VNQ Options History — January 2011

In January 2011, VNQ traded between $54.89 and $57.37. ATM implied volatility averaged 18.8%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 5.1% (HV 20d: 13.7%). Max pain ranged from $54.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.36.

Notable Days

  • 2011-01-10: Highest Volume — 4,723 contracts
  • 2011-01-28: Largest IV spike — 22.7% change
  • 2011-01-20: Highest IV Rank — 11.3%
  • 2011-01-07: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.76$54.89$57.37$56.40$57.17
Max Pain$54.90$54.00$55.00$54.00$55.00
ATM IV18.8%15.9%20.8%17.3%18.2%
Expected Move5.6%4.6%6.3%5.0%5.2%
HV 20d13.7%12.6%16.1%13.0%16.1%
HV 60d17.9%17.3%18.3%17.8%18.3%
IV Rank6.2%0.0%11.3%2.5%5.8%
IV Percentile7.3%0.0%19.4%0.8%4.8%
Term Structure1.7%0.2%3.0%2.9%1.2%
VWIV18.9%15.5%21.9%18.1%17.6%
Skew 25d5.0%3.4%5.9%4.7%5.1%
Skew 10d10.5%4.3%16.5%13.8%9.8%
Call IV 25d17.4%14.6%19.8%15.4%16.0%
Put IV 25d22.4%18.0%25.5%20.1%21.0%
Bid-Ask Spread %45.7625.0188.4147.6641.33
Gamma HHI0.190.140.260.220.16
Net GEX949.8K488.2K1.7M509.7K1.1M
Net DEX-6.0M-10.5M-2.9M-7.2M-9.3M
Net VEX-50.6K-63.5K-33.0K-33.0K-55.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.021.310.340.02
Total Volume524.25464,7232151,911
Total OI8,238.455,12110,4925,1218,734

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$56.40$54.0017.3%5.0%13.0%2.5%18.1%4.7%2.9%509.7K-7.2M-33.0K0.3447.66N/AN/A161542,8872,234
2011-01-04$55.32$54.0019.5%5.6%14.9%8.0%17.8%5.1%2.3%488.2K-4.6M-34.8K0.1854.08N/AN/A147272,9812,243
2011-01-05$55.52$55.0017.9%5.1%15.0%4.0%17.7%5.0%3.0%515.3K-5.1M-35.1K0.0758.81N/AN/A5643,0352,270
2011-01-06$55.00$55.0018.5%5.3%14.3%5.4%18.6%3.7%3.0%529.1K-4.3M-34.5K0.0458.87N/AN/A7533,0752,272
2011-01-07$55.02$55.0018.8%6.3%13.9%6.2%21.9%5.7%1.4%524.4K-3.8M-35.0K0.2925.01N/AN/A65193,1152,275
2011-01-10$55.01$55.0019.1%6.3%13.7%7.0%21.1%5.8%1.3%580.3K-4.1M-33.5K0.9526.98N/AN/A2,4232,3003,1702,292
2011-01-11$54.89$55.0018.3%6.2%13.8%4.8%19.7%5.2%1.3%696.3K-2.9M-63.5K0.2128.90N/AN/A3885,5814,525
2011-01-12$55.12$55.0017.5%6.2%13.2%2.8%18.8%5.2%0.2%880.3K-4.1M-61.4K0.0388.41N/AN/A10535,6074,533
2011-01-13$55.30$55.0020.4%5.9%12.6%10.3%20.1%5.3%1.3%1.1M-5.1M-60.8K0.5833.48N/AN/A102595,6444,536
2011-01-14$55.67$55.0018.6%5.3%12.7%5.7%19.1%5.5%2.0%1.3M-6.9M-60.2K0.3941.23N/AN/A66265,7324,551
2011-01-18$56.15$55.0019.2%5.5%12.7%7.2%19.9%4.9%1.5%1.5M-9.2M-57.0K0.0944.64N/AN/A129125,7634,569
2011-01-19$55.41$55.0020.3%5.8%13.3%10.0%19.9%5.7%1.5%1.6M-6.0M-56.3K1.3146.36N/AN/A65855,8484,572
2011-01-20$55.42$55.0020.8%6.0%12.9%11.3%20.2%4.2%1.4%1.7M-6.5M-57.3K0.5244.33N/AN/A62325,8524,604
2011-01-21$55.46$55.0020.5%5.9%12.6%10.5%19.9%5.9%1.3%1.7M-6.8M-55.3K0.0657.58N/AN/A180115,8684,624
2011-01-24$55.74$55.0018.6%5.3%12.6%5.7%17.3%4.5%1.7%518.7K-4.1M-53.1K0.1143.51N/AN/A468524,5163,383
2011-01-25$56.39$55.0018.3%5.3%13.1%5.0%17.4%4.8%1.5%825.4K-6.4M-56.0K0.3442.38N/AN/A119414,8883,434
2011-01-26$56.48$55.0017.9%5.1%13.1%3.9%17.7%5.0%1.7%927.7K-7.2M-56.0K1.0754.24N/AN/A43465,0043,456
2011-01-27$57.37$55.0015.9%4.6%14.1%0.0%15.5%3.4%2.3%1.2M-10.5M-55.8K0.4331.64N/AN/A126545,0253,469
2011-01-28$56.42$55.0019.5%5.6%15.5%9.0%19.9%4.6%0.9%889.5K-6.9M-57.0K0.1245.76N/AN/A1,1651435,1113,491
2011-01-31$57.17$55.0018.2%5.2%16.1%5.8%17.6%5.1%1.2%1.1M-9.3M-55.5K0.0241.33N/AN/A1,879325,1113,623