%46.8%45.5%39.1%8.5%2.4%191.1K-4.8M-39.1K0.1771.20N/AN/A102174,0213,166
2010-06-02$49.43$45.0034.9%10.0%47.1%35.3%33.0%14.3%1.5%270.2K-6.2M-36.4K0.1775.36N/AN/A64114,1133,158
2010-06-03$49.29$45.0034.6%9.9%46.9%34.7%30.5%8.7%0.9%262.3K-6.2M-37.3K1.6479.31N/AN/A22364,1303,163
2010-06-04$46.50$48.0041.3%11.9%49.1%49.4%43.6%9.0%-3.8%149.4K-2.1M-36.1K2.8531.65N/AN/A601714,1273,151
2010-06-07$46.25$48.0049.7%11.7%48.8%68.0%39.8%8.3%-1.0%114.7K-1.3M-34.8K0.6728.54N/AN/A108724,1453,268
2010-06-08$47.08$48.0038.9%11.5%42.8%54.2%38.9%8.3%-1.7%130.6K-2.1M-33.2K0.1931.18N/AN/A150284,1633,295
2010-06-09$47.36$48.0039.0%11.0%42.8%55.2%36.6%8.1%0.4%185.5K-3.2M-35.2K0.4429.45N/AN/A54244,2283,290
2010-06-10$49.41$48.0035.0%10.0%45.5%47.3%31.2%10.0%-0.3%281.7K-6.6M-33.8K0.6729.69N/AN/A45304,2613,300
2010-06-11$50.00$48.0032.4%9.3%45.6%41.0%0.0%7.6%1.0%283.8K-7.9M-32.2K0.3528.49N/AN/A108384,2793,323
2010-06-14$50.62$48.0031.3%9.0%44.5%37.6%40.1%6.6%1.9%331.6K-9.4M-32.4K0.7531.07N/AN/A64484,3553,325
2010-06-15$51.75$48.0029.0%8.3%45.2%30.7%31.9%8.6%3.1%409.9K-11.8M-29.9K0.0243.13N/AN/A9624,3863,319
2010-06-16$51.28$48.0031.5%9.0%44.3%38.1%30.1%6.7%1.4%398.6K-11.3M-31.3K0.8433.62N/AN/A49414,4603,321
2010-06-17$51.39$48.0030.2%8.7%44.1%34.2%31.3%6.6%2.4%460.0K-11.7M-30.0K0.5449.76N/AN/A52284,4873,325
2010-06-18$51.23$48.0030.1%8.6%39.1%34.0%26.4%9.4%2.3%456.7K-11.8M-30.1K0.2731.81N/AN/A191514,5353,338
2010-06-21$50.83$48.0028.4%8.1%37.9%28.7%29.9%4.5%2.2%151.5K-4.6M-29.6K0.3448.61N/AN/A161552,2301,258
2010-06-22$49.32$48.0029.5%8.5%38.6%32.1%31.4%10.2%1.7%148.0K-3.6M-30.4K2.8766.11N/AN/A23662,3581,300
2010-06-23$49.45$48.0033.7%9.7%38.6%44.7%30.8%8.3%-1.2%140.7K-3.4M-30.1K0.2651.39N/AN/A137362,3751,352
2010-06-24$47.95$48.0034.8%10.0%40.3%48.2%36.6%8.8%-2.0%130.2K-2.5M-31.0K2.2749.48N/AN/A26592,4701,386
2010-06-25$49.16$48.0036.1%10.3%36.4%52.0%31.6%8.9%-0.1%149.5K-3.4M-31.6K1.3237.21N/AN/A25332,4811,437
2010-06-28$48.58$48.0031.9%9.1%36.3%39.3%27.6%9.0%-0.2%146.2K-3.1M-30.6K0.2945.61N/AN/A48142,4981,460
2010-06-29$46.99$48.0038.4%11.0%37.5%59.1%38.6%7.7%-1.4%99.2K-1.5M-29.2K1.1956.92N/AN/A21252,4571,439
2010-06-30$46.49$48.0042.7%12.2%36.7%72.0%36.8%5.2%-6.8%91.2K-1.3M-28.5K0.0051.77N/AN/A1702,4551,446