VNQ Options History — October 2011

In October 2011, VNQ traded between $48.47 and $58.80. ATM implied volatility averaged 36.5%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 5.5% (HV 20d: 42.0%). Max pain ranged from $47.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2011-10-27: Highest Volume — 1,149 contracts
  • 2011-10-31: Largest IV spike — 20.0% change
  • 2011-10-03: Highest IV Rank — 89.7%
  • 2011-10-03: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.42$48.47$58.80$48.47$58.14
Max Pain$50.14$47.00$55.00$55.00$51.00
ATM IV36.5%26.8%54.2%54.2%32.1%
Expected Move10.5%7.7%15.5%15.5%9.2%
HV 20d42.0%36.9%46.2%36.9%38.5%
HV 60d45.6%42.6%47.6%42.6%46.2%
IV Rank50.3%28.6%89.7%89.7%40.5%
IV Percentile87.5%75.4%98.8%98.8%82.1%
Term Structure-0.3%-3.3%1.4%-3.3%-2.0%
VWIV36.0%26.8%53.3%53.3%27.7%
Skew 25d11.4%8.6%16.4%13.4%10.2%
Skew 10d21.4%15.0%30.4%15.0%20.2%
Call IV 25d31.5%23.6%46.4%46.4%27.7%
Put IV 25d42.9%32.2%59.8%59.8%37.8%
Bid-Ask Spread %35.9620.0592.2121.3538.37
Gamma HHI0.100.060.470.070.10
Net GEX302.8K6.0K865.3K6.0K708.7K
Net DEX-1.3M-10.7M4.5M4.5M-10.0M
Net VEX-36.5K-53.7K-29.2K-29.2K-53.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.022.670.910.06
Total Volume330.7621141,149570159
Total OI7,440.5715,3038,6396,9257,375

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$48.47$55.0054.2%15.5%36.9%89.7%53.3%13.4%-3.3%6.0K4.5M-29.2K0.9121.35N/AN/A2982724,3742,551
2011-10-04$50.38$55.0044.8%12.8%40.3%68.6%43.9%11.3%-0.3%59.3K3.0M-35.1K0.0835.80N/AN/A523404,5142,753
2011-10-05$49.95$55.0043.5%12.5%37.2%65.8%44.1%11.1%-0.0%41.1K3.5M-32.5K0.9159.81N/AN/A2011824,6582,751
2011-10-06$51.32$54.0040.2%11.5%39.1%58.5%38.1%9.6%0.8%102.9K2.0M-35.9K0.1444.26N/AN/A127184,7112,893
2011-10-07$49.89$47.0043.0%12.0%38.8%64.6%37.5%16.4%0.2%74.7K2.1M-34.7K0.1792.21N/AN/A120204,7652,907
2011-10-10$52.38$47.0038.2%11.0%43.1%54.1%34.9%11.6%-0.2%191.2K664.6K-35.0K0.1940.26N/AN/A108204,8652,927
2011-10-11$51.34$47.0039.3%11.4%43.5%56.5%35.7%12.6%-0.8%111.6K2.0M-32.7K0.8735.57N/AN/A61534,9222,933
2011-10-12$52.18$47.0035.8%10.6%44.0%48.8%39.0%11.0%-0.5%185.8K749.7K-33.0K0.5733.51N/AN/A93534,9482,986
2011-10-13$51.84$49.0035.8%10.3%43.3%48.6%37.4%11.9%0.2%132.6K1.6M-31.3K0.3830.37N/AN/A106404,9883,038
2011-10-14$53.04$49.0034.3%9.8%44.2%45.2%33.2%12.1%-0.4%250.8K-5.5K-31.9K0.2229.13N/AN/A159354,9733,055
2011-10-17$51.89$49.0036.9%10.6%44.2%51.0%33.3%10.8%0.0%146.0K1.4M-29.8K0.5622.84N/AN/A126705,0533,055
2011-10-18$53.72$49.0034.1%9.8%46.2%44.9%35.0%9.7%1.1%365.6K-1.3M-32.5K0.3636.87N/AN/A104375,1003,117
2011-10-19$53.10$49.0037.3%10.7%42.1%52.0%34.7%12.3%-0.9%301.3K1.4K-32.1K2.3828.97N/AN/A872075,0833,137
2011-10-20$53.40$50.0036.7%10.5%41.1%50.6%39.6%12.5%-0.2%315.3K-253.4K-32.3K1.3930.25N/AN/A2102915,1243,177
2011-10-21$55.16$50.0033.7%9.6%42.5%43.9%31.3%11.0%0.8%865.3K-3.5M-37.2K0.1128.86N/AN/A332375,2983,341
2011-10-24$56.53$50.0027.3%7.8%43.0%29.8%27.8%10.1%1.4%314.9K-4.2M-38.0K0.0830.71N/AN/A566453,4021,901
2011-10-25$55.61$50.0032.2%9.2%43.5%40.7%32.7%12.4%0.4%372.4K-3.9M-40.2K0.0220.05N/AN/A32983,9231,915
2011-10-26$56.02$50.0032.1%9.2%42.3%40.4%41.1%11.3%-0.7%470.8K-5.1M-42.4K2.6730.73N/AN/A932484,2461,919
2011-10-27$58.68$50.0028.5%8.2%44.7%32.5%28.9%8.9%-0.9%602.6K-9.5M-45.8K0.3832.36N/AN/A8323174,3382,109
2011-10-28$58.80$50.0026.8%7.7%43.0%28.6%26.8%8.6%0.2%740.4K-10.7M-52.1K0.6232.91N/AN/A1971224,9872,140
2011-10-31$58.14$51.0032.1%9.2%38.5%40.5%27.7%10.2%-2.0%708.7K-10.0M-53.7K0.0638.37N/AN/A15095,1412,234