VNQ Options History — February 2012

In February 2012, VNQ traded between $60.86 and $63.32. ATM implied volatility averaged 17.1%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.4% (HV 20d: 11.6%). 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 20 of 20 days. Put/call ratio averaged 0.31.

Notable Days

  • 2012-02-17: Highest Volume — 1,176 contracts
  • 2012-02-28: Largest IV spike — 38.7% change
  • 2012-02-15: Highest IV Rank — 15.2%
  • 2012-02-15: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.11$60.86$63.32$62.31$60.99
Max Pain$55.45$55.00$57.00$57.00$56.00
ATM IV17.1%12.5%20.7%15.2%16.0%
Expected Move5.0%3.6%5.9%4.4%4.6%
HV 20d11.6%9.2%13.7%11.9%13.3%
HV 60d20.3%16.0%23.7%23.7%16.0%
IV Rank7.4%0.0%15.2%2.9%7.5%
IV Percentile21.0%0.0%44.4%7.5%13.5%
Term Structure2.9%1.8%4.3%2.4%2.6%
VWIV17.9%13.6%23.5%15.8%15.6%
Skew 25d6.2%3.7%8.9%3.7%5.0%
Skew 10d14.3%0.9%21.1%12.4%9.5%
Call IV 25d15.5%13.7%18.1%13.8%14.7%
Put IV 25d21.7%17.5%26.8%17.5%19.7%
Bid-Ask Spread %46.6631.7867.4950.8240.28
Gamma HHI0.150.130.160.150.16
Net GEX1.8M1.6M2.0M1.7M2.0M
Net DEX-23.3M-28.5M-16.3M-23.6M-17.0M
Net VEX-69.6K-75.6K-65.3K-70.7K-65.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.051.300.220.73
Total Volume247.25691,17616676
Total OI10,459.39,31911,53110,1629,976

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$62.31$57.0015.2%4.4%11.9%2.9%15.8%3.7%2.4%1.7M-23.6M-70.7K0.2250.82N/AN/A136306,5603,602
2012-02-02$62.45$57.0015.3%4.4%9.2%3.1%13.6%4.1%2.6%1.7M-24.0M-71.4K0.0536.46N/AN/A237116,6613,631
2012-02-03$63.32$55.0014.7%4.7%9.7%1.8%16.9%5.8%4.3%1.7M-27.6M-68.8K0.1042.80N/AN/A322326,8633,635
2012-02-06$63.12$55.0015.5%4.9%9.7%3.6%18.3%5.9%3.5%1.9M-27.6M-71.1K0.2244.24N/AN/A95217,0833,653
2012-02-07$62.96$55.0015.4%4.9%9.6%3.4%18.5%6.9%3.8%1.8M-28.0M-70.5K0.0546.80N/AN/A191107,1503,657
2012-02-08$63.07$55.0015.6%5.0%9.3%3.7%18.7%7.0%3.7%1.8M-28.5M-70.5K0.1150.12N/AN/A104117,2423,661
2012-02-09$62.61$55.0017.6%5.1%10.0%8.3%17.8%6.1%3.2%1.9M-27.0M-71.7K0.0961.54N/AN/A8587,2983,671
2012-02-10$62.03$55.0020.5%5.9%10.3%14.8%22.1%7.8%2.4%1.9M-24.1M-75.6K0.5055.77N/AN/A104527,3003,661
2012-02-13$62.66$55.0018.9%5.4%10.6%11.0%20.3%6.9%3.4%1.9M-27.0M-69.4K0.1758.24N/AN/A59107,2833,702
2012-02-14$62.02$55.0020.0%5.7%11.5%13.5%23.5%8.0%3.7%2.0M-24.1M-71.5K0.0967.49N/AN/A341307,3243,710
2012-02-15$61.65$55.0020.7%5.9%11.8%15.2%19.3%8.9%2.7%2.0M-23.6M-72.6K0.0759.48N/AN/A189147,4953,735
2012-02-16$62.30$55.0020.0%5.7%12.1%13.6%21.1%7.4%3.5%1.6M-26.2M-70.1K0.0858.45N/AN/A434357,3983,744
2012-02-17$62.35$55.0018.9%5.4%12.1%11.2%18.3%6.3%3.5%1.7M-27.9M-73.4K1.2649.76N/AN/A5206567,7683,763
2012-02-21$61.38$55.0018.8%5.4%13.5%10.7%18.2%7.1%2.4%1.6M-17.4M-66.7K0.4341.17N/AN/A154666,2303,089
2012-02-22$60.86$55.0017.7%5.1%13.7%8.5%17.6%6.3%2.4%1.6M-16.3M-66.9K0.1932.04N/AN/A264516,3333,137
2012-02-23$61.62$56.0014.8%4.2%13.7%1.9%15.8%5.0%2.5%2.0M-18.8M-66.5K0.1531.78N/AN/A6196,5493,182
2012-02-24$61.70$56.0015.6%4.5%13.4%3.7%13.8%5.1%2.1%1.9M-19.8M-66.9K1.3035.29N/AN/A64836,5803,191
2012-02-27$61.60$56.0012.5%3.6%13.4%0.0%17.3%6.0%1.8%2.0M-19.6M-66.1K0.1336.67N/AN/A149196,5993,261
2012-02-28$61.24$56.0017.3%5.0%13.3%10.4%15.5%4.9%1.9%1.9M-17.1M-65.3K0.2333.92N/AN/A172406,5343,275
2012-02-29$60.99$56.0016.0%4.6%13.3%7.5%15.6%5.0%2.6%2.0M-17.0M-65.5K0.7340.28N/AN/A44326,6613,315