VNQ Options History — September 2010

In September 2010, VNQ traded between $51.79 and $54.63. ATM implied volatility averaged 23.1%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.6% (HV 20d: 22.5%). Max pain ranged from $46.00 to $53.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2010-09-17: Highest Volume — 824 contracts
  • 2010-09-22: Largest IV spike — 13.6% change
  • 2010-09-09: Highest IV Rank — 23.0%
  • 2010-09-09: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.77$51.79$54.63$51.94$52.08
Max Pain$50.24$46.00$53.00$46.00$53.00
ATM IV23.1%20.1%26.2%22.5%23.3%
Expected Move6.7%5.8%7.5%6.4%6.7%
HV 20d22.5%18.8%24.2%23.4%21.2%
HV 60d27.5%24.2%29.4%29.4%24.2%
IV Rank14.8%7.2%23.0%13.2%15.3%
IV Percentile17.0%3.6%31.3%11.1%20.2%
Term Structure3.6%1.6%6.2%3.9%2.8%
VWIV23.7%20.1%27.4%23.5%24.2%
Skew 25d4.8%2.2%6.7%5.3%4.3%
Skew 10d9.4%3.0%17.5%12.2%7.5%
Call IV 25d22.3%19.4%26.0%21.8%21.6%
Put IV 25d27.1%23.0%32.0%27.1%25.9%
Bid-Ask Spread %36.1021.0771.9958.2741.79
Gamma HHI0.330.220.400.400.22
Net GEX487.2K141.3K882.2K555.7K215.7K
Net DEX-7.7M-14.0M-1.5M-8.9M-2.0M
Net VEX-23.9K-27.1K-18.1K-27.1K-26.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.021.550.360.38
Total Volume169.9054682417865
Total OI4,668.9052,1576,3685,7413,237

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$51.94$46.0022.5%6.4%23.4%13.2%23.5%5.3%3.9%555.7K-8.9M-27.1K0.3658.27N/AN/A131473,6412,100
2010-09-02$52.60$46.0021.5%6.2%23.4%10.8%20.6%5.3%3.0%620.4K-10.3M-27.0K0.0271.99N/AN/A11423,7022,129
2010-09-03$53.37$49.0021.5%7.0%23.8%10.8%26.3%4.7%4.8%685.2K-12.5M-25.8K0.1527.12N/AN/A91143,8072,117
2010-09-07$52.55$49.0024.2%7.5%24.2%17.7%25.9%6.0%4.1%666.2K-11.3M-25.9K1.3224.34N/AN/A34453,8442,113
2010-09-08$52.66$49.0024.0%7.5%24.0%17.2%26.7%6.7%2.8%696.2K-11.1M-24.7K1.2621.07N/AN/A38483,8572,144
2010-09-09$52.05$49.0026.2%7.5%22.4%23.0%27.4%5.9%4.0%672.1K-10.1M-25.0K0.9624.30N/AN/A1251203,8662,159
2010-09-10$52.33$49.0025.3%7.2%21.8%20.5%24.8%6.0%4.5%712.4K-10.3M-25.1K0.2423.66N/AN/A94233,8962,274
2010-09-13$53.19$49.0023.6%6.8%22.3%16.3%23.9%3.4%4.1%860.7K-12.8M-22.8K0.4024.19N/AN/A68273,9412,291
2010-09-14$52.99$49.0023.9%6.8%22.4%16.9%22.9%6.6%4.3%847.1K-12.6M-22.7K0.1429.61N/AN/A5073,9532,315
2010-09-15$53.45$49.0022.2%6.4%21.3%12.5%23.2%5.1%5.1%882.2K-13.9M-21.3K0.1535.55N/AN/A4063,9482,320
2010-09-16$53.17$49.0022.7%6.5%21.5%13.8%22.1%3.3%5.2%856.2K-13.3M-20.8K0.0427.27N/AN/A15773,9692,321
2010-09-17$53.33$50.0021.8%6.2%18.8%11.5%21.1%5.4%6.2%480.7K-14.0M-20.1K0.0931.66N/AN/A757674,0442,324
2010-09-20$54.63$51.0020.7%5.9%20.0%8.6%21.4%2.2%1.6%186.5K-3.8M-18.1K0.7343.25N/AN/A45331,387770
2010-09-21$53.83$51.0020.1%5.8%20.9%7.2%21.3%2.5%4.1%194.8K-3.2M-20.4K0.7540.57N/AN/A97731,412802
2010-09-22$53.10$52.0022.9%6.6%21.7%14.3%22.7%4.7%2.7%173.6K-2.8M-21.7K1.3231.77N/AN/A2092751,497857
2010-09-23$51.79$53.0024.7%7.1%23.5%19.1%25.2%2.9%2.1%141.3K-1.5M-23.6K1.5536.10N/AN/A651011,6391,077
2010-09-24$52.78$53.0021.6%6.2%24.0%11.1%20.1%5.9%2.5%163.3K-2.1M-24.5K0.2041.63N/AN/A236481,6791,162
2010-09-27$52.13$53.0024.2%6.9%24.1%17.7%26.4%3.8%2.6%203.6K-2.0M-26.2K0.5636.90N/AN/A52291,8981,209
2010-09-28$52.34$53.0023.6%6.8%23.8%16.2%21.5%6.5%2.2%214.3K-2.1M-26.0K0.4646.48N/AN/A56261,9211,229
2010-09-29$51.93$53.0024.3%7.0%24.0%17.9%26.7%5.4%2.2%202.8K-1.8M-26.2K0.6440.46N/AN/A28181,9561,240
2010-09-30$52.08$53.0023.3%6.7%21.2%15.3%24.2%4.3%2.8%215.7K-2.0M-26.5K0.3841.79N/AN/A47181,9811,256