VNQ Options History — June 2012

In June 2012, VNQ traded between $60.57 and $65.43. ATM implied volatility averaged 20.0%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 2.9% (HV 20d: 22.8%). Max pain ranged from $58.00 to $63.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2012-06-07: Highest Volume — 2,390 contracts
  • 2012-06-11: Largest IV spike — 40.0% change
  • 2012-06-04: Highest IV Rank — 30.1%
  • 2012-06-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.13$60.57$65.43$60.99$65.43
Max Pain$62.76$58.00$63.00$58.00$63.00
ATM IV20.0%15.0%25.8%25.3%15.3%
Expected Move5.8%4.3%7.3%7.3%4.4%
HV 20d22.8%20.4%25.8%20.4%20.4%
HV 60d18.3%16.8%19.5%16.8%19.5%
IV Rank17.7%7.2%30.1%29.1%7.7%
IV Percentile38.8%11.1%63.9%63.1%13.1%
Term Structure1.5%-1.3%3.2%-1.3%2.3%
VWIV20.1%15.8%25.8%20.9%15.9%
Skew 25d7.6%5.1%9.6%5.8%5.1%
Skew 10d17.6%12.6%23.4%15.5%12.6%
Call IV 25d17.6%12.9%23.0%23.0%12.9%
Put IV 25d25.3%18.0%31.4%28.8%18.0%
Bid-Ask Spread %57.6945.6992.3676.7992.36
Gamma HHI0.190.090.280.090.28
Net GEX1.6M1.0M2.2M1.1M2.0M
Net DEX-12.0M-22.3M-5.9M-8.0M-17.2M
Net VEX-76.7K-86.4K-58.9K-63.0K-86.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.043.300.590.06
Total Volume382.524822,390291442
Total OI10,054.8577,66312,90710,2508,770

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$60.99$58.0025.3%7.3%20.4%29.1%20.9%5.8%-1.3%1.1M-8.0M-63.0K0.5976.79N/AN/A1831087,0503,200
2012-06-04$60.57$63.0025.8%7.1%20.4%30.1%25.8%9.6%0.9%1.0M-6.4M-58.9K1.5745.69N/AN/A46727,0943,252
2012-06-05$61.82$63.0023.5%6.6%21.8%25.2%22.7%8.3%1.3%1.3M-10.0M-60.8K0.8547.55N/AN/A1291107,0893,304
2012-06-06$63.19$63.0019.9%6.3%23.6%17.6%19.7%8.3%2.1%1.5M-15.1M-63.5K3.3048.50N/AN/A2357767,1303,374
2012-06-07$62.74$63.0020.1%6.0%23.6%18.0%19.2%7.4%2.4%1.4M-13.4M-68.1K0.0453.64N/AN/A2,307837,2473,634
2012-06-08$63.63$63.0017.3%5.7%24.3%12.1%18.9%8.2%2.5%2.1M-19.3M-80.0K0.4451.72N/AN/A73328,3413,689
2012-06-11$62.20$63.0024.3%6.6%25.4%26.8%21.9%7.6%1.6%1.8M-13.9M-73.9K0.4648.10N/AN/A79368,4013,681
2012-06-12$62.79$63.0019.7%6.3%25.4%17.1%22.4%8.6%2.2%1.9M-15.7M-73.4K0.1349.39N/AN/A714938,4133,713
2012-06-13$62.47$63.0022.3%6.9%25.4%22.6%24.0%9.0%1.8%2.0M-15.5M-78.6K0.4950.00N/AN/A131649,0253,767
2012-06-14$63.38$63.0022.9%6.6%25.8%23.8%20.7%9.6%2.0%2.1M-20.6M-82.9K0.0849.87N/AN/A181159,0923,769
2012-06-15$63.77$63.0019.4%5.6%23.4%16.6%20.1%8.2%3.2%2.2M-22.3M-82.8K0.2557.36N/AN/A260669,1313,776
2012-06-18$64.30$63.0017.8%5.1%22.9%13.0%16.1%7.3%1.8%1.5M-10.0M-82.3K0.6657.20N/AN/A2381575,6651,998
2012-06-19$64.56$63.0015.0%4.3%21.8%7.2%15.8%6.9%2.3%1.7M-10.5M-83.9K0.5463.98N/AN/A2961595,8422,132
2012-06-20$64.53$63.0015.8%4.5%21.8%8.8%18.6%7.2%2.0%1.6M-10.1M-85.7K0.5157.66N/AN/A120616,0122,269
2012-06-21$63.48$63.0020.6%5.9%22.8%19.0%20.9%7.6%0.7%1.3M-7.2M-82.9K1.1053.46N/AN/A67746,1122,325
2012-06-22$63.49$63.0019.0%5.4%22.7%15.7%18.4%6.5%1.4%1.4M-7.6M-81.8K0.3255.98N/AN/A117386,1742,269
2012-06-25$62.65$63.0020.1%5.8%23.2%17.9%20.3%8.4%-0.2%1.3M-5.9M-79.1K0.6157.60N/AN/A122756,2072,286
2012-06-26$62.86$63.0019.2%5.5%22.6%16.0%22.2%6.8%0.5%1.4M-6.7M-79.8K0.5862.45N/AN/A52306,2222,336
2012-06-27$63.11$63.0019.1%5.5%20.9%16.0%22.1%7.0%0.4%1.5M-7.2M-80.3K1.2765.34N/AN/A44566,2722,361
2012-06-28$63.80$63.0017.2%4.9%21.1%11.9%16.6%6.4%1.5%1.8M-9.5M-83.0K0.2866.91N/AN/A72206,3122,416
2012-06-29$65.43$63.0015.3%4.4%20.4%7.7%15.9%5.1%2.3%2.0M-17.2M-86.4K0.0692.36N/AN/A418246,3542,416