VNQ Options History — June 2011

In June 2011, VNQ traded between $58.10 and $60.88. ATM implied volatility averaged 20.9%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.2% (HV 20d: 19.7%). Max pain ranged from $55.00 to $61.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.29.

Notable Days

  • 2011-06-21: Highest Volume — 489 contracts
  • 2011-06-29: Largest IV drop — 13.9% change
  • 2011-06-16: Highest IV Rank — 25.5%
  • 2011-06-16: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.57$58.10$60.88$60.88$60.10
Max Pain$59.05$55.00$61.00$55.00$59.00
ATM IV20.9%17.9%24.7%18.3%17.9%
Expected Move6.0%5.1%7.1%5.2%5.1%
HV 20d19.7%17.5%22.2%17.5%18.8%
HV 60d15.6%14.6%16.5%15.0%16.5%
IV Rank16.7%9.5%25.5%10.4%9.5%
IV Percentile49.6%25.4%75.0%29.8%25.4%
Term Structure0.9%-1.8%2.7%0.6%2.0%
VWIV20.5%16.1%25.5%19.3%16.1%
Skew 25d7.5%4.6%44.0%5.0%4.8%
Skew 10d15.1%6.6%62.4%12.3%6.6%
Call IV 25d18.6%15.7%21.2%16.5%15.7%
Put IV 25d26.1%20.5%63.7%21.6%20.5%
Bid-Ask Spread %41.6523.5095.1424.8224.51
Gamma HHI0.190.120.320.180.17
Net GEX883.0K344.5K1.4M1.2M802.4K
Net DEX-7.9M-13.1M-4.3M-13.1M-8.2M
Net VEX-39.7K-44.7K-35.5K-41.2K-44.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.001.310.630.23
Total Volume220.13653489117331
Total OI5,527.5913,4196,7005,9944,997

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$60.88$55.0018.3%5.2%17.5%10.4%19.3%5.0%0.6%1.2M-13.1M-41.2K0.6324.82N/AN/A72454,3061,688
2011-06-02$60.44$55.0019.8%5.7%17.6%13.9%22.3%4.6%0.2%1.2M-11.9M-41.5K1.3128.18N/AN/A771014,3051,703
2011-06-03$60.68$61.0018.5%5.5%17.7%11.0%19.1%5.9%1.4%1.2M-12.4M-41.0K0.2840.07N/AN/A159444,3261,783
2011-06-06$59.79$60.0020.4%5.9%18.2%15.4%23.1%6.0%1.4%1.2M-10.2M-39.9K0.0636.02N/AN/A10864,3581,784
2011-06-07$60.42$60.0019.9%5.7%18.5%14.2%16.1%5.0%1.5%1.3M-12.6M-39.4K0.1242.84N/AN/A85104,4581,790
2011-06-08$60.25$60.0020.0%6.0%17.5%14.4%20.8%6.0%1.1%1.4M-12.1M-39.5K0.1338.18N/AN/A112144,5171,800
2011-06-09$59.60$60.0020.9%6.0%17.5%16.6%22.5%6.1%0.8%1.3M-9.9M-39.3K0.6524.79N/AN/A95624,5641,813
2011-06-10$58.10$60.0023.5%6.7%19.5%22.7%21.3%7.3%0.3%851.3K-5.5M-37.2K0.2025.15N/AN/A342674,5891,858
2011-06-13$58.34$60.0023.8%6.8%19.4%23.6%20.4%6.5%-0.1%933.1K-6.0M-35.9K0.0925.51N/AN/A143134,5951,900
2011-06-14$59.21$60.0022.0%6.3%20.2%19.2%19.7%6.0%0.6%1.3M-8.7M-36.7K0.0531.25N/AN/A408224,6631,905
2011-06-15$58.26$60.0023.5%6.7%20.9%22.7%22.2%7.4%0.5%871.4K-5.7M-36.5K0.0823.50N/AN/A141114,7911,909
2011-06-16$58.72$59.0024.7%7.1%20.8%25.5%25.5%44.0%-1.8%934.8K-6.3M-36.7K0.3657.95N/AN/A135494,6381,896
2011-06-17$59.28$59.0022.9%6.6%21.1%21.4%19.7%7.8%0.4%916.2K-7.6M-36.1K0.2333.51N/AN/A190434,6521,915
2011-06-20$60.00$59.0020.2%5.8%21.2%14.9%19.7%5.5%1.4%344.5K-4.3M-35.5K0.0953.39N/AN/A377332,3821,037
2011-06-21$60.47$59.0019.1%5.5%21.1%12.3%18.4%5.2%1.7%478.2K-5.6M-38.6K0.0841.66N/AN/A454352,7001,070
2011-06-22$60.29$58.0019.7%5.6%21.1%13.7%19.4%5.2%1.7%583.8K-6.5M-42.4K0.6449.22N/AN/A130833,1411,080
2011-06-23$59.07$59.0021.6%6.2%22.2%18.1%23.4%5.9%1.2%459.7K-4.6M-42.8K0.6292.84N/AN/A65403,2611,150
2011-06-24$58.58$59.0022.3%6.4%21.7%20.0%23.0%5.1%0.8%452.0K-4.3M-41.9K0.0762.66N/AN/A181133,2691,189
2011-06-27$58.83$59.0022.1%6.3%21.6%19.3%21.7%5.6%0.6%484.6K-4.8M-42.2K0.3995.14N/AN/A38153,3141,202
2011-06-28$59.32$59.0021.3%6.1%20.9%17.6%19.5%5.6%0.8%561.2K-5.5M-41.9K0.0034.57N/AN/A19303,3481,215
2011-06-29$59.94$59.0018.4%5.3%18.9%10.5%18.9%5.1%2.7%684.4K-7.4M-43.1K0.0230.48N/AN/A29473,5311,215
2011-06-30$60.10$59.0017.9%5.1%18.8%9.5%16.1%4.8%2.0%802.4K-8.2M-44.7K0.2324.51N/AN/A270613,7871,210