VNQ Options History — January 2012

In January 2012, VNQ traded between $57.49 and $61.86. ATM implied volatility averaged 19.7%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.9% (HV 20d: 16.7%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2012-01-11: Highest Volume — 591 contracts
  • 2012-01-12: Largest IV spike — 34.3% change
  • 2012-01-03: Highest IV Rank — 25.0%
  • 2012-01-03: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.48$57.49$61.86$58.49$61.70
Max Pain$55.45$55.00$57.00$57.00$57.00
ATM IV19.7%15.0%25.1%25.1%16.4%
Expected Move5.8%4.3%7.2%7.2%4.7%
HV 20d16.7%11.7%22.6%21.5%11.9%
HV 60d27.7%23.7%31.8%31.8%23.7%
IV Rank12.8%2.4%25.0%25.0%5.6%
IV Percentile35.8%6.3%62.3%62.3%15.5%
Term Structure1.2%-0.5%2.3%0.4%1.9%
VWIV20.1%14.9%26.6%23.6%21.7%
Skew 25d6.2%4.2%7.8%5.7%5.1%
Skew 10d17.1%11.1%22.0%19.3%14.9%
Call IV 25d17.8%13.6%21.7%21.4%14.3%
Put IV 25d24.0%18.2%28.5%27.2%19.4%
Bid-Ask Spread %61.6352.5872.4455.2162.49
Gamma HHI0.210.160.340.200.16
Net GEX2.1M1.4M2.9M1.7M1.7M
Net DEX-18.4M-28.3M-11.9M-15.6M-21.0M
Net VEX-77.4K-86.5K-69.6K-84.4K-73.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.061.900.130.52
Total Volume250.253559142544
Total OI11,143.48,98312,52011,14610,137

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$58.49$57.0025.1%7.2%21.5%25.0%23.6%5.7%0.4%1.7M-15.6M-84.4K0.1355.21N/AN/A376497,6493,497
2012-01-04$57.49$57.0025.1%7.2%22.5%24.8%25.7%6.0%1.5%1.7M-11.9M-85.1K0.0859.29N/AN/A248197,9983,531
2012-01-05$58.03$57.0022.4%6.4%22.6%18.9%21.3%4.8%2.3%2.0M-14.7M-86.5K0.0657.45N/AN/A7758,2293,537
2012-01-06$57.84$55.0021.4%6.9%22.5%16.7%26.6%7.8%0.2%2.1M-13.7M-84.8K0.0852.97N/AN/A494408,2973,538
2012-01-09$57.64$55.0020.8%6.8%20.7%15.3%22.7%7.6%0.2%2.2M-12.4M-80.2K0.1752.58N/AN/A3058,0153,550
2012-01-10$58.28$55.0020.1%6.6%19.7%13.8%21.4%7.6%-0.5%2.4M-16.7M-79.4K0.3456.46N/AN/A96338,0323,555
2012-01-11$58.69$55.0017.0%6.0%18.3%6.8%20.4%7.1%1.4%2.6M-18.9M-78.3K1.9064.72N/AN/A2043878,0973,540
2012-01-12$58.26$55.0022.8%6.5%17.9%19.7%20.2%7.3%1.0%2.7M-16.1M-82.5K0.6557.15N/AN/A66438,2863,904
2012-01-13$58.39$55.0022.2%6.4%17.9%18.4%19.3%7.8%1.3%2.9M-16.8M-80.7K0.1758.62N/AN/A72128,3013,903
2012-01-17$58.87$55.0021.9%6.3%17.2%17.7%22.2%6.6%1.1%2.9M-21.0M-75.8K0.3259.31N/AN/A272878,3593,904
2012-01-18$59.28$55.0021.7%6.2%17.0%17.4%20.3%6.4%0.5%2.7M-24.4M-74.2K0.0864.91N/AN/A184158,4353,962
2012-01-19$59.51$55.0019.4%5.5%16.5%12.1%20.1%6.4%1.4%2.3M-26.4M-73.5K0.0766.90N/AN/A164118,5463,961
2012-01-20$59.88$55.0018.3%5.2%13.2%9.7%18.5%6.4%2.1%2.1M-28.3M-70.8K0.4269.07N/AN/A3291388,5503,970
2012-01-23$60.17$55.0017.7%5.1%13.3%8.5%16.5%6.4%1.3%1.4M-13.1M-69.6K0.0763.60N/AN/A435315,5543,429
2012-01-24$60.63$55.0016.2%4.7%12.6%5.1%15.8%5.2%1.7%1.5M-15.7M-73.8K0.0858.56N/AN/A169145,9483,435
2012-01-25$61.41$55.0016.2%4.6%12.8%5.0%14.9%6.1%2.1%1.5M-18.8M-73.1K0.4167.42N/AN/A202836,0803,435
2012-01-26$61.84$55.0015.7%4.5%12.9%4.0%16.0%4.4%1.6%1.6M-21.1M-72.8K0.2372.44N/AN/A189446,2523,510
2012-01-27$61.86$55.0015.0%4.3%11.7%2.4%15.4%4.2%2.0%1.6M-21.5M-73.3K0.1871.80N/AN/A210376,3373,539
2012-01-30$61.40$56.0018.0%5.2%12.1%9.0%21.7%5.3%0.8%1.7M-19.6M-75.8K0.4061.66N/AN/A65266,5013,565
2012-01-31$61.70$57.0016.4%4.7%11.9%5.6%0.0%5.1%1.9%1.7M-21.0M-73.3K0.5262.49N/AN/A29156,5473,590