VNQ Options History — August 2012

In August 2012, VNQ traded between $65.51 and $67.13. ATM implied volatility averaged 13.4%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 4.2% (HV 20d: 9.3%). Max pain ranged from $63.00 to $65.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.88.

Notable Days

  • 2012-08-08: Highest Volume — 2,607 contracts
  • 2012-08-14: Largest IV drop — 18.3% change
  • 2012-08-01: Highest IV Rank — 11.9%
  • 2012-08-01: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.27$65.51$67.13$66.42$66.73
Max Pain$63.87$63.00$65.00$65.00$64.00
ATM IV13.4%11.4%17.2%17.2%12.2%
Expected Move4.1%3.4%4.9%4.9%3.5%
HV 20d9.3%6.8%11.3%10.7%6.8%
HV 60d16.3%12.7%18.4%18.2%12.7%
IV Rank4.2%0.0%11.9%11.9%1.8%
IV Percentile5.6%0.0%32.1%32.1%1.6%
Term Structure2.7%0.8%4.3%0.8%3.3%
VWIV14.4%12.3%18.0%16.7%13.1%
Skew 25d4.3%3.1%5.1%3.3%4.8%
Skew 10d10.0%3.5%13.4%4.4%12.2%
Call IV 25d12.7%10.7%15.5%15.5%11.6%
Put IV 25d17.0%14.9%18.9%18.8%16.4%
Bid-Ask Spread %66.4453.2682.7382.7369.84
Gamma HHI0.240.190.320.190.26
Net GEX1.1M-2.9M3.4M60.6K3.4M
Net DEX-13.5M-19.1M-5.7M-9.9M-18.3M
Net VEX-93.9K-109.4K-85.5K-104.8K-91.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.012.221.001.95
Total Volume352.478342,607204280
Total OI13,069.39110,39415,52013,94011,296

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$66.42$65.0017.2%4.9%10.7%11.9%16.7%3.3%0.8%60.6K-9.9M-104.8K1.0082.73N/AN/A1021026,8727,068
2012-08-02$66.61$65.0014.3%4.1%10.5%5.6%13.0%4.3%2.7%-78.3K-10.0M-101.6K0.2174.42N/AN/A68146,8987,088
2012-08-03$67.13$65.0013.3%3.8%10.8%3.6%13.6%4.9%2.2%926.7K-15.9M-97.3K0.3875.61N/AN/A100386,9277,099
2012-08-06$67.06$64.0013.6%4.5%10.8%4.3%18.0%4.9%2.4%1.1M-15.8M-91.7K1.4658.31N/AN/A39576,9667,093
2012-08-07$66.27$64.0013.9%4.5%11.0%4.9%14.7%4.8%2.4%-285.6K-9.3M-89.2K0.2360.11N/AN/A7971826,9837,134
2012-08-08$65.82$64.0013.6%4.7%11.3%4.3%14.1%4.8%2.2%-1.4M-5.8M-100.8K0.0158.22N/AN/A2,574337,7037,308
2012-08-09$65.61$64.0012.9%4.4%11.3%2.9%14.7%4.9%3.0%-1.8M-5.7M-109.4K0.4158.85N/AN/A3241327,7737,328
2012-08-10$65.70$64.0012.2%4.4%10.3%1.3%15.2%4.1%2.9%-2.1M-6.9M-105.5K0.6757.43N/AN/A24168,0267,284
2012-08-13$65.65$64.0013.9%4.4%10.3%4.9%15.6%5.1%3.3%-2.3M-6.3M-100.8K1.6362.17N/AN/A1151888,0317,300
2012-08-14$65.51$64.0011.4%4.4%9.5%0.0%16.0%4.1%2.8%-2.9M-6.5M-98.5K0.7365.50N/AN/A60448,0587,421
2012-08-15$65.81$64.0012.4%4.5%9.6%2.3%15.8%4.7%3.2%-1.9M-11.0M-95.0K2.2253.26N/AN/A771718,0717,449
2012-08-16$66.31$64.0014.6%4.2%9.4%7.0%14.2%3.6%4.0%1.8M-16.6M-92.6K0.3765.40N/AN/A84318,1037,303
2012-08-17$66.33$64.0013.9%4.0%9.2%5.5%13.4%4.3%4.3%2.5M-17.6M-92.3K0.1171.44N/AN/A193218,1577,334
2012-08-20$66.14$64.0013.2%3.8%8.8%3.9%12.3%3.9%2.5%2.8M-15.7M-87.0K0.5365.67N/AN/A164877,7342,660
2012-08-21$66.28$64.0013.4%3.8%8.7%4.3%12.3%3.7%2.2%2.9M-16.4M-88.6K0.7864.72N/AN/A63497,8222,746
2012-08-22$66.24$64.0013.9%4.0%8.7%5.4%12.7%4.5%2.3%2.8M-15.8M-88.9K1.5163.97N/AN/A1061607,8662,791
2012-08-23$66.04$63.0014.2%4.1%8.2%6.1%14.6%4.0%2.3%2.8M-15.4M-88.0K1.1969.23N/AN/A47567,9472,742
2012-08-24$66.26$63.0013.7%3.9%7.6%5.0%13.5%4.5%2.7%3.0M-16.4M-88.7K0.9772.72N/AN/A68667,9862,761
2012-08-27$66.46$63.0014.3%4.1%7.4%6.3%14.8%3.9%2.0%3.1M-18.4M-89.2K1.1873.95N/AN/A68808,0292,827
2012-08-28$66.69$63.0012.3%3.5%7.5%2.0%12.8%4.5%3.0%3.3M-18.7M-86.8K0.4562.67N/AN/A29138,0272,827
2012-08-29$66.67$63.0011.9%3.4%7.3%1.2%0.0%3.1%3.3%3.4M-19.1M-86.5K0.7970.65N/AN/A19158,0382,830
2012-08-30$66.52$63.0012.8%3.7%7.3%3.0%15.7%4.0%3.1%3.3M-18.0M-85.5K1.4171.24N/AN/A4786738,0452,845
2012-08-31$66.73$64.0012.2%3.5%6.8%1.8%13.1%4.8%3.3%3.4M-18.3M-91.4K1.9569.84N/AN/A951858,1253,171