VNQ Options History — September 2011

In September 2011, VNQ traded between $50.87 and $57.28. ATM implied volatility averaged 37.8%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 1.0% (HV 20d: 36.8%). Max pain ranged from $50.00 to $57.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2011-09-19: Highest Volume — 986 contracts
  • 2011-09-06: Largest IV spike — 73.1% change
  • 2011-09-06: Highest IV Rank — 98.6%
  • 2011-09-30: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.50$50.87$57.28$56.78$50.87
Max Pain$54.38$50.00$57.00$55.00$55.00
ATM IV37.8%29.8%58.2%30.9%44.8%
Expected Move10.5%8.6%12.8%8.9%12.8%
HV 20d36.8%29.2%58.7%58.7%34.2%
HV 60d40.0%38.4%41.6%38.5%41.6%
IV Rank53.1%35.4%98.6%37.8%68.8%
IV Percentile94.6%88.5%99.6%93.3%98.8%
Term Structure-0.0%-2.3%2.6%-0.2%-1.3%
VWIV36.5%26.9%45.5%29.2%35.8%
Skew 25d11.7%6.7%14.5%8.1%14.5%
Skew 10d21.5%14.0%25.1%16.4%20.8%
Call IV 25d31.8%25.8%38.7%28.0%38.7%
Put IV 25d43.5%36.2%53.2%36.2%53.2%
Bid-Ask Spread %30.0015.06112.9431.6117.19
Gamma HHI0.100.060.500.080.06
Net GEX344.4K75.4K1.3M448.1K75.4K
Net DEX-1.8M-8.0M2.5M-5.0M2.5M
Net VEX-38.2K-44.3K-33.8K-44.3K-34.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.044.770.320.05
Total Volume319.28692986104259
Total OI7,508.0484,8059,9717,8086,693

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$56.78$55.0030.9%8.9%58.7%37.8%29.2%8.1%-0.2%448.1K-5.0M-44.3K0.3231.61N/AN/A79254,9342,874
2011-09-02$55.44$55.0033.7%9.6%58.7%43.9%29.3%6.7%-0.1%331.2K-2.4M-41.3K0.0539.69N/AN/A237114,9962,880
2011-09-06$55.20$56.0058.2%10.5%47.5%98.6%40.6%9.8%-1.5%329.6K-2.4M-42.0K0.84112.94N/AN/A50425,1962,877
2011-09-07$57.28$56.0033.3%9.3%38.7%43.1%36.5%10.8%0.6%613.7K-6.5M-40.9K0.4718.23N/AN/A3061445,1902,901
2011-09-08$56.84$54.0033.9%9.7%37.6%44.4%42.9%11.5%-0.8%630.9K-6.2M-42.3K1.0726.83N/AN/A83895,4223,025
2011-09-09$55.06$54.0039.1%11.1%35.5%56.1%32.9%13.1%-1.2%351.1K-2.0M-40.1K0.5149.63N/AN/A4332215,4573,107
2011-09-12$55.24$54.0043.5%11.4%35.6%65.8%39.2%13.9%-2.3%360.5K-2.2M-39.9K4.7723.75N/AN/A221055,8213,326
2011-09-13$55.37$54.0036.1%10.6%33.0%49.4%38.9%11.7%-0.3%378.9K-2.6M-38.7K0.0427.95N/AN/A290125,8213,401
2011-09-14$55.73$50.0032.3%9.8%33.1%41.0%42.4%10.7%1.1%466.7K-3.8M-38.8K2.3131.96N/AN/A621435,9243,407
2011-09-15$56.65$50.0031.2%8.9%33.7%38.4%38.2%11.1%1.8%624.0K-5.8M-38.4K0.8425.57N/AN/A3432885,9503,521
2011-09-16$57.20$50.0029.8%8.6%29.2%35.4%31.7%11.1%1.9%1.3M-8.0M-38.3K0.4824.40N/AN/A133646,2443,727
2011-09-19$55.95$51.0030.6%8.8%29.5%37.2%26.9%11.5%2.6%250.2K-2.3M-35.1K0.7521.75N/AN/A5644223,1151,690
2011-09-20$55.92$56.0030.5%8.7%29.5%36.9%28.6%10.6%1.0%295.2K-2.1M-38.8K0.5521.77N/AN/A3912163,6722,082
2011-09-21$52.97$57.0037.1%10.6%34.5%51.5%45.5%12.1%1.2%154.8K1.1M-36.1K1.5528.18N/AN/A1462264,0212,225
2011-09-22$51.68$56.0041.8%12.0%35.0%62.0%39.5%13.2%-0.3%93.1K1.9M-35.3K0.2224.43N/AN/A428934,1222,347
2011-09-23$51.56$56.0042.4%12.1%34.5%63.3%40.1%12.6%-1.4%79.1K1.8M-35.3K0.9815.06N/AN/A53523,7902,374
2011-09-26$52.28$56.0041.6%11.9%34.6%61.5%37.3%12.9%-0.8%107.2K1.2M-36.2K0.7931.33N/AN/A52413,8252,399
2011-09-27$52.80$56.0036.8%10.6%32.3%51.0%32.8%11.8%1.2%131.7K1.1M-35.5K0.1620.03N/AN/A213353,8562,414
2011-09-28$51.46$56.0043.3%12.4%33.1%65.3%38.2%14.2%-1.4%83.4K2.1M-33.8K0.4117.15N/AN/A160663,9782,443
2011-09-29$52.26$55.0042.5%12.2%33.4%63.6%39.1%13.9%-0.5%137.0K1.2M-36.8K1.0820.62N/AN/A51554,1152,507
2011-09-30$50.87$55.0044.8%12.8%34.2%68.8%35.8%14.5%-1.3%75.4K2.5M-34.4K0.0517.19N/AN/A247124,1542,539