VNQ Options History — November 2012

In November 2012, VNQ traded between $62.06 and $65.12. ATM implied volatility averaged 13.8%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.4% (HV 20d: 11.3%). Max pain ranged from $64.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2012-11-16: Highest Volume — 759 contracts
  • 2012-11-14: Largest IV spike — 42.1% change
  • 2012-11-14: Highest IV Rank — 31.9%
  • 2012-11-15: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.82$62.06$65.12$64.69$64.21
Max Pain$64.48$64.00$65.00$64.00$64.00
ATM IV13.8%12.1%19.1%12.8%12.3%
Expected Move4.0%3.5%4.8%3.7%3.5%
HV 20d11.3%9.2%12.6%9.2%11.7%
HV 60d10.3%9.5%11.1%9.7%11.0%
IV Rank12.6%6.7%31.9%8.9%8.4%
IV Percentile25.0%8.7%69.4%15.5%12.3%
Term Structure1.1%-0.0%2.6%0.8%0.3%
VWIV13.2%10.7%16.6%13.5%11.3%
Skew 25d3.8%2.6%5.4%3.8%4.1%
Skew 10d8.9%1.2%14.0%1.2%3.7%
Call IV 25d12.4%9.3%15.5%12.1%9.3%
Put IV 25d16.2%13.4%18.9%15.9%13.4%
Bid-Ask Spread %49.6727.8289.0289.0251.61
Gamma HHI0.250.150.370.350.20
Net GEX1.1M229.1K2.1M1.7M946.4K
Net DEX-274.1K-6.3M4.6M-3.8M-123.0K
Net VEX-47.0K-70.4K-33.2K-66.5K-33.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.003.110.000.69
Total Volume154.7624075995135
Total OI9,645.3819,0569,9849,6389,573

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$64.69$64.0012.8%3.7%9.2%8.9%13.5%3.8%0.8%1.7M-3.8M-66.5K0.0089.02N/AN/A9506,9602,678
2012-11-02$65.12$64.0013.1%3.8%9.5%9.9%12.0%5.2%1.1%2.1M-6.3M-70.4K0.0084.86N/AN/A21106,9562,678
2012-11-05$64.69$65.0015.2%4.3%9.8%17.0%12.5%5.4%1.2%1.8M-4.5M-65.8K0.0168.35N/AN/A15126,9942,678
2012-11-06$64.97$65.0014.6%4.3%9.9%15.0%14.3%4.7%1.3%1.9M-4.8M-65.6K0.0252.79N/AN/A26656,9492,680
2012-11-07$64.68$65.0013.7%4.3%10.0%11.9%14.5%5.2%1.3%2.0M-4.7M-64.6K0.0552.30N/AN/A9757,1832,685
2012-11-08$63.91$65.0014.0%4.5%10.8%12.7%14.2%4.1%1.2%1.4M-1.4M-57.1K0.1551.39N/AN/A5287,2402,689
2012-11-09$63.74$65.0013.9%4.5%10.7%12.7%15.2%4.1%1.2%1.3M-811.6K-56.1K0.0348.96N/AN/A10137,2442,686
2012-11-12$63.59$65.0014.0%4.3%10.7%12.9%13.8%4.3%1.7%1.0M623.1K-49.4K0.1845.76N/AN/A3977,2672,684
2012-11-13$63.54$65.0013.4%4.1%10.7%11.6%11.5%3.5%2.1%974.0K694.3K-47.8K0.0045.20N/AN/A6107,2882,687
2012-11-14$62.35$65.0019.1%4.7%12.0%31.9%14.8%3.7%1.6%370.7K4.1M-39.7K0.2038.93N/AN/A151307,2862,687
2012-11-15$62.06$65.0016.8%4.8%11.6%23.7%16.6%3.3%1.1%420.9K4.2M-40.7K1.0438.83N/AN/A81847,2462,701
2012-11-16$62.44$65.0014.9%4.3%12.1%16.9%10.7%4.2%2.6%229.1K4.6M-34.8K0.0545.82N/AN/A725347,2692,715
2012-11-19$63.21$64.0013.2%3.8%12.4%10.6%12.3%3.2%0.9%445.9K2.7M-35.8K0.2849.88N/AN/A173486,4292,627
2012-11-20$63.68$64.0012.1%3.5%12.6%6.9%11.9%2.6%1.2%740.5K1.5M-37.9K0.0646.61N/AN/A193126,5892,655
2012-11-21$63.57$64.0012.1%3.5%12.5%6.7%12.2%3.0%1.0%773.6K1.4M-37.1K0.3039.56N/AN/A74226,7072,657
2012-11-23$64.04$64.0012.3%3.5%12.4%7.5%12.1%2.6%0.4%1.1M-168.2K-39.6K0.1837.39N/AN/A3466,7492,661
2012-11-26$64.17$64.0013.5%3.9%12.4%11.9%13.0%3.6%-0.0%1.2M-380.4K-38.8K3.1127.82N/AN/A18566,7632,659
2012-11-27$63.81$64.0012.9%3.7%12.6%9.6%14.7%2.9%0.6%976.0K335.3K-37.2K1.0038.34N/AN/A24246,7682,651
2012-11-28$63.73$64.0012.8%3.7%12.2%9.3%13.5%2.6%0.2%911.3K833.5K-34.7K0.1244.42N/AN/A156196,7662,643
2012-11-29$64.08$64.0012.2%3.5%11.8%8.3%13.5%3.8%0.5%904.2K340.2K-33.2K0.4145.21N/AN/A34146,8882,638
2012-11-30$64.21$64.0012.3%3.5%11.7%8.4%11.3%4.1%0.3%946.4K-123.0K-33.5K0.6951.61N/AN/A80556,9212,652