VNQ Options History — November 2011

In November 2011, VNQ traded between $52.12 and $58.43. ATM implied volatility averaged 34.4%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 0.8% (HV 20d: 35.3%). Max pain ranged from $51.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2011-11-03: Highest Volume — 1,513 contracts
  • 2011-11-09: Largest IV spike — 29.8% change
  • 2011-11-09: Highest IV Rank — 57.7%
  • 2011-11-01: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.65$52.12$58.43$56.27$55.93
Max Pain$54.43$51.00$55.00$51.00$54.00
ATM IV34.4%27.8%39.8%38.6%27.8%
Expected Move9.8%8.0%11.1%11.1%8.0%
HV 20d35.3%29.9%39.5%39.5%34.1%
HV 60d37.6%36.5%42.6%42.6%38.0%
IV Rank45.7%30.8%57.7%54.9%30.8%
IV Percentile82.8%68.3%92.1%90.9%68.3%
Term Structure-0.2%-2.2%2.1%-1.9%2.1%
VWIV32.4%25.6%43.2%40.1%28.1%
Skew 25d12.2%8.5%15.3%11.0%12.0%
Skew 10d24.7%20.8%30.0%25.0%22.7%
Call IV 25d28.9%22.0%33.8%33.8%22.0%
Put IV 25d41.1%34.0%45.5%44.8%34.0%
Bid-Ask Spread %31.8315.5678.0926.0725.59
Gamma HHI0.110.070.150.090.10
Net GEX536.2K127.1K1.1M552.6K489.6K
Net DEX-3.0M-10.1M4.0M-6.3M-1.3M
Net VEX-56.5K-68.6K-49.1K-51.1K-53.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.0110.821.530.29
Total Volume315.762141,513129304
Total OI9,005.6677,51810,5037,5188,908

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$56.27$51.0038.6%11.1%39.5%54.9%40.1%11.0%-1.9%552.6K-6.3M-51.1K1.5326.07N/AN/A51785,2792,239
2011-11-02$57.35$52.0036.4%10.4%39.4%50.0%33.1%11.9%-1.9%655.1K-8.4M-53.0K2.3930.73N/AN/A441055,2852,299
2011-11-03$58.14$52.0033.2%9.5%38.8%42.9%29.4%10.8%-0.8%728.4K-9.8M-55.5K0.9429.60N/AN/A7797345,3232,399
2011-11-04$57.67$55.0032.1%9.2%37.0%40.6%28.9%12.0%-0.0%881.0K-8.2M-68.6K1.2225.21N/AN/A55676,0523,111
2011-11-07$57.68$55.0032.2%9.3%33.7%40.8%31.1%13.1%-2.2%918.8K-7.9M-65.9K0.0860.85N/AN/A118106,0493,168
2011-11-08$58.43$55.0030.7%8.8%32.5%37.3%28.3%11.5%0.5%1.1M-10.1M-67.2K0.2031.54N/AN/A128266,1493,171
2011-11-09$55.76$55.0039.8%10.7%37.3%57.7%34.9%15.3%-1.7%632.9K-3.6M-61.1K10.8227.65N/AN/A171846,2003,178
2011-11-10$55.75$55.0035.8%10.3%37.2%48.7%32.2%12.2%-1.0%645.3K-3.9M-61.8K0.0876.48N/AN/A1316,1883,362
2011-11-11$57.25$55.0032.7%9.4%37.4%41.7%26.9%12.4%0.1%910.2K-6.4M-62.1K1.3429.58N/AN/A1051416,1763,363
2011-11-14$56.19$55.0035.0%10.0%37.1%47.0%43.2%12.3%-0.5%632.9K-3.3M-58.9K0.1130.22N/AN/A233256,2643,490
2011-11-15$56.61$55.0032.8%9.4%35.4%42.0%35.5%12.6%0.1%761.9K-4.7M-59.1K0.4125.78N/AN/A74306,3293,500
2011-11-16$56.07$55.0034.2%9.8%35.3%45.1%28.4%12.6%0.2%585.3K-2.6M-57.3K0.0127.36N/AN/A72756,2803,501
2011-11-17$55.04$55.0036.0%10.3%36.0%49.2%33.1%14.7%-0.4%363.7K-645.8K-57.0K0.4424.44N/AN/A100446,9963,498
2011-11-18$55.39$55.0032.9%9.4%34.2%42.3%30.3%13.0%1.8%204.9K-1.3M-55.2K0.2627.75N/AN/A364947,0043,499
2011-11-21$53.99$55.0035.6%10.2%34.1%48.3%31.8%13.8%0.3%268.3K1.5M-50.5K0.0615.56N/AN/A425255,1832,687
2011-11-22$53.74$55.0033.7%9.7%33.7%44.0%25.6%11.7%0.7%298.5K1.4M-50.8K1.1018.57N/AN/A3704065,4662,702
2011-11-23$52.12$55.0037.5%10.8%35.0%52.5%40.9%13.0%0.6%127.1K4.0M-49.6K5.6117.90N/AN/A573205,4773,074
2011-11-25$52.35$55.0038.1%10.9%29.9%53.8%35.1%8.5%-1.8%130.3K3.7M-50.6K0.2478.09N/AN/A3485,5003,211
2011-11-28$53.52$55.0033.3%9.5%31.4%43.1%32.2%11.4%1.3%160.4K3.0M-49.1K0.3919.13N/AN/A164645,5273,213
2011-11-29$53.44$54.0034.9%10.0%31.3%46.6%31.8%11.4%0.4%181.2K2.9M-49.7K0.2920.36N/AN/A79235,6193,200
2011-11-30$55.93$54.0027.8%8.0%34.1%30.8%28.1%12.0%2.1%489.6K-1.3M-53.1K0.2925.59N/AN/A236685,6923,216