VNQ Options History — December 2012

In December 2012, VNQ traded between $64.37 and $66.43. ATM implied volatility averaged 11.2%, placing in the 8.4% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 1.6% (HV 20d: 9.6%). Max pain ranged from $64.00 to $67.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.56.

Notable Days

  • 2012-12-27: Highest Volume — 1,597 contracts
  • 2012-12-28: Largest IV spike — 21.6% change
  • 2012-12-28: Highest IV Rank — 29.4%
  • 2012-12-28: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.25$64.37$66.43$64.47$65.80
Max Pain$64.85$64.00$67.00$64.00$66.00
ATM IV11.2%9.2%14.1%12.0%11.1%
Expected Move3.3%2.6%4.0%3.4%3.2%
HV 20d9.6%7.5%11.6%11.5%10.2%
HV 60d10.5%9.9%11.0%11.0%10.3%
IV Rank8.4%0.0%29.4%8.5%11.5%
IV Percentile6.7%0.0%39.3%7.9%6.0%
Term Structure1.4%-0.1%2.5%0.3%1.0%
VWIV11.9%8.7%17.8%11.4%11.2%
Skew 25d3.5%2.1%5.4%2.8%3.3%
Skew 10d7.9%2.8%11.1%2.8%7.7%
Call IV 25d10.3%7.7%12.4%10.4%10.5%
Put IV 25d13.8%12.0%16.1%13.2%13.8%
Bid-Ask Spread %45.0922.9160.1035.8934.38
Gamma HHI0.260.120.700.210.38
Net GEX1.5M217.9K5.2M1.1M1.3M
Net DEX-2.7M-8.4M661.3K-804.5K-3.5M
Net VEX-32.6K-45.8K-26.4K-34.0K-45.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.0117.000.330.34
Total Volume227.8181,59736181
Total OI8,589.453,76510,3439,6865,649

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$64.47$64.0012.0%3.4%11.5%8.5%11.4%2.8%0.3%1.1M-804.5K-34.0K0.3335.89N/AN/A2796,9802,706
2012-12-04$64.57$64.0011.5%3.3%11.3%6.2%12.5%2.2%0.5%1.3M-1.4M-34.4K0.1937.00N/AN/A99196,9972,708
2012-12-05$64.37$64.0012.2%3.5%11.2%9.5%12.3%2.1%0.8%1.1M-612.9K-32.7K0.5131.46N/AN/A39207,0372,714
2012-12-06$64.97$64.0010.8%3.1%11.6%2.8%11.1%2.9%1.4%1.7M-2.9M-34.6K3.6732.45N/AN/A6227,0412,724
2012-12-07$65.21$64.0011.3%3.4%10.7%5.2%0.0%4.1%2.0%2.1M-4.2M-35.3K0.0160.10N/AN/A18727,0412,732
2012-12-10$65.18$64.0011.8%3.6%10.7%7.8%13.2%4.0%1.7%1.9M-3.8M-33.5K0.5659.12N/AN/A62357,0542,732
2012-12-11$65.34$64.0011.0%3.5%10.6%3.8%12.3%4.1%1.5%1.9M-3.9M-31.7K0.1158.60N/AN/A1927,0732,741
2012-12-12$65.16$64.0010.9%3.4%10.7%3.7%11.7%3.8%1.5%1.5M-3.1M-30.4K0.0155.54N/AN/A25237,0842,742
2012-12-13$64.66$64.0011.6%3.3%8.4%6.9%12.0%4.2%2.3%1.0M-1.5M-29.5K0.4351.46N/AN/A37167,3022,742
2012-12-14$64.65$64.0010.9%3.1%8.1%4.3%17.8%4.4%2.1%969.9K-924.7K-28.4K17.0055.85N/AN/A1177,2462,754
2012-12-17$64.99$64.0010.9%3.1%8.0%4.4%10.8%3.4%1.5%985.4K-2.2M-26.4K0.6749.72N/AN/A57387,2452,770
2012-12-18$65.66$65.009.2%2.6%7.7%0.0%9.8%5.4%2.4%2.1M-4.8M-28.1K3.6555.44N/AN/A23847,2512,799
2012-12-19$65.57$65.0010.3%2.9%7.5%6.3%9.7%3.4%2.5%1.1M-4.1M-27.8K0.2355.17N/AN/A137327,2582,863
2012-12-20$66.43$65.009.9%2.8%8.4%4.2%10.8%3.4%2.4%5.2M-8.4M-30.7K0.2159.93N/AN/A447927,3292,881
2012-12-21$66.32$65.0010.4%3.0%8.3%7.2%8.7%2.3%1.9%2.7M-7.4M-30.2K2.0259.97N/AN/A2134317,4712,872
2012-12-24$65.61$67.0011.2%3.2%9.4%11.8%10.8%3.3%0.8%217.9K208.8K-31.4K0.2227.73N/AN/A150332,0471,718
2012-12-26$65.30$67.0012.4%3.6%9.3%19.4%12.0%3.5%0.8%244.1K661.3K-31.8K0.8022.91N/AN/A44352,1951,721
2012-12-27$65.54$67.0011.6%3.3%9.3%14.4%12.4%4.2%0.2%277.8K288.1K-31.6K0.0330.86N/AN/A1,544532,2391,751
2012-12-28$65.11$66.0014.1%4.0%9.6%29.4%16.1%3.8%-0.1%953.1K-1.8M-44.5K0.1428.30N/AN/A77113,7801,800
2012-12-31$65.80$66.0011.1%3.2%10.2%11.5%11.2%3.3%1.0%1.3M-3.5M-45.8K0.3434.38N/AN/A135463,8381,811