VNQ Options History — May 2011

In May 2011, VNQ traded between $60.08 and $62.68. ATM implied volatility averaged 17.3%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.1% (HV 20d: 13.2%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2011-05-12: Highest Volume — 589 contracts
  • 2011-05-10: Largest IV drop — 12.7% change
  • 2011-05-16: Highest IV Rank — 13.1%
  • 2011-05-06: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.06$60.08$62.68$61.92$62.68
Max Pain$55.38$55.00$57.00$57.00$55.00
ATM IV17.3%14.1%19.4%15.9%14.1%
Expected Move5.1%4.0%5.7%4.6%4.0%
HV 20d13.2%12.1%14.3%12.1%14.3%
HV 60d15.4%13.5%16.2%15.5%13.7%
IV Rank8.1%0.5%13.1%4.7%0.5%
IV Percentile19.2%1.6%35.7%8.7%1.6%
Term Structure1.8%0.6%4.0%1.6%1.5%
VWIV17.9%14.8%21.0%16.1%15.8%
Skew 25d4.6%3.6%5.3%4.5%4.3%
Skew 10d12.7%6.9%17.0%11.5%12.1%
Call IV 25d15.9%12.3%18.0%14.9%12.3%
Put IV 25d20.5%16.6%22.6%19.4%16.6%
Bid-Ask Spread %44.2219.5088.2724.2319.50
Gamma HHI0.230.190.290.240.19
Net GEX1.2M915.6K1.5M1.0M1.0M
Net DEX-14.1M-17.2M-10.2M-17.2M-17.2M
Net VEX-41.5K-46.4K-34.2K-42.1K-34.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.011.930.290.03
Total Volume211.52427589189508
Total OI6,201.7625,3457,0215,9245,699

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$61.92$57.0015.9%4.6%12.1%4.7%16.1%4.5%1.6%1.0M-17.2M-42.1K0.2924.23N/AN/A147424,2871,637
2011-05-03$61.39$57.0017.3%5.0%12.7%8.0%16.6%4.3%1.2%1.1M-16.0M-43.8K0.1725.84N/AN/A4784,3341,608
2011-05-04$61.04$57.0017.8%5.1%13.1%9.3%20.3%5.3%1.0%1.1M-15.2M-44.4K1.0024.81N/AN/A41414,3511,616
2011-05-05$61.00$57.0017.4%5.0%13.1%8.3%18.4%4.4%1.5%1.1M-14.9M-44.1K1.9330.34N/AN/A1843564,3351,636
2011-05-06$60.46$55.0018.8%5.7%12.8%11.7%19.1%4.9%0.6%1.0M-13.0M-46.4K1.6154.68N/AN/A41664,2811,858
2011-05-09$60.77$55.0017.5%5.4%12.3%8.4%20.1%4.9%1.4%1.1M-13.9M-44.1K0.4951.94N/AN/A101504,2841,905
2011-05-10$61.73$55.0015.2%5.0%13.1%3.1%17.2%4.8%2.3%1.1M-16.6M-41.9K0.0354.32N/AN/A6624,3101,951
2011-05-11$61.08$55.0016.7%5.3%14.0%6.6%16.9%4.9%2.1%1.2M-14.5M-43.4K0.0250.48N/AN/A29874,3231,953
2011-05-12$61.18$55.0018.6%5.3%13.9%11.2%19.5%5.2%2.1%1.2M-15.1M-43.6K1.3856.21N/AN/A2483414,4681,959
2011-05-13$60.53$55.0019.2%5.5%14.0%12.6%17.2%5.1%1.4%1.2M-11.9M-44.2K0.3560.89N/AN/A2074,5422,295
2011-05-16$60.62$55.0019.4%5.6%13.4%13.1%19.0%4.6%1.7%1.3M-12.4M-42.0K0.0157.17N/AN/A21924,5602,300
2011-05-17$60.60$55.0019.3%5.5%12.9%12.8%20.9%3.7%1.6%1.4M-12.3M-41.9K0.1953.80N/AN/A108214,6502,301
2011-05-18$61.19$55.0018.2%5.2%13.0%10.3%21.0%4.9%3.0%1.5M-14.7M-40.5K0.5953.95N/AN/A17104,7072,314
2011-05-19$61.45$55.0017.5%5.0%12.5%8.5%16.4%4.9%3.3%1.5M-15.6M-38.3K0.0546.96N/AN/A5934,6872,255
2011-05-20$60.70$55.0017.3%4.9%13.3%7.9%17.2%3.6%4.0%1.5M-13.3M-39.4K0.0657.43N/AN/A418264,7052,256
2011-05-23$60.08$55.0018.6%5.3%13.6%11.0%17.9%4.7%0.7%915.6K-10.2M-40.0K0.5427.65N/AN/A134733,7421,603
2011-05-24$60.26$55.0017.6%5.1%13.3%8.8%17.6%4.7%1.2%968.2K-10.9M-40.6K0.0831.97N/AN/A178143,8421,655
2011-05-25$60.54$55.0016.4%4.7%13.1%6.0%16.7%4.7%1.8%1.0M-11.7M-40.1K0.1023.51N/AN/A143143,8881,666
2011-05-26$61.35$55.0016.1%4.6%13.1%5.3%14.8%4.0%2.1%1.1M-14.3M-38.9K0.1034.76N/AN/A125134,0271,675
2011-05-27$61.70$55.0014.4%4.1%13.1%1.1%16.0%3.6%2.8%1.2M-15.4M-37.5K0.0888.27N/AN/A225194,0931,679
2011-05-31$62.68$55.0014.1%4.0%14.3%0.5%15.8%4.3%1.5%1.0M-17.2M-34.2K0.0319.50N/AN/A493154,0121,687