VNQ Options History — December 2011

In December 2011, VNQ traded between $54.69 and $58.57. ATM implied volatility averaged 25.2%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 3.8% (HV 20d: 28.9%). Max pain ranged from $47.00 to $57.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2011-12-19: Highest Volume — 2,662 contracts
  • 2011-12-13: Largest IV drop — 37.2% change
  • 2011-12-08: Highest IV Rank — 38.0%
  • 2011-12-08: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.61$54.69$58.57$55.47$58.00
Max Pain$55.00$47.00$57.00$54.00$57.00
ATM IV25.2%19.5%31.0%29.3%24.1%
Expected Move7.5%6.0%8.8%8.4%6.9%
HV 20d28.9%21.4%33.4%33.4%21.4%
HV 60d35.7%32.2%37.2%37.2%32.2%
IV Rank25.1%12.4%38.0%34.2%22.6%
IV Percentile61.5%44.8%71.8%68.7%59.9%
Term Structure2.1%0.7%3.7%2.3%1.8%
VWIV25.6%20.2%44.4%29.3%23.0%
Skew 25d8.0%4.5%11.2%9.2%8.1%
Skew 10d18.6%11.4%26.1%18.1%18.6%
Call IV 25d23.0%19.2%26.1%25.0%20.4%
Put IV 25d31.0%24.6%37.3%34.2%28.5%
Bid-Ask Spread %38.9715.1378.8725.3078.87
Gamma HHI0.160.090.240.090.20
Net GEX981.5K379.2K1.7M452.8K1.6M
Net DEX-5.8M-15.6M501.0K-494.1K-14.8M
Net VEX-67.2K-89.9K-53.3K-53.3K-87.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.012.670.242.67
Total Volume479.048832,662176235
Total OI10,376.196,72912,0199,08211,067

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$55.47$54.0029.3%8.4%33.4%34.2%29.3%9.2%2.3%452.8K-494.1K-53.3K0.2425.30N/AN/A142345,8563,226
2011-12-02$55.42$54.0028.4%8.1%32.9%32.2%22.9%9.1%2.1%481.1K-1.0M-53.8K1.5821.65N/AN/A791255,9913,247
2011-12-05$55.89$53.0028.2%8.3%33.0%31.7%44.4%11.2%0.7%558.9K-1.6M-53.4K0.8127.62N/AN/A1561276,0563,323
2011-12-06$55.80$47.0027.1%8.2%33.0%29.4%25.8%10.4%2.1%590.4K-1.8M-53.6K2.2227.03N/AN/A631406,0823,374
2011-12-07$56.41$56.0028.2%8.2%32.9%31.7%24.6%9.7%1.6%672.1K-2.6M-54.8K0.1715.13N/AN/A1,1361946,1193,506
2011-12-08$55.13$56.0031.0%8.8%29.5%38.0%29.0%11.2%0.7%606.8K180.6K-56.3K0.1127.96N/AN/A200227,1293,653
2011-12-09$56.34$55.0025.9%8.1%30.6%26.7%26.9%8.7%1.6%930.4K-2.7M-58.0K0.0122.70N/AN/A70587,3033,665
2011-12-12$55.34$55.0031.0%8.7%29.6%38.0%27.6%10.0%1.2%734.2K-914.4K-57.1K0.6925.91N/AN/A111777,9553,667
2011-12-13$54.69$55.0019.5%8.1%29.2%12.4%27.2%8.7%2.0%643.7K501.0K-55.4K0.6130.56N/AN/A116717,9913,686
2011-12-14$55.01$55.0023.9%8.2%29.1%22.2%26.0%8.7%1.9%616.4K260.8K-55.0K0.1224.24N/AN/A90118,0203,716
2011-12-15$55.93$55.0025.4%7.3%29.6%25.6%24.7%6.2%2.8%900.5K-2.5M-55.5K0.1631.89N/AN/A290478,0573,709
2011-12-16$56.55$55.0024.5%7.0%29.0%23.5%24.5%7.4%1.2%1.1M-4.1M-59.6K0.1336.50N/AN/A356488,2983,721
2011-12-19$56.06$55.0024.6%7.0%29.2%23.7%23.5%4.5%3.3%379.2K-810.6K-56.0K0.2837.08N/AN/A2,0755873,8462,883
2011-12-20$57.76$55.0021.1%6.1%29.2%16.1%20.2%5.4%3.0%1.2M-8.4M-74.7K0.1649.98N/AN/A1,1651925,8503,055
2011-12-21$57.74$55.0020.8%6.0%29.1%15.4%20.4%5.9%3.7%1.5M-10.6M-84.3K0.5846.94N/AN/A1771026,9833,065
2011-12-22$58.57$56.0021.2%6.1%26.3%16.2%21.3%6.8%2.5%1.7M-14.1M-86.9K0.7149.28N/AN/A121867,1573,138
2011-12-23$58.18$56.0022.9%6.6%26.7%20.0%21.7%7.7%2.5%1.5M-13.9M-88.6K0.8969.33N/AN/A3052707,2343,210
2011-12-27$58.44$57.0023.6%6.8%25.9%21.5%22.7%6.5%2.3%1.5M-15.6M-89.5K0.4656.52N/AN/A116537,4653,462
2011-12-28$57.74$57.0024.2%6.9%26.5%22.8%27.8%7.2%2.5%1.5M-12.7M-89.9K0.8052.37N/AN/A46377,5573,511
2011-12-29$58.25$57.0024.0%6.9%21.6%22.4%24.9%6.7%1.8%1.5M-14.3M-88.6K0.7761.53N/AN/A82637,5503,517
2011-12-30$58.00$57.0024.1%6.9%21.4%22.6%23.0%8.1%1.8%1.6M-14.8M-87.8K2.6778.87N/AN/A641717,6083,459