VNQ Options History — April 2012

In April 2012, VNQ traded between $60.90 and $65.64. ATM implied volatility averaged 16.1%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.6% (HV 20d: 14.5%). Max pain ranged from $63.00 to $64.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.28.

Notable Days

  • 2012-04-10: Highest Volume — 392 contracts
  • 2012-04-09: Largest IV spike — 22.4% change
  • 2012-04-10: Highest IV Rank — 16.7%
  • 2012-04-10: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.49$60.90$65.64$64.10$65.47
Max Pain$63.20$63.00$64.00$63.00$63.00
ATM IV16.1%12.9%19.5%13.4%15.0%
Expected Move4.6%3.7%5.7%3.8%4.3%
HV 20d14.5%11.0%16.7%12.1%16.6%
HV 60d13.2%11.8%14.1%11.8%14.0%
IV Rank9.5%2.8%16.7%3.8%7.2%
IV Percentile18.8%1.2%41.7%1.6%10.3%
Term Structure1.0%-0.6%2.7%1.5%1.0%
VWIV16.1%10.9%20.4%11.7%15.6%
Skew 25d5.6%3.2%7.7%5.0%5.8%
Skew 10d11.3%2.5%17.0%8.8%8.1%
Call IV 25d13.4%9.7%17.0%10.7%11.6%
Put IV 25d19.0%15.6%23.2%15.6%17.4%
Bid-Ask Spread %69.5731.0881.4378.7271.56
Gamma HHI0.200.120.350.180.28
Net GEX1.9M1.1M3.5M1.8M1.8M
Net DEX-15.0M-22.9M-5.8M-16.3M-22.4M
Net VEX-65.2K-71.9K-59.0K-71.9K-59.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.0218.000.220.78
Total Volume121.31939217480
Total OI9,048.68,1039,7768,8818,510

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$64.10$63.0013.4%3.8%12.1%3.8%11.7%5.0%1.5%1.8M-16.3M-71.9K0.2278.72N/AN/A143315,9272,954
2012-04-03$63.85$63.0013.5%3.9%11.0%4.1%16.5%3.2%2.7%1.8M-15.7M-71.2K1.1381.43N/AN/A24275,9152,965
2012-04-04$63.15$63.0014.8%4.3%11.9%6.9%0.0%6.0%2.0%1.7M-13.5M-70.0K0.2077.44N/AN/A56115,9232,992
2012-04-05$62.91$63.0014.2%4.1%11.8%5.4%13.0%3.5%2.3%1.7M-12.4M-70.2K0.6331.08N/AN/A151955,9693,003
2012-04-09$62.24$64.0017.3%5.3%12.4%12.1%17.9%5.9%-0.6%1.6M-10.1M-66.7K0.3772.66N/AN/A27106,1163,069
2012-04-10$60.90$64.0019.5%5.7%14.5%16.7%20.4%6.2%0.1%1.1M-5.8M-62.6K1.0263.93N/AN/A1941986,1043,074
2012-04-11$61.68$63.0018.1%5.4%13.3%13.9%20.3%6.7%0.3%1.4M-7.6M-66.6K0.1568.15N/AN/A86136,2123,249
2012-04-12$62.53$63.0016.8%4.8%14.3%11.0%18.1%6.1%0.7%1.8M-10.9M-68.1K0.2972.05N/AN/A1756,2823,251
2012-04-13$62.27$63.0018.6%5.3%14.3%14.7%17.5%5.0%1.3%1.7M-10.3M-66.5K18.0074.16N/AN/A1186,2953,252
2012-04-16$63.12$63.0017.8%5.1%15.0%13.1%15.9%4.8%0.6%2.2M-13.7M-65.4K0.9673.18N/AN/A23226,2963,264
2012-04-17$63.66$64.0016.0%4.6%15.1%9.3%17.6%5.3%0.9%2.4M-16.5M-65.7K0.1173.86N/AN/A3546,2953,284
2012-04-18$63.23$64.0016.9%4.8%15.3%11.1%16.2%4.7%1.1%2.5M-14.8M-63.7K0.1073.91N/AN/A151156,3233,286
2012-04-19$63.23$63.0017.8%5.1%15.3%13.1%17.5%6.1%1.2%2.4M-14.6M-64.7K0.1375.09N/AN/A77106,4713,283
2012-04-20$64.00$63.0015.8%4.5%15.0%8.8%14.8%4.4%0.3%3.5M-19.2M-63.2K0.0877.27N/AN/A174146,4833,293
2012-04-23$63.34$63.0017.7%5.1%15.4%13.0%17.3%6.6%1.0%1.5M-13.9M-62.2K0.4158.13N/AN/A167685,4662,637
2012-04-24$64.29$63.0017.3%5.0%16.2%12.0%16.0%6.4%-0.6%1.7M-17.3M-63.1K0.1261.08N/AN/A119145,5852,685
2012-04-25$65.03$63.0014.4%4.1%16.7%5.9%14.1%7.7%1.3%1.8M-20.1M-61.8K0.2168.50N/AN/A146315,6432,696
2012-04-26$65.19$63.0014.3%4.1%16.6%5.8%14.6%7.1%1.1%1.8M-21.2M-61.7K0.0273.78N/AN/A8925,7292,721
2012-04-27$65.64$63.0012.9%3.7%16.7%2.8%10.9%5.7%2.6%1.7M-22.9M-60.1K0.7365.46N/AN/A45335,7892,681
2012-04-30$65.47$63.0015.0%4.3%16.6%7.2%15.6%5.8%1.0%1.8M-22.4M-59.0K0.7871.56N/AN/A45355,8292,681