VNQ Options History — November 2010

In November 2010, VNQ traded between $52.03 and $57.29. ATM implied volatility averaged 23.4%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.6% (HV 20d: 20.8%). Max pain ranged from $51.00 to $54.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2010-11-15: Highest Volume — 796 contracts
  • 2010-11-09: Largest IV spike — 14.9% change
  • 2010-11-16: Highest IV Rank — 27.1%
  • 2010-11-16: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.37$52.03$57.29$55.02$53.54
Max Pain$53.24$51.00$54.00$54.00$54.00
ATM IV23.4%19.0%27.8%25.1%24.1%
Expected Move6.8%5.5%8.0%7.2%6.9%
HV 20d20.8%12.4%25.1%13.5%24.8%
HV 60d20.2%18.8%21.4%19.4%19.9%
IV Rank15.6%4.4%27.1%20.2%17.5%
IV Percentile28.0%1.2%56.0%38.1%37.7%
Term Structure1.3%-5.1%23.3%-1.4%0.6%
VWIV23.4%18.2%30.7%24.2%25.5%
Skew 25d4.8%2.5%15.4%3.8%4.8%
Skew 10d8.0%-23.3%31.6%6.6%9.0%
Call IV 25d21.5%14.3%25.8%23.2%23.0%
Put IV 25d26.4%22.1%30.6%26.9%27.8%
Bid-Ask Spread %51.7932.56121.8339.8333.66
Gamma HHI0.260.180.340.290.24
Net GEX592.1K234.3K917.7K636.5K366.3K
Net DEX-5.1M-14.0M492.2K-8.3M138.5K
Net VEX-29.6K-33.0K-24.6K-30.0K-29.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.203.110.990.85
Total Volume312.52486796205113
Total OI5,937.9524,4907,3024,4907,302

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$55.02$54.0025.1%7.2%13.5%20.2%24.2%3.8%-1.4%636.5K-8.3M-30.0K0.9939.83N/AN/A1031023,1631,327
2010-11-02$55.40$54.0025.1%7.2%12.7%20.1%22.5%4.6%-1.0%669.8K-9.1M-30.5K0.2432.56N/AN/A152363,2661,407
2010-11-03$55.40$54.0022.7%6.5%12.4%13.7%23.0%3.0%0.7%733.6K-9.6M-29.5K0.2438.20N/AN/A71173,3811,434
2010-11-04$56.68$54.0019.3%5.5%14.5%5.0%20.5%3.1%1.4%709.3K-12.7M-26.7K0.7954.41N/AN/A102813,3921,451
2010-11-05$57.29$51.0019.0%5.8%14.7%4.4%22.0%3.2%-2.5%681.6K-14.0M-24.6K0.2540.72N/AN/A226563,4221,516
2010-11-08$56.98$51.0020.3%6.0%15.0%7.6%22.9%3.4%-1.4%693.8K-13.7M-25.5K0.5544.25N/AN/A65363,4961,539
2010-11-09$54.67$51.0023.3%6.9%21.7%15.5%22.5%5.3%2.9%796.3K-7.8M-30.5K1.3046.95N/AN/A3334323,5031,548
2010-11-10$55.35$52.0022.0%6.8%21.8%12.0%23.5%5.3%-0.4%875.1K-9.0M-32.1K0.7541.28N/AN/A2591933,7581,841
2010-11-11$54.91$52.0024.1%6.9%22.0%17.6%18.2%4.4%-5.1%917.7K-8.2M-32.9K2.1246.37N/AN/A731553,9601,978
2010-11-12$54.40$53.0025.3%7.3%22.3%20.6%26.8%2.8%-0.1%912.3K-6.2M-33.0K0.2551.76N/AN/A69174,0062,112
2010-11-15$53.88$53.0024.3%7.0%22.0%18.0%24.3%2.5%1.9%914.1K-4.7M-31.5K0.2055.37N/AN/A6651314,0472,125
2010-11-16$52.03$53.0027.8%8.0%24.8%27.1%26.4%4.9%0.0%438.5K135.4K-30.0K3.1155.58N/AN/A742304,2842,230
2010-11-17$52.43$54.0026.8%7.7%23.5%24.6%25.4%6.3%-0.0%446.8K492.2K-29.1K1.2052.92N/AN/A51614,2742,374
2010-11-18$52.90$54.0024.3%7.0%23.8%18.0%22.8%5.0%2.4%541.4K84.3K-28.4K1.2539.29N/AN/A1782234,2942,431
2010-11-19$53.18$54.0021.7%6.2%24.0%11.3%21.9%4.3%3.5%462.4K220.2K-28.2K0.9145.88N/AN/A2892644,4322,631
2010-11-22$53.32$54.0023.4%6.7%24.0%15.6%20.4%5.0%0.0%333.9K-1.1M-27.6K1.0966.34N/AN/A2722963,2242,580
2010-11-23$52.90$54.0023.4%6.7%24.0%15.8%24.1%3.7%1.1%322.4K456.5K-28.8K1.3432.60N/AN/A2172913,4522,866
2010-11-24$53.92$54.0022.3%6.4%25.1%12.7%30.7%15.4%1.7%234.3K-2.0M-31.6K0.30121.83N/AN/A107323,6563,111
2010-11-26$53.81$54.0023.1%6.6%25.0%15.0%23.7%5.6%23.3%361.3K-1.8M-31.1K2.24113.43N/AN/A581303,7423,125
2010-11-29$53.78$54.0022.9%6.6%25.0%14.5%20.3%5.4%0.6%386.0K-1.0M-30.1K2.0034.27N/AN/A1012023,7753,242
2010-11-30$53.54$54.0024.1%6.9%24.8%17.5%25.5%4.8%0.6%366.3K138.5K-29.9K0.8533.66N/AN/A61523,8673,435