VNQ Options History — March 2012

In March 2012, VNQ traded between $61.07 and $63.65. ATM implied volatility averaged 14.8%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.8% (HV 20d: 13.0%). Max pain ranged from $56.00 to $63.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.47.

Notable Days

  • 2012-03-30: Highest Volume — 957 contracts
  • 2012-03-06: Largest IV spike — 61.0% change
  • 2012-03-06: Highest IV Rank — 15.2%
  • 2012-03-06: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.53$61.07$63.65$61.36$63.65
Max Pain$61.18$56.00$63.00$56.00$63.00
ATM IV14.8%11.6%18.9%15.4%13.3%
Expected Move4.5%3.8%5.7%4.4%3.8%
HV 20d13.0%11.9%14.7%12.9%12.3%
HV 60d13.9%11.9%16.2%16.0%11.9%
IV Rank6.5%0.0%15.2%6.2%3.7%
IV Percentile8.9%0.0%34.9%9.1%1.2%
Term Structure2.4%1.2%4.3%4.3%1.5%
VWIV15.4%11.8%19.3%13.0%17.5%
Skew 25d5.0%2.7%7.3%5.2%4.3%
Skew 10d12.0%5.8%18.3%12.8%5.8%
Call IV 25d14.0%10.2%17.8%13.3%11.9%
Put IV 25d19.0%16.2%24.4%18.6%16.2%
Bid-Ask Spread %63.0034.9579.4634.9571.88
Gamma HHI0.160.110.240.170.13
Net GEX1.7M969.9K2.6M2.2M1.2M
Net DEX-16.4M-27.8M-10.4M-18.0M-12.9M
Net VEX-60.7K-65.6K-51.1K-64.6K-65.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.011.460.060.02
Total Volume353.2732395750957
Total OI8,866.6366,39310,9329,9897,931

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$61.36$56.0015.4%4.4%12.9%6.2%13.0%5.2%4.3%2.2M-18.0M-64.6K0.0634.95N/AN/A4736,6563,333
2012-03-02$61.27$56.0015.8%4.5%12.9%7.1%16.5%2.7%2.4%2.0M-17.7M-63.4K0.5746.76N/AN/A53306,6363,336
2012-03-05$61.89$60.0011.7%5.0%12.4%0.0%11.8%7.3%3.0%2.3M-20.1M-61.5K1.1037.40N/AN/A2402636,6823,354
2012-03-06$61.07$60.0018.9%5.7%13.1%15.2%18.7%6.6%2.0%1.9M-15.8M-63.5K0.0753.98N/AN/A469346,7493,396
2012-03-07$61.40$60.0017.0%5.4%13.3%11.2%19.3%6.3%3.0%2.2M-17.7M-62.2K0.1536.21N/AN/A93146,6463,406
2012-03-08$61.08$60.0014.8%5.3%13.4%6.5%17.2%6.3%3.4%2.1M-15.7M-60.1K0.6163.26N/AN/A49306,5963,406
2012-03-09$61.38$60.0014.0%5.1%13.4%4.8%17.2%5.2%2.5%2.0M-16.7M-59.2K0.8869.46N/AN/A112986,6083,417
2012-03-12$61.83$61.0013.9%4.8%13.3%4.6%14.9%4.9%3.0%2.6M-20.1M-56.0K0.0168.10N/AN/A31736,6873,476
2012-03-13$63.08$61.0011.6%4.1%14.7%0.0%13.5%5.8%2.8%2.3M-27.8M-51.1K0.2179.46N/AN/A285616,8663,476
2012-03-14$62.91$61.0015.4%4.2%14.2%8.0%14.4%4.0%3.7%2.6M-25.7M-53.9K0.6974.27N/AN/A3532456,9583,498
2012-03-15$62.82$63.0016.0%4.6%14.0%9.4%17.3%5.3%2.3%2.6M-24.5M-56.6K0.2671.60N/AN/A3851027,0273,676
2012-03-16$63.18$63.0015.1%4.3%13.7%7.4%14.1%5.4%3.2%2.2M-23.9M-59.6K0.0276.16N/AN/A676117,1603,772
2012-03-19$63.62$62.0014.0%4.0%13.9%5.0%14.4%3.0%2.2%1.0M-13.0M-55.8K0.2362.63N/AN/A253574,1082,285
2012-03-20$63.53$62.0014.6%4.2%12.4%6.5%13.7%3.3%1.2%1.0M-13.0M-59.4K0.4766.47N/AN/A177844,3202,322
2012-03-21$63.44$62.0015.4%4.4%11.9%8.1%16.1%3.8%1.4%1.1M-13.1M-60.5K1.2565.29N/AN/A12154,4732,402
2012-03-22$62.57$62.0015.1%4.3%12.5%7.3%16.8%4.8%1.2%969.9K-10.6M-62.8K0.1363.48N/AN/A700944,4832,414
2012-03-23$62.96$62.0015.5%4.4%12.7%8.2%14.8%4.3%1.6%981.9K-11.2M-63.7K1.4662.84N/AN/A3044454,4972,491
2012-03-26$63.19$63.0014.8%4.2%12.7%6.8%13.6%4.8%1.4%999.3K-10.4M-63.2K0.3069.78N/AN/A64194,5262,860
2012-03-27$63.20$63.0014.4%4.1%12.4%5.8%12.5%4.0%2.0%1.0M-11.1M-62.3K0.1176.50N/AN/A413444,5452,869
2012-03-28$63.10$63.0014.4%4.1%12.3%5.9%16.1%4.8%1.9%1.2M-11.0M-65.1K1.0066.76N/AN/A69694,9412,868
2012-03-29$63.13$63.0014.6%4.2%12.2%6.3%0.0%7.0%1.6%1.2M-11.3M-65.6K0.7768.68N/AN/A13104,9902,924
2012-03-30$63.65$63.0013.3%3.8%12.3%3.7%17.5%4.3%1.5%1.2M-12.9M-65.3K0.0271.88N/AN/A936214,9972,934