VNQ Options History — October 2012

In October 2012, VNQ traded between $63.76 and $66.09. ATM implied volatility averaged 12.9%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.4% (HV 20d: 10.5%). Max pain ranged from $64.00 to $66.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2012-10-22: Highest Volume — 1,708 contracts
  • 2012-10-02: Largest IV drop — 15.5% change
  • 2012-10-26: Highest IV Rank — 17.9%
  • 2012-10-26: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.95$63.76$66.09$64.49$64.38
Max Pain$65.29$64.00$66.00$66.00$64.00
ATM IV12.9%11.1%15.5%14.0%14.9%
Expected Move3.8%3.2%4.4%4.0%4.3%
HV 20d10.5%8.6%12.3%12.2%9.5%
HV 60d9.6%9.2%10.3%10.1%9.6%
IV Rank8.7%2.7%17.9%8.6%16.0%
IV Percentile15.2%2.0%43.7%18.7%34.9%
Term Structure1.6%0.1%2.4%0.1%1.1%
VWIV12.9%10.0%16.8%14.5%13.7%
Skew 25d3.8%2.4%6.5%6.5%3.5%
Skew 10d8.5%2.3%12.3%6.6%5.8%
Call IV 25d11.3%8.8%13.7%8.8%13.5%
Put IV 25d15.1%12.5%17.9%15.3%16.9%
Bid-Ask Spread %79.0573.9884.9776.0784.97
Gamma HHI0.330.230.670.230.34
Net GEX2.5M1.2M8.6M1.5M1.5M
Net DEX-4.1M-10.6M-821.6K-2.1M-2.6M
Net VEX-69.8K-77.2K-61.5K-72.1K-64.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.024.001.610.85
Total Volume218.619171,70821974
Total OI9,053.5247,5749,6178,6059,617

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$64.49$66.0014.0%4.0%12.2%8.6%14.5%6.5%0.1%1.5M-2.1M-72.1K1.6176.07N/AN/A841356,0582,547
2012-10-02$64.98$66.0011.8%3.4%12.2%3.7%12.1%2.7%1.6%1.8M-3.9M-75.4K0.3275.84N/AN/A85276,1002,654
2012-10-03$65.11$65.0011.9%3.4%12.3%5.1%10.0%3.4%1.6%2.1M-5.4M-77.2K0.6682.41N/AN/A41276,1242,676
2012-10-04$65.09$65.0011.9%3.4%11.7%5.2%11.7%2.4%2.0%2.0M-4.9M-76.6K0.3478.27N/AN/A32116,1382,691
2012-10-05$65.17$66.0011.1%3.8%11.7%2.7%11.8%4.0%1.6%2.1M-5.0M-75.3K0.0373.98N/AN/A9736,1382,702
2012-10-08$65.03$66.0011.6%3.8%11.5%4.4%11.9%3.2%1.5%2.1M-3.8M-70.9K0.0681.13N/AN/A6546,1952,705
2012-10-09$64.79$66.0012.1%3.8%11.4%6.4%0.0%2.7%2.1%2.0M-3.3M-69.9K4.0078.20N/AN/A5206,2122,709
2012-10-10$65.05$66.0012.8%3.8%11.5%8.7%13.6%3.8%1.6%2.1M-3.8M-70.7K0.2579.68N/AN/A40106,2122,721
2012-10-11$65.00$66.0013.4%3.8%10.2%10.9%12.8%3.2%1.7%2.3M-4.3M-70.1K0.0280.21N/AN/A51086,2072,731
2012-10-12$64.77$65.0013.0%3.7%9.8%9.5%13.0%3.4%1.9%2.1M-2.5M-66.1K0.0676.96N/AN/A1616,5102,733
2012-10-15$65.20$65.0012.9%3.7%10.3%9.2%0.0%4.7%1.6%2.9M-4.1M-68.0K0.2175.01N/AN/A73156,6692,734
2012-10-16$65.60$65.0011.9%3.4%10.4%5.8%12.2%3.5%1.4%4.1M-6.8M-69.2K0.3379.72N/AN/A54186,5892,745
2012-10-17$65.42$65.0012.2%3.5%10.3%6.7%10.8%3.7%1.8%3.7M-5.4M-67.9K0.8180.51N/AN/A16136,6302,757
2012-10-18$66.09$65.0011.1%3.2%9.9%3.2%10.1%4.0%2.4%8.6M-10.6M-67.7K0.1083.65N/AN/A7786,5972,751
2012-10-19$65.54$65.0012.1%3.5%10.3%6.5%11.1%3.8%1.9%4.5M-5.4M-65.8K0.1182.86N/AN/A565626,6482,755
2012-10-22$65.21$65.0012.9%3.7%9.6%9.1%12.5%4.3%1.9%1.2M-2.6M-61.5K0.0277.87N/AN/A1,672365,0442,530
2012-10-23$64.55$65.0013.2%3.8%8.7%10.2%16.7%5.5%1.8%1.5M-3.4M-71.4K0.6179.45N/AN/A67416,6892,559
2012-10-24$64.50$65.0014.5%4.2%8.8%14.6%12.6%3.4%1.3%1.5M-3.1M-70.7K0.1879.10N/AN/A119226,6502,597
2012-10-25$64.32$65.0015.4%4.4%8.6%17.7%16.8%4.7%1.5%1.3M-2.0M-68.6K0.2177.98N/AN/A215456,6682,619
2012-10-26$63.76$65.0015.5%4.4%9.1%17.9%16.7%4.3%0.9%1.2M-821.6K-66.2K0.2476.28N/AN/A144346,8522,661
2012-10-31$64.38$64.0014.9%4.3%9.5%16.0%13.7%3.5%1.1%1.5M-2.6M-64.9K0.8584.97N/AN/A40346,9362,681