VNQ Options History — July 2012

In July 2012, VNQ traded between $65.32 and $67.50. ATM implied volatility averaged 15.5%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.0% (HV 20d: 15.4%). Max pain ranged from $63.00 to $66.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 5.24.

Notable Days

  • 2012-07-19: Highest Volume — 2,796 contracts
  • 2012-07-24: Largest IV spike — 13.0% change
  • 2012-07-24: Highest IV Rank — 12.5%
  • 2012-07-24: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.27$65.32$67.50$66.15$66.74
Max Pain$64.76$63.00$66.00$63.00$65.00
ATM IV15.5%13.5%17.5%15.1%15.5%
Expected Move4.5%3.9%5.0%4.3%4.4%
HV 20d15.4%10.8%20.2%20.2%10.8%
HV 60d18.5%18.2%19.6%19.6%18.2%
IV Rank8.2%4.1%12.5%7.4%8.3%
IV Percentile16.4%2.8%31.7%12.7%19.8%
Term Structure1.8%1.1%2.5%1.3%1.4%
VWIV15.9%12.8%18.9%15.2%18.8%
Skew 25d5.2%3.7%6.9%6.9%4.9%
Skew 10d11.8%5.4%15.6%15.0%5.4%
Call IV 25d13.5%11.2%15.0%11.2%12.5%
Put IV 25d18.7%16.6%21.5%18.1%17.4%
Bid-Ask Spread %74.4562.3286.8679.7078.10
Gamma HHI0.240.190.290.260.19
Net GEX1.5M-849.0K2.7M2.1M194.0K
Net DEX-18.0M-28.8M-130.2K-21.4M-11.7M
Net VEX-91.8K-108.6K-79.8K-87.2K-104.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.240.0055.460.0755.46
Total Volume600.476472,7963102,089
Total OI10,868.7149,05113,9169,05113,916

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$66.15$63.0015.1%4.3%20.2%7.4%15.2%6.9%1.3%2.1M-21.4M-87.2K0.0779.70N/AN/A290206,6362,415
2012-07-03$66.54$63.0013.5%3.9%19.3%4.1%18.0%4.4%2.1%2.1M-24.0M-88.7K0.3079.67N/AN/A86266,8732,429
2012-07-05$66.13$63.0014.6%4.2%18.3%6.4%13.6%5.6%2.5%2.2M-22.6M-87.8K0.0981.92N/AN/A4346,8922,444
2012-07-06$66.29$65.0014.8%4.7%18.0%6.8%18.8%5.2%1.4%2.1M-22.9M-87.2K2.5271.22N/AN/A33836,9202,445
2012-07-09$66.36$65.0015.4%4.9%17.5%8.0%17.5%6.5%1.3%2.3M-23.9M-84.0K0.5171.64N/AN/A61316,9452,497
2012-07-10$65.65$65.0016.6%4.9%15.6%10.5%18.0%6.5%1.1%2.5M-20.5M-84.8K1.0086.86N/AN/A1671676,9732,514
2012-07-11$65.72$65.0016.2%4.9%15.4%9.7%16.6%5.9%2.1%2.5M-21.2M-85.5K0.0069.93N/AN/A17907,0242,573
2012-07-12$65.92$65.0016.8%4.8%15.2%11.1%16.1%5.0%1.7%2.7M-23.1M-84.3K0.4470.55N/AN/A133597,1482,573
2012-07-13$66.73$65.0015.2%4.4%15.0%7.7%14.4%5.1%2.5%2.4M-27.3M-82.7K0.0272.85N/AN/A12527,2422,613
2012-07-16$66.86$65.0015.5%4.5%14.9%8.3%14.9%5.1%2.1%2.3M-28.8M-79.8K0.0176.35N/AN/A2,386167,3352,613
2012-07-17$67.50$65.0015.2%4.4%15.0%7.7%12.8%4.3%1.6%2.3M-28.6M-85.4K0.5078.90N/AN/A121617,4982,619
2012-07-18$67.10$66.0015.0%4.3%15.3%7.2%12.9%4.4%2.0%2.3M-26.4M-84.0K0.4879.66N/AN/A2211057,5282,670
2012-07-19$66.40$65.0015.9%4.6%15.9%9.0%17.0%5.3%2.0%2.5M-22.6M-83.9K12.0080.13N/AN/A2152,5817,4432,623
2012-07-20$66.05$65.0015.6%4.5%14.7%8.5%15.5%4.5%1.5%1.4M-15.1M-100.2K0.1773.85N/AN/A145247,5415,178
2012-07-23$65.57$65.0015.5%4.4%15.0%8.3%16.4%5.1%2.0%330.8K-6.1M-97.1K0.5664.58N/AN/A99556,3894,726
2012-07-24$65.35$65.0017.5%5.0%14.1%12.5%18.9%5.5%1.6%161.9K-4.3M-96.0K32.0669.13N/AN/A662,1166,4564,766
2012-07-25$65.32$65.0017.0%4.9%14.1%11.3%15.8%5.4%2.1%-849.0K-130.2K-108.6K1.5862.32N/AN/A26416,5096,822
2012-07-26$65.90$65.0015.3%4.4%14.3%7.7%13.6%4.2%2.1%-568.5K-4.1M-107.1K0.3069.07N/AN/A115356,5176,849
2012-07-27$66.53$65.0014.2%4.1%14.2%5.6%15.9%3.7%2.3%-15.8K-10.6M-105.5K0.1275.39N/AN/A200246,6226,873
2012-07-30$66.84$65.0014.7%4.2%11.4%6.6%14.5%5.5%1.9%311.9K-12.4M-103.0K1.8871.71N/AN/A1252356,7416,853
2012-07-31$66.74$65.0015.5%4.4%10.8%8.3%18.8%4.9%1.4%194.0K-11.7M-104.5K55.4678.10N/AN/A372,0526,8477,069