VNQ Options History — July 2010

In July 2010, VNQ traded between $44.43 and $51.19. ATM implied volatility averaged 33.6%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 0.5% (HV 20d: 34.1%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2010-07-26: Highest Volume — 454 contracts
  • 2010-07-30: Largest IV spike — 75.0% change
  • 2010-07-06: Highest IV Rank — 100.0%
  • 2010-07-30: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.44$44.43$51.19$46.33$50.95
Max Pain$48.43$48.00$50.00$48.00$48.00
ATM IV33.6%27.3%56.0%40.7%50.9%
Expected Move9.7%8.3%14.6%11.7%14.6%
HV 20d34.1%31.2%37.2%36.7%32.4%
HV 60d40.1%38.9%41.1%39.2%38.9%
IV Rank40.2%22.7%100.0%66.0%86.2%
IV Percentile50.5%29.4%100.0%80.2%99.2%
Term Structure-1.0%-24.5%3.9%-3.1%-24.5%
VWIV30.5%23.7%38.7%37.4%28.8%
Skew 25d9.1%-0.8%27.3%7.8%27.3%
Skew 10d16.2%-0.6%25.6%18.6%25.6%
Call IV 25d28.2%23.3%36.2%34.3%30.2%
Put IV 25d37.3%32.0%57.5%42.1%57.5%
Bid-Ask Spread %54.3635.33126.7445.85126.74
Gamma HHI0.140.110.170.140.17
Net GEX181.0K48.4K317.9K77.9K307.8K
Net DEX-3.2M-6.9M560.8K-702.1K-6.6M
Net VEX-28.8K-33.8K-24.9K-27.7K-31.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.0310.001.1910.00
Total Volume152.2382245414022
Total OI4,446.6193,9145,2423,9145,242

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$46.33$48.0040.7%11.7%36.7%66.0%37.4%7.8%-3.1%77.9K-702.1K-27.7K1.1945.85N/AN/A64762,4681,446
2010-07-02$45.44$48.0038.7%11.1%31.2%59.8%38.7%2.6%1.7%66.9K-277.0K-27.1K0.5952.90N/AN/A44262,5161,483
2010-07-06$44.43$50.0056.0%12.1%32.1%100.0%34.4%-0.8%-3.4%48.4K560.8K-24.9K0.7853.09N/AN/A101792,5181,474
2010-07-07$46.59$50.0032.3%10.1%36.0%36.1%30.4%9.2%-2.5%79.9K-581.3K-26.0K0.0743.47N/AN/A10982,6101,525
2010-07-08$47.17$49.0032.6%9.8%36.2%36.8%30.1%9.9%0.4%110.9K-1.4M-27.4K0.3035.75N/AN/A74222,6671,533
2010-07-09$47.77$49.0029.8%9.2%33.0%29.4%30.5%10.3%0.3%151.6K-2.2M-27.9K0.1038.93N/AN/A96102,7171,531
2010-07-12$47.92$49.0029.6%9.6%32.6%29.0%28.7%11.7%-0.4%169.5K-2.6M-27.9K0.2339.40N/AN/A64152,8091,533
2010-07-13$49.10$48.0027.3%8.8%33.6%22.7%27.8%10.3%1.3%264.6K-4.0M-28.4K1.7935.33N/AN/A561002,8131,543
2010-07-14$48.81$49.0027.9%8.9%32.4%24.1%30.5%9.1%1.3%228.8K-3.6M-28.3K0.4446.96N/AN/A48212,8501,593
2010-07-15$48.65$49.0030.8%8.8%32.4%32.2%32.1%10.0%1.0%201.8K-3.4M-27.8K2.5039.48N/AN/A601502,8921,614
2010-07-16$47.07$48.0033.7%9.7%34.0%40.0%32.3%6.8%2.7%152.0K-1.5M-28.2K1.1642.44N/AN/A55642,9331,764
2010-07-19$47.65$48.0029.6%8.5%34.5%28.8%29.1%6.8%3.9%127.9K-1.7M-26.7K0.4269.45N/AN/A93392,6041,508
2010-07-20$48.54$48.0029.7%8.5%35.4%29.2%30.6%7.9%-1.1%160.8K-2.5M-26.6K0.2977.66N/AN/A143422,6631,534
2010-07-21$47.53$48.0031.5%9.0%34.6%33.9%23.7%9.0%1.7%165.5K-2.4M-28.2K2.4576.30N/AN/A33812,7561,561
2010-07-22$49.31$48.0031.7%9.1%37.2%34.5%31.0%9.8%1.2%194.0K-3.8M-30.2K1.9053.47N/AN/A1021942,7431,613
2010-07-23$49.94$48.0030.9%8.9%35.6%32.3%29.7%8.5%-0.7%190.5K-4.0M-31.2K0.3053.29N/AN/A74222,8011,803
2010-07-26$51.19$48.0031.1%8.9%35.6%33.0%31.2%6.0%0.6%217.5K-6.0M-30.7K2.7851.90N/AN/A1203342,8641,812
2010-07-27$51.18$48.0030.6%8.8%35.2%31.7%25.0%10.5%-0.6%259.4K-6.3M-31.3K0.0343.98N/AN/A318102,9411,844
2010-07-28$51.08$48.0030.1%8.6%32.6%30.3%29.8%9.7%-1.6%317.9K-6.9M-33.8K1.0049.91N/AN/A56563,2501,833
2010-07-29$50.65$48.0029.1%8.3%32.5%27.5%28.4%8.5%1.0%307.1K-6.4M-33.5K0.3065.33N/AN/A89273,2951,880
2010-07-30$50.95$48.0050.9%14.6%32.4%86.2%28.8%27.3%-24.5%307.8K-6.6M-31.7K10.00126.74N/AN/A2203,3571,885