VNQ Options History — December 2010

In December 2010, VNQ traded between $53.01 and $55.48. ATM implied volatility averaged 19.7%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.9% (HV 20d: 16.9%). Max pain ranged from $54.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2010-12-14: Highest Volume — 1,617 contracts
  • 2010-12-13: Largest IV spike — 15.7% change
  • 2010-12-13: Highest IV Rank — 17.3%
  • 2010-12-08: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.42$53.01$55.48$53.85$55.37
Max Pain$54.41$54.00$55.00$54.00$54.00
ATM IV19.7%16.4%24.1%22.4%18.7%
Expected Move5.6%4.7%6.5%6.4%5.4%
HV 20d16.9%11.3%25.4%24.7%11.3%
HV 60d18.7%17.4%19.9%19.6%17.4%
IV Rank7.1%0.0%17.3%13.1%6.0%
IV Percentile8.1%0.0%40.9%18.7%4.4%
Term Structure2.8%1.9%4.3%2.2%2.7%
VWIV20.0%16.0%22.9%22.4%20.9%
Skew 25d4.0%2.7%5.4%5.0%4.3%
Skew 10d11.0%5.2%17.1%9.0%13.4%
Call IV 25d18.2%14.9%20.8%20.8%16.2%
Put IV 25d22.3%18.4%25.9%25.9%20.5%
Bid-Ask Spread %32.9423.4055.6427.4053.78
Gamma HHI0.260.210.310.260.24
Net GEX514.9K7.4K978.3K436.7K463.7K
Net DEX-2.0M-5.1M3.1M-636.8K-4.8M
Net VEX-30.6K-36.1K-23.8K-30.0K-35.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.003.970.170.38
Total Volume239.045331,61732833
Total OI6,726.3184,0209,3407,3605,104

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$53.85$54.0022.4%6.4%24.7%13.1%22.4%5.0%2.2%436.7K-636.8K-30.0K0.1727.40N/AN/A280483,9213,439
2010-12-02$54.68$54.0020.2%5.8%25.4%7.5%20.6%5.1%1.9%624.1K-2.7M-31.2K0.1031.07N/AN/A8484,1363,485
2010-12-03$54.67$54.0019.6%5.6%23.9%5.8%20.2%3.4%2.0%638.0K-3.3M-31.1K0.3931.17N/AN/A59234,2103,486
2010-12-06$54.78$55.0019.9%6.1%23.5%6.6%22.0%4.3%4.1%706.6K-3.6M-29.5K0.2623.92N/AN/A57154,2603,490
2010-12-07$54.90$55.0020.9%6.2%23.5%9.3%21.0%4.2%3.5%711.4K-4.4M-29.6K0.1423.50N/AN/A237324,3013,502
2010-12-08$54.09$55.0022.1%6.5%19.0%12.2%22.9%5.4%2.4%776.4K-1.8M-29.5K1.1323.40N/AN/A45514,4943,503
2010-12-09$53.61$55.0021.2%6.1%18.6%10.1%22.0%3.7%3.2%732.6K-244.0K-27.1K3.9732.40N/AN/A341354,4373,468
2010-12-10$53.96$55.0020.8%6.1%18.7%8.9%21.3%4.1%2.7%874.0K-1.6M-27.4K0.3424.98N/AN/A117404,4343,518
2010-12-13$54.05$55.0024.1%6.0%18.4%17.3%19.6%3.7%3.0%978.3K-1.8M-25.8K0.0027.32N/AN/A3504,4723,548
2010-12-14$53.52$55.0022.2%5.8%18.4%12.5%21.2%3.5%2.6%853.0K542.5K-23.8K0.6626.27N/AN/A9756424,4833,548
2010-12-15$53.01$55.0021.1%6.0%13.7%9.7%21.6%3.7%2.7%497.7K2.8M-29.4K1.2132.63N/AN/A66804,8804,178
2010-12-16$53.10$55.0020.6%5.9%13.5%8.4%21.3%3.3%2.9%475.5K3.1M-28.6K0.8624.52N/AN/A1341154,8764,238
2010-12-17$53.54$54.0018.3%5.2%13.4%2.4%19.0%4.0%4.3%7.4K1.9M-29.4K0.5523.83N/AN/A145805,0014,339
2010-12-20$54.18$54.0017.2%4.9%13.9%0.0%16.3%2.7%2.6%95.0K-1.2M-28.6K0.1731.74N/AN/A359622,1151,905
2010-12-21$54.75$54.0016.4%4.7%14.3%0.0%16.0%3.4%2.5%214.8K-2.9M-30.8K0.0935.17N/AN/A182162,3711,957
2010-12-22$55.17$54.0017.5%5.0%14.1%2.8%19.9%3.9%2.7%378.6K-3.7M-33.4K0.3034.49N/AN/A183552,4961,966
2010-12-23$54.92$54.0018.4%5.3%12.7%5.1%16.2%3.2%2.5%228.3K-3.8M-32.8K0.5828.61N/AN/A1961142,6172,000
2010-12-27$55.00$54.0018.0%5.2%12.7%4.1%16.7%4.5%3.1%345.9K-3.4M-34.0K0.5744.07N/AN/A155882,6652,097
2010-12-28$55.22$54.0018.3%5.3%12.7%5.0%18.4%4.3%2.3%394.9K-4.0M-35.0K0.9045.85N/AN/A68612,7582,162
2010-12-29$55.33$54.0018.6%5.3%12.5%5.7%19.2%4.7%2.7%435.1K-4.4M-36.1K0.3542.96N/AN/A74262,8252,201
2010-12-30$55.48$54.0018.1%5.2%12.4%4.4%20.2%4.5%2.9%459.9K-5.1M-35.6K0.3955.64N/AN/A36142,8802,213
2010-12-31$55.37$54.0018.7%5.4%11.3%6.0%20.9%4.3%2.7%463.7K-4.8M-35.2K0.3853.78N/AN/A2492,8772,227