VNQ Options History — May 2012

In May 2012, VNQ traded between $61.10 and $66.18. ATM implied volatility averaged 19.1%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 3.4% (HV 20d: 15.6%). Max pain ranged from $58.00 to $63.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2012-05-04: Highest Volume — 1,633 contracts
  • 2012-05-30: Largest IV spike — 14.6% change
  • 2012-05-18: Highest IV Rank — 27.8%
  • 2012-05-18: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.02$61.10$66.18$66.18$62.52
Max Pain$58.68$58.00$63.00$63.00$58.00
ATM IV19.1%14.3%24.7%14.9%20.6%
Expected Move5.5%4.1%7.1%4.3%5.9%
HV 20d15.6%12.1%18.9%16.8%18.9%
HV 60d14.5%13.4%16.2%13.9%16.0%
IV Rank15.8%5.6%27.8%6.9%19.1%
IV Percentile35.4%4.8%61.5%9.9%44.0%
Term Structure1.0%-0.4%2.0%0.8%1.2%
VWIV19.6%13.7%22.9%13.7%20.4%
Skew 25d6.0%4.2%7.4%5.6%4.7%
Skew 10d13.5%3.7%37.5%11.2%7.4%
Call IV 25d16.9%11.3%21.6%12.8%19.1%
Put IV 25d22.9%17.3%29.0%18.4%23.8%
Bid-Ask Spread %74.9366.8694.8470.0679.07
Gamma HHI0.160.080.270.270.10
Net GEX1.8M917.9K2.7M1.6M1.4M
Net DEX-18.5M-26.8M-7.0M-25.1M-12.9M
Net VEX-72.6K-82.3K-56.8K-56.8K-66.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.0112.520.350.19
Total Volume316.045301,6331,441175
Total OI10,156.1368,57310,9628,57310,157

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$66.18$63.0014.9%4.3%16.8%6.9%13.7%5.6%0.8%1.6M-25.1M-56.8K0.3570.06N/AN/A1,0653765,8572,716
2012-05-02$66.08$63.0014.3%4.1%16.8%5.6%17.4%6.0%1.7%1.8M-25.4M-77.3K12.5272.64N/AN/A293636,8643,055
2012-05-03$65.85$63.0014.9%4.3%16.2%7.0%15.7%4.5%0.9%1.8M-25.9M-77.1K0.0172.70N/AN/A14726,8752,875
2012-05-04$65.27$58.0016.7%5.1%16.6%10.8%15.7%5.8%1.4%2.1M-23.7M-79.2K0.0369.84N/AN/A1,586476,9882,877
2012-05-07$65.73$58.0014.9%4.7%16.0%7.0%20.5%5.5%2.0%2.3M-26.8M-80.5K1.5673.22N/AN/A701097,5352,910
2012-05-08$65.61$58.0015.9%5.0%13.2%9.1%17.6%6.7%1.8%2.3M-25.5M-82.2K1.2572.11N/AN/A20257,5102,981
2012-05-09$65.40$58.0017.1%5.4%13.0%11.7%17.6%5.8%1.0%2.3M-25.0M-82.3K0.1671.30N/AN/A107177,5253,005
2012-05-10$65.45$58.0018.0%5.2%12.4%13.5%17.6%5.4%1.2%2.5M-24.7M-80.1K0.2072.06N/AN/A74157,4993,015
2012-05-11$65.59$58.0017.2%4.9%12.1%11.8%19.7%6.2%1.9%2.5M-26.1M-78.7K2.0073.72N/AN/A10207,5503,029
2012-05-14$64.76$58.0019.4%5.6%12.6%16.5%21.9%5.0%0.8%2.7M-22.3M-77.1K0.3774.72N/AN/A158587,5573,038
2012-05-15$64.42$58.0020.3%5.8%12.5%18.4%22.4%5.7%1.0%2.7M-19.7M-75.9K0.4375.15N/AN/A96417,6843,072
2012-05-16$63.71$58.0020.5%5.9%12.9%18.8%20.3%6.2%1.2%2.2M-16.1M-74.1K0.7384.23N/AN/A83617,6953,078
2012-05-17$61.85$58.0023.4%6.7%16.7%25.0%22.9%6.8%0.4%1.1M-9.5M-68.9K0.2471.23N/AN/A206507,7383,121
2012-05-18$61.10$58.0024.7%7.1%16.4%27.8%22.7%7.4%0.3%917.9K-7.0M-66.8K0.7371.20N/AN/A127937,8033,159
2012-05-21$62.43$58.0022.1%6.3%18.1%22.3%21.7%7.0%-0.0%1.2M-11.3M-65.7K0.1466.86N/AN/A355506,4102,919
2012-05-22$62.55$58.0019.8%5.7%17.2%17.4%20.1%4.9%0.6%1.3M-12.5M-65.5K0.3194.84N/AN/A115366,6872,969
2012-05-23$62.64$58.0021.0%6.0%16.6%19.9%19.5%7.2%0.6%1.3M-13.1M-70.8K0.3172.24N/AN/A195616,7782,996
2012-05-24$62.92$58.0020.9%6.0%16.7%19.6%21.1%7.3%1.1%1.4M-13.7M-69.1K1.0571.72N/AN/A39416,8483,020
2012-05-25$62.67$58.0020.6%5.9%16.4%19.0%22.7%6.0%1.1%1.4M-13.4M-68.3K0.5079.79N/AN/A121606,8733,055
2012-05-29$63.56$58.0019.5%5.6%17.4%16.8%18.0%7.4%0.4%1.6M-16.1M-67.4K0.2980.55N/AN/A143426,9143,094
2012-05-30$62.05$58.0022.4%6.4%18.5%22.8%21.1%4.2%-0.4%1.4M-11.9M-66.1K0.1279.09N/AN/A415506,9703,134
2012-05-31$62.52$58.0020.6%5.9%18.9%19.1%20.4%4.7%1.2%1.4M-12.9M-66.2K0.1979.07N/AN/A147286,9833,174