VNQ Options History — April 2011

In April 2011, VNQ traded between $57.39 and $62.19. ATM implied volatility averaged 15.7%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.2% (HV 20d: 12.5%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2011-04-28: Highest Volume — 337 contracts
  • 2011-04-11: Largest IV spike — 14.6% change
  • 2011-04-12: Highest IV Rank — 11.9%
  • 2011-04-13: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.15$57.39$62.19$58.56$61.83
Max Pain$56.70$55.00$57.00$55.00$57.00
ATM IV15.7%13.9%18.9%14.0%15.6%
Expected Move4.8%4.0%5.7%4.0%4.5%
HV 20d12.5%11.0%14.9%14.9%12.1%
HV 60d15.6%15.2%16.0%15.6%15.5%
IV Rank4.1%0.0%11.9%0.1%4.0%
IV Percentile6.6%0.0%23.8%0.4%6.7%
Term Structure1.7%0.6%3.8%3.8%1.2%
VWIV16.8%13.7%21.7%14.6%14.0%
Skew 25d4.2%2.5%5.5%3.7%3.9%
Skew 10d11.8%6.7%16.9%6.7%11.3%
Call IV 25d15.2%12.8%17.6%13.4%13.6%
Put IV 25d19.4%15.8%22.8%17.1%17.5%
Bid-Ask Spread %36.8117.7854.4719.8726.31
Gamma HHI0.240.180.390.190.24
Net GEX909.8K705.1K1.6M754.0K991.6K
Net DEX-10.1M-17.8M-5.9M-8.4M-17.0M
Net VEX-43.3K-45.3K-40.2K-44.3K-43.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.041.920.360.31
Total Volume154.551233714177
Total OI5,598.64,9456,0855,3875,881

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$58.56$55.0014.0%4.0%14.9%0.1%14.6%3.7%3.8%754.0K-8.4M-44.3K0.3619.87N/AN/A104373,4011,986
2011-04-04$58.52$56.0014.2%5.1%14.7%0.5%18.2%4.7%1.0%817.9K-8.5M-43.9K0.5951.15N/AN/A29173,4882,014
2011-04-05$58.58$56.0014.7%5.1%13.8%1.7%16.9%4.3%1.0%837.8K-8.7M-43.7K0.0449.85N/AN/A5523,5092,027
2011-04-06$58.61$56.0015.0%5.2%13.8%2.5%16.1%4.5%1.0%854.5K-8.8M-43.9K0.5154.47N/AN/A43223,5552,029
2011-04-07$57.96$56.0016.1%5.5%13.2%5.1%20.8%4.7%0.6%797.3K-7.1M-43.5K1.0948.38N/AN/A65713,5982,051
2011-04-08$57.54$57.0014.9%5.4%13.0%2.3%18.8%4.7%1.4%721.1K-6.1M-43.0K0.5046.35N/AN/A843,6172,114
2011-04-11$57.58$57.0017.1%5.4%12.5%7.5%19.1%5.5%1.1%763.7K-6.0M-41.6K0.2349.72N/AN/A195443,6172,111
2011-04-12$57.48$57.0018.9%5.6%12.3%11.9%20.2%4.8%1.1%748.4K-5.9M-42.0K0.1147.74N/AN/A179203,6422,143
2011-04-13$57.39$57.0017.6%5.7%11.0%8.6%21.7%4.9%0.7%794.0K-6.1M-43.0K1.0252.19N/AN/A45463,8042,115
2011-04-14$58.22$57.0018.2%5.2%11.7%10.2%16.2%5.2%1.3%1.1M-8.3M-42.9K0.0552.76N/AN/A279153,8252,077
2011-04-15$58.97$57.0016.9%4.8%12.1%6.9%16.1%4.7%1.5%1.6M-11.0M-44.0K0.0747.93N/AN/A146104,0132,072
2011-04-18$58.44$57.0018.1%5.2%12.1%9.8%17.7%3.8%1.7%705.1K-7.4M-43.8K0.8029.68N/AN/A123983,5121,433
2011-04-19$58.90$57.0016.1%4.6%12.1%5.1%17.5%3.6%2.7%789.3K-8.6M-44.6K0.1623.81N/AN/A229363,5991,528
2011-04-20$59.59$57.0014.3%4.1%11.7%0.8%15.4%3.7%2.5%931.4K-10.6M-45.3K0.7318.83N/AN/A77563,7861,557
2011-04-21$59.99$57.0014.0%4.0%11.7%0.1%14.9%3.6%2.6%1.0M-11.8M-45.1K0.1321.26N/AN/A96123,8511,550
2011-04-25$60.39$57.0014.8%4.2%11.8%1.9%14.7%3.5%2.1%1.0M-13.2M-43.7K0.2521.07N/AN/A95243,9091,543
2011-04-26$60.92$57.0013.9%4.0%11.9%0.0%13.7%2.5%2.8%1.0M-14.7M-42.3K0.0626.22N/AN/A207133,9781,561
2011-04-27$61.37$57.0014.8%4.2%12.0%2.1%14.1%4.0%2.1%1.0M-16.0M-41.9K1.9230.83N/AN/A601154,1401,561
2011-04-28$62.19$57.0014.2%4.1%11.8%0.7%14.7%3.3%2.2%943.3K-17.8M-40.2K0.0817.78N/AN/A312254,1581,617
2011-04-29$61.83$57.0015.6%4.5%12.1%4.0%14.0%3.9%1.2%991.6K-17.0M-43.0K0.3126.31N/AN/A59184,2501,631