VNQ Options History — July 2011

In July 2011, VNQ traded between $60.70 and $63.18. ATM implied volatility averaged 19.5%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.0% (HV 20d: 17.4%). Max pain ranged from $59.00 to $63.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2011-07-29: Highest Volume — 3,096 contracts
  • 2011-07-11: Largest IV spike — 29.0% change
  • 2011-07-29: Highest IV Rank — 30.2%
  • 2011-07-29: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.85$60.70$63.18$61.13$61.04
Max Pain$60.30$59.00$63.00$59.00$63.00
ATM IV19.5%14.8%25.1%16.4%25.1%
Expected Move5.8%4.7%7.2%4.7%7.2%
HV 20d17.4%14.9%19.8%19.8%18.3%
HV 60d17.2%16.7%18.1%16.8%18.0%
IV Rank15.0%2.4%30.2%5.8%30.2%
IV Percentile42.1%5.6%88.5%12.7%88.5%
Term Structure0.8%-0.8%2.7%2.7%-0.8%
VWIV19.9%15.6%24.8%15.6%23.0%
Skew 25d5.4%3.8%6.5%4.1%6.3%
Skew 10d12.4%4.9%17.7%9.2%13.8%
Call IV 25d17.7%14.5%22.1%14.5%22.1%
Put IV 25d23.1%18.7%28.4%18.7%28.4%
Bid-Ask Spread %41.3324.3183.7728.2426.57
Gamma HHI0.180.130.220.190.19
Net GEX1.2M816.9K1.5M1.0M1.1M
Net DEX-12.8M-16.9M-8.7M-11.3M-9.4M
Net VEX-53.9K-75.5K-45.7K-47.1K-73.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.041.570.080.56
Total Volume521.351013,0962093,096
Total OI6,629.55,2709,9175,2709,917

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$61.13$59.0016.4%4.7%19.8%5.8%15.6%4.1%2.7%1.0M-11.3M-47.1K0.0828.24N/AN/A194154,0071,263
2011-07-05$61.60$59.0016.0%5.3%19.1%4.9%18.4%5.1%0.6%1.1M-12.5M-46.9K0.9750.15N/AN/A71694,1561,267
2011-07-06$62.06$59.0016.7%5.5%18.9%7.6%20.3%4.8%0.2%1.1M-13.6M-47.2K0.6853.87N/AN/A60414,1831,297
2011-07-07$62.84$59.0014.8%5.1%19.2%2.4%18.4%3.8%2.0%1.1M-15.6M-45.9K0.1054.53N/AN/A9294,1831,320
2011-07-08$62.76$59.0015.4%5.2%18.7%4.1%19.0%5.1%0.4%1.2M-15.3M-45.7K0.4150.21N/AN/A143584,2131,326
2011-07-11$61.67$59.0019.9%6.2%17.3%16.2%19.4%5.5%0.1%1.2M-12.7M-47.5K0.4353.03N/AN/A96414,3361,363
2011-07-12$61.88$60.0021.1%6.3%17.2%19.4%20.1%6.2%0.6%1.2M-13.4M-47.1K0.0950.48N/AN/A300264,3541,399
2011-07-13$61.27$60.0022.6%6.4%17.2%23.4%20.4%6.1%-0.2%1.3M-12.0M-48.2K0.4050.30N/AN/A202804,5941,413
2011-07-14$60.70$60.0022.4%6.4%16.4%23.0%22.2%5.8%0.6%1.2M-10.3M-49.2K0.0443.28N/AN/A390164,7361,460
2011-07-15$61.37$60.0021.4%6.1%16.6%20.3%21.1%5.8%0.4%1.5M-12.3M-49.1K0.2148.50N/AN/A150324,7961,476
2011-07-18$60.94$60.0021.3%6.1%16.7%20.1%22.0%6.0%0.8%816.9K-9.6M-48.7K0.6233.31N/AN/A2831754,1401,249
2011-07-19$61.92$60.0019.4%5.6%17.1%14.9%17.8%6.5%1.5%998.0K-12.3M-50.8K0.1432.12N/AN/A458664,3941,421
2011-07-20$62.37$60.0019.2%5.5%17.1%14.4%19.2%5.6%1.3%1.2M-14.4M-53.5K0.1583.77N/AN/A130194,7841,480
2011-07-21$62.87$60.0018.7%5.4%17.1%13.0%18.3%5.0%1.3%1.3M-16.0M-53.5K0.2230.76N/AN/A234524,8771,487
2011-07-22$63.18$60.0017.9%5.1%14.9%10.8%16.4%4.3%1.7%1.3M-16.9M-53.9K0.3928.19N/AN/A99394,9401,505
2011-07-25$62.59$60.0018.3%5.3%15.0%11.9%18.3%4.5%1.2%1.3M-15.2M-53.3K0.5124.31N/AN/A1,9741,0114,9891,524
2011-07-26$62.73$63.0017.9%5.1%15.0%10.9%18.6%5.0%1.2%1.5M-15.8M-75.5K0.4229.84N/AN/A72306,9422,515
2011-07-27$60.97$63.0022.0%6.3%18.6%21.9%24.8%6.0%-0.1%1.2M-8.7M-69.6K1.5726.73N/AN/A1602526,9772,545
2011-07-28$61.03$63.0022.7%6.5%18.3%23.7%24.0%6.3%-0.2%1.1M-8.8M-71.4K1.0028.36N/AN/A96967,0472,715
2011-07-29$61.04$63.0025.1%7.2%18.3%30.2%23.0%6.3%-0.8%1.1M-9.4M-73.2K0.5626.57N/AN/A1,9811,1157,1072,810