VNQ Options History — October 2010

In October 2010, VNQ traded between $52.34 and $55.67. ATM implied volatility averaged 22.7%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 5.3% (HV 20d: 17.4%). Max pain ranged from $53.00 to $54.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2010-10-11: Highest Volume — 639 contracts
  • 2010-10-14: Largest IV spike — 43.4% change
  • 2010-10-14: Highest IV Rank — 22.4%
  • 2010-10-14: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.36$52.34$55.67$52.34$54.55
Max Pain$53.14$53.00$54.00$53.00$54.00
ATM IV22.7%18.1%26.0%23.5%23.3%
Expected Move6.8%5.9%7.5%6.7%6.7%
HV 20d17.4%12.8%20.7%20.7%13.6%
HV 60d21.7%19.4%24.3%24.2%19.4%
IV Rank13.7%2.1%22.4%15.8%15.4%
IV Percentile19.3%0.4%38.1%21.0%25.4%
Term Structure1.7%0.5%3.5%2.4%0.8%
VWIV23.3%19.7%25.8%22.9%23.7%
Skew 25d4.1%1.7%6.1%5.7%3.8%
Skew 10d5.5%2.8%18.4%18.4%5.9%
Call IV 25d22.4%19.3%24.3%21.6%22.3%
Put IV 25d26.5%24.0%27.9%27.2%26.0%
Bid-Ask Spread %27.2118.3145.4845.4834.63
Gamma HHI0.330.230.470.230.30
Net GEX518.5K232.1K843.5K232.1K616.4K
Net DEX-6.8M-9.4M-2.2M-2.2M-7.5M
Net VEX-29.6K-31.8K-25.9K-26.4K-31.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.031.300.320.13
Total Volume147.476256394152
Total OI4,063.6673,2774,7323,2774,470

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$52.34$53.0023.5%6.7%20.7%15.8%22.9%5.7%2.4%232.1K-2.2M-26.4K0.3245.48N/AN/A31102,0111,266
2010-10-04$52.82$53.0023.1%7.2%20.3%14.9%24.7%4.6%1.7%266.0K-2.7M-25.9K0.7720.91N/AN/A113872,0411,276
2010-10-05$53.66$53.0021.5%7.1%20.3%10.7%24.5%4.1%1.0%302.0K-4.2M-26.4K0.4420.66N/AN/A71312,1301,329
2010-10-06$53.37$53.0022.8%7.2%20.4%14.0%23.6%3.8%1.7%324.8K-3.9M-26.8K0.0621.54N/AN/A280162,1991,337
2010-10-07$53.52$53.0021.3%7.0%19.9%10.1%23.8%2.8%2.7%408.5K-4.8M-28.4K0.7019.09N/AN/A66462,4751,348
2010-10-08$53.67$53.0020.8%6.9%19.8%8.9%24.5%4.2%2.9%450.4K-5.1M-28.7K0.3822.16N/AN/A32122,5251,372
2010-10-11$53.66$53.0023.6%7.1%19.0%16.3%24.9%3.4%1.3%475.9K-5.2M-27.9K0.0518.31N/AN/A611282,5451,381
2010-10-12$54.04$53.0023.2%7.1%19.1%15.1%23.7%4.1%2.0%666.6K-7.4M-31.3K1.3024.70N/AN/A37483,1251,384
2010-10-13$54.60$53.0018.1%6.6%19.2%2.1%23.4%4.1%3.0%682.7K-9.1M-30.5K0.0723.83N/AN/A256183,1421,375
2010-10-14$54.46$53.0026.0%7.5%19.1%22.4%25.8%4.0%1.0%766.0K-8.8M-31.4K0.6721.64N/AN/A115773,2741,390
2010-10-15$54.39$53.0023.8%6.8%19.1%16.8%22.5%4.4%2.2%843.5K-8.7M-31.4K0.4519.24N/AN/A51233,2921,440
2010-10-18$55.09$53.0020.7%5.9%17.7%8.8%19.7%4.7%3.5%514.7K-7.6M-29.8K0.0330.63N/AN/A14942,6831,121
2010-10-19$54.41$53.0024.7%7.1%17.4%19.0%23.6%4.8%1.4%488.6K-6.9M-30.7K0.3122.83N/AN/A91282,7891,125
2010-10-20$55.60$53.0022.4%6.4%18.1%13.1%22.6%1.7%0.6%499.6K-9.0M-29.9K0.4136.23N/AN/A147612,8331,148
2010-10-21$55.54$53.0023.2%6.6%15.0%15.1%23.4%2.8%2.2%508.9K-8.8M-30.9K0.6033.56N/AN/A73442,9111,184
2010-10-22$55.57$53.0020.6%5.9%13.9%8.4%20.8%3.5%3.4%546.4K-8.9M-31.0K0.3228.66N/AN/A1962,9781,225
2010-10-25$55.67$53.0022.4%6.4%12.8%13.0%22.6%5.4%0.6%565.1K-9.4M-30.1K0.0435.24N/AN/A4622,9971,229
2010-10-26$55.27$53.0023.4%6.7%13.3%15.6%22.6%6.1%0.8%564.3K-8.6M-30.8K0.5732.52N/AN/A83473,0341,230
2010-10-27$54.88$54.0023.8%6.8%13.2%16.8%22.1%4.9%0.5%565.9K-7.8M-30.9K0.3432.16N/AN/A82283,0301,277
2010-10-28$54.54$54.0023.7%6.8%13.6%16.4%22.8%3.6%0.5%600.0K-7.2M-31.5K0.2927.42N/AN/A59173,1111,305
2010-10-29$54.55$54.0023.3%6.7%13.6%15.4%23.7%3.8%0.8%616.4K-7.5M-31.8K0.1334.63N/AN/A4663,1491,321