VNQ Options History — March 2011

In March 2011, VNQ traded between $56.12 and $58.47. ATM implied volatility averaged 19.0%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 0.6% (HV 20d: 19.6%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 1.18.

Notable Days

  • 2011-03-11: Highest Volume — 892 contracts
  • 2011-03-10: Largest IV spike — 21.9% change
  • 2011-03-16: Highest IV Rank — 26.8%
  • 2011-03-16: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.44$56.12$58.47$58.08$58.47
Max Pain$55.74$55.00$57.00$55.00$55.00
ATM IV19.0%14.7%25.2%20.1%15.7%
Expected Move5.5%4.2%7.2%5.8%4.5%
HV 20d19.6%15.4%22.1%17.7%15.4%
HV 60d15.8%15.0%16.2%15.0%15.6%
IV Rank12.0%1.7%26.8%14.6%4.1%
IV Percentile20.0%0.8%63.9%22.6%2.8%
Term Structure1.7%0.3%3.8%0.7%1.8%
VWIV19.5%12.3%28.1%19.0%17.4%
Skew 25d5.2%2.3%8.0%3.5%4.4%
Skew 10d13.2%7.0%20.6%8.5%7.0%
Call IV 25d17.4%12.7%22.7%18.8%12.7%
Put IV 25d22.6%17.1%30.2%22.3%17.1%
Bid-Ask Spread %30.5620.8953.5441.7326.54
Gamma HHI0.210.130.450.260.18
Net GEX1.0M272.4K1.9M1.4M720.9K
Net DEX-6.8M-11.7M-2.9M-11.1M-8.1M
Net VEX-41.4K-47.9K-34.5K-47.9K-44.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.039.030.111.00
Total Volume23927892205156
Total OI7,329.7393,6329,1528,6415,334

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$58.08$55.0020.1%5.8%17.7%14.6%19.0%3.5%0.7%1.4M-11.1M-47.9K0.1141.73N/AN/A185205,0913,550
2011-03-02$57.55$55.0019.4%5.6%18.0%12.9%20.5%3.5%1.2%1.3M-8.5M-45.8K0.5553.54N/AN/A77425,2293,570
2011-03-03$58.38$55.0019.3%5.5%18.7%12.7%21.3%5.1%0.8%1.7M-11.7M-47.0K0.2430.71N/AN/A144345,2673,599
2011-03-04$57.82$55.0018.8%5.8%19.1%11.5%19.5%5.6%1.4%1.5M-9.6M-45.3K0.4030.38N/AN/A65265,3513,585
2011-03-07$57.40$55.0020.5%6.1%19.1%15.6%21.4%5.7%1.0%1.4M-8.3M-42.7K0.0730.45N/AN/A193145,3933,598
2011-03-08$58.21$56.0018.1%5.8%19.4%9.9%18.8%5.7%1.5%1.9M-11.5M-43.6K0.0333.18N/AN/A3415,4193,612
2011-03-09$58.15$56.0018.4%5.8%19.3%10.6%19.7%4.9%1.8%1.9M-10.1M-41.3K9.0326.42N/AN/A292625,4333,613
2011-03-10$57.26$56.0022.5%6.4%20.1%20.3%22.6%6.2%0.9%1.4M-7.6M-40.1K0.6328.38N/AN/A70445,4553,408
2011-03-11$57.84$57.0020.9%6.0%20.4%16.4%21.2%6.9%1.2%1.8M-9.0M-39.8K3.2929.78N/AN/A2086845,4643,426
2011-03-14$57.26$57.0022.7%6.5%20.5%20.8%23.7%6.4%0.3%1.3M-7.2M-37.4K1.9429.31N/AN/A18355,5653,303
2011-03-15$56.96$57.0022.6%6.5%20.6%20.6%22.0%6.2%0.8%1.1M-6.1M-36.5K1.2729.88N/AN/A851085,5613,330
2011-03-16$56.12$57.0025.2%7.2%21.1%26.8%28.1%7.5%0.7%594.5K-3.6M-35.1K0.5236.76N/AN/A128675,5933,389
2011-03-17$56.55$56.0022.2%6.4%21.3%19.5%19.9%8.0%1.0%672.8K-4.4M-34.8K0.1326.37N/AN/A112155,6493,454
2011-03-18$57.12$56.0020.1%5.8%21.7%14.6%19.7%5.9%2.9%940.5K-6.0M-35.3K0.2033.68N/AN/A166335,6883,464
2011-03-21$57.74$56.0016.8%4.8%22.1%6.7%19.1%6.8%2.7%313.8K-3.9M-34.5K0.4433.89N/AN/A5132252,2611,371
2011-03-22$57.37$56.0017.1%4.9%22.0%7.5%20.9%5.7%2.7%372.2K-4.0M-41.9K2.7033.05N/AN/A1223302,7401,573
2011-03-23$56.74$56.0017.6%5.0%22.1%8.5%17.6%2.3%2.0%272.4K-2.9M-42.8K0.4122.81N/AN/A199822,8491,875
2011-03-24$56.98$56.0014.7%4.2%22.0%1.7%12.3%2.4%3.8%380.4K-3.5M-41.6K0.6020.89N/AN/A2451463,0361,940
2011-03-25$57.01$55.0015.9%4.6%20.8%4.5%15.3%4.1%2.8%454.8K-4.3M-44.8K0.1027.24N/AN/A5863,1391,973
2011-03-28$56.94$55.0016.9%4.8%18.4%6.9%15.9%4.0%2.3%454.7K-4.4M-43.8K0.1728.69N/AN/A2343,1681,959
2011-03-29$57.17$55.0016.5%4.7%15.4%6.0%17.3%3.7%2.1%515.5K-4.8M-43.3K2.6324.77N/AN/A19503,1891,963
2011-03-30$58.00$55.0015.0%4.3%15.9%2.5%14.7%4.2%3.2%638.6K-6.5M-43.4K0.7624.33N/AN/A2381823,1921,963
2011-03-31$58.47$55.0015.7%4.5%15.4%4.1%17.4%4.4%1.8%720.9K-8.1M-44.0K1.0026.54N/AN/A78783,3661,968