VNQ Options History — August 2010

In August 2010, VNQ traded between $49.01 and $52.66. ATM implied volatility averaged 28.0%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.0% (HV 20d: 26.0%). 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 21 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2010-08-02: Highest Volume — 503 contracts
  • 2010-08-24: Largest IV spike — 70.7% change
  • 2010-08-11: Highest IV Rank — 38.3%
  • 2010-08-16: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.61$49.01$52.66$52.66$50.30
Max Pain$46.18$45.00$48.00$48.00$46.00
ATM IV28.0%17.3%33.1%25.9%27.7%
Expected Move8.1%5.0%9.2%7.4%7.9%
HV 20d26.0%20.1%32.5%32.5%20.2%
HV 60d33.9%28.9%38.5%38.5%28.9%
IV Rank25.5%0.0%38.3%18.8%26.8%
IV Percentile35.5%0.0%56.3%23.8%34.5%
Term Structure2.8%-1.6%18.3%-1.6%2.5%
VWIV28.5%22.3%37.3%26.6%27.3%
Skew 25d8.6%2.8%12.1%6.4%7.9%
Skew 10d17.0%10.0%31.1%10.0%14.1%
Call IV 25d24.9%16.5%29.3%25.0%24.6%
Put IV 25d33.5%19.3%39.0%31.4%32.5%
Bid-Ask Spread %54.9335.30120.3581.6551.39
Gamma HHI0.210.150.370.160.37
Net GEX359.0K178.8K505.8K406.6K379.0K
Net DEX-6.1M-9.7M-2.5M-9.2M-5.1M
Net VEX-29.2K-33.9K-22.8K-30.9K-27.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.0010.190.270.00
Total Volume128.51250350352
Total OI5,656.8644,9046,1445,2545,701

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$52.66$48.0025.9%7.4%32.5%18.8%26.6%6.4%-1.6%406.6K-9.2M-30.9K0.2781.65N/AN/A3951083,3591,895
2010-08-03$52.15$48.0026.2%7.5%31.3%19.7%24.6%12.1%2.4%438.1K-9.2M-33.9K1.2367.02N/AN/A44543,6061,971
2010-08-04$52.52$48.0024.7%7.1%27.6%15.6%24.4%7.0%2.0%477.9K-9.7M-32.7K0.0366.71N/AN/A3113,6432,005
2010-08-05$51.86$48.0027.3%7.8%28.2%22.8%22.3%9.6%1.5%469.8K-9.3M-33.4K0.0062.58N/AN/A1203,6742,005
2010-08-06$51.62$45.0026.2%8.1%28.3%19.8%33.5%9.5%1.8%449.4K-8.2M-32.5K3.0042.34N/AN/A9273,6862,005
2010-08-09$52.21$45.0025.0%8.0%28.4%16.6%31.1%9.4%1.6%505.8K-9.5M-30.9K1.4448.43N/AN/A25363,6832,027
2010-08-10$51.70$45.0028.0%8.1%27.8%24.4%24.3%9.6%2.0%470.6K-8.8M-31.0K0.3251.66N/AN/A34113,6862,049
2010-08-11$50.41$45.0033.1%9.2%29.4%38.3%31.9%11.2%0.5%380.3K-6.2M-31.3K10.1936.41N/AN/A262653,6892,047
2010-08-12$49.78$46.0031.9%9.1%29.7%35.1%32.0%10.8%1.8%291.7K-4.6M-32.2K0.8235.30N/AN/A79653,7042,298
2010-08-13$49.78$46.0031.3%9.0%26.9%33.6%37.3%8.1%1.0%276.5K-4.5M-31.6K0.5544.80N/AN/A22123,6552,360
2010-08-16$49.74$46.0032.0%9.2%26.7%35.5%31.9%10.4%1.1%261.7K-4.1M-29.5K0.2851.77N/AN/A3293,6702,372
2010-08-17$50.88$46.0029.8%8.6%27.1%29.5%26.8%8.8%2.2%381.1K-6.5M-29.1K0.3150.21N/AN/A52163,6902,380
2010-08-18$50.92$46.0029.5%8.5%25.6%28.6%27.3%8.5%1.9%425.9K-6.9M-28.6K0.1746.11N/AN/A64113,7172,376
2010-08-19$49.63$46.0031.0%8.9%24.4%32.7%31.0%10.1%3.0%303.4K-4.4M-28.3K0.5940.36N/AN/A41243,7472,386
2010-08-20$49.47$46.0030.1%8.6%24.0%30.2%28.9%7.6%4.3%390.6K-3.9M-25.9K0.5136.16N/AN/A101523,7542,390
2010-08-23$49.21$46.0017.3%5.0%22.1%0.0%29.2%2.8%18.3%183.9K-2.7M-22.8K0.07120.35N/AN/A143103,0041,900
2010-08-24$49.01$46.0029.6%8.5%22.1%31.8%27.3%11.6%3.7%178.8K-2.5M-24.2K0.4163.93N/AN/A143583,1111,896
2010-08-25$49.79$46.0025.1%7.2%23.0%20.2%27.4%9.3%3.0%239.8K-3.5M-27.3K0.0970.17N/AN/A140133,2491,919
2010-08-26$49.49$46.0029.1%8.4%22.9%30.5%28.0%6.7%2.6%280.4K-4.4M-26.3K0.2743.83N/AN/A172473,3151,931
2010-08-27$50.31$46.0026.6%7.6%23.6%23.9%24.5%6.6%3.1%351.8K-5.3M-26.0K0.6445.08N/AN/A72463,4361,978
2010-08-30$49.92$46.0027.7%7.9%20.1%26.7%29.8%5.8%2.1%355.4K-5.3M-25.5K1.1252.27N/AN/A1291443,4911,991
2010-08-31$50.30$46.0027.7%7.9%20.2%26.8%27.3%7.9%2.5%379.0K-5.1M-27.9K0.0051.39N/AN/A5203,6012,100