VNQ Options History — January 2013

In January 2013, VNQ traded between $66.61 and $69.33. ATM implied volatility averaged 8.9%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded below realized volatility by 0.1% (HV 20d: 9.0%). Max pain ranged from $66.00 to $67.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2013-01-30: Highest Volume — 1,454 contracts
  • 2013-01-10: Largest IV spike — 17.5% change
  • 2013-01-10: Highest IV Rank — 11.9%
  • 2013-01-09: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.81$66.61$69.33$66.62$68.26
Max Pain$66.38$66.00$67.00$66.00$67.00
ATM IV8.9%7.8%10.5%8.5%9.9%
Expected Move2.7%2.2%3.0%2.4%2.8%
HV 20d9.0%5.7%10.9%10.9%6.0%
HV 60d10.2%9.5%10.6%10.6%9.7%
IV Rank4.0%0.0%11.9%0.0%11.8%
IV Percentile2.0%0.0%7.9%0.0%7.9%
Term Structure1.4%0.8%2.3%2.3%0.8%
VWIV9.1%6.5%10.1%9.0%9.4%
Skew 25d2.4%1.4%4.0%4.0%1.6%
Skew 10d4.3%1.7%6.9%3.8%4.0%
Call IV 25d8.1%6.1%9.7%7.2%9.1%
Put IV 25d10.6%8.8%12.4%11.1%10.6%
Bid-Ask Spread %35.7316.5455.3616.5430.14
Gamma HHI0.280.170.360.360.29
Net GEX2.2M1.4M2.9M1.6M2.4M
Net DEX-16.5M-21.8M-7.1M-7.1M-17.0M
Net VEX-59.9K-70.8K-46.9K-46.9K-70.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.005.600.070.69
Total Volume354.19331,454308108
Total OI7,356.8575,7888,9385,7888,938

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$66.62$66.008.5%2.4%10.9%0.0%9.0%4.0%2.3%1.6M-7.1M-46.9K0.0716.54N/AN/A287213,9521,836
2013-01-03$66.61$66.009.3%2.7%10.9%4.7%10.1%3.1%1.8%1.7M-7.7M-49.1K0.0021.58N/AN/A66814,1871,846
2013-01-04$66.92$66.008.5%3.0%10.8%0.0%9.6%3.3%1.2%2.0M-11.1M-58.1K0.0155.36N/AN/A50774,7541,847
2013-01-07$67.07$66.009.0%3.0%10.5%3.0%0.0%3.5%1.1%2.2M-13.5M-63.9K0.0350.65N/AN/A6625,2361,845
2013-01-08$66.94$66.008.8%3.0%10.5%1.9%9.2%2.4%1.1%2.2M-13.0M-63.9K0.1245.13N/AN/A172215,2871,846
2013-01-09$67.13$66.008.9%3.0%10.5%2.9%10.0%2.1%1.1%2.3M-14.5M-64.4K5.6047.75N/AN/A5285,4551,861
2013-01-10$67.20$66.0010.5%3.0%10.5%11.9%10.0%2.2%0.9%2.4M-14.7M-64.3K0.0945.36N/AN/A198185,4601,882
2013-01-11$67.16$66.009.8%2.8%10.4%7.6%9.9%2.1%1.3%2.5M-14.7M-64.4K2.1546.96N/AN/A1623485,5341,882
2013-01-14$67.35$66.0010.0%2.9%9.8%8.6%9.8%1.7%1.2%2.0M-15.5M-64.4K2.2644.50N/AN/A962175,6442,178
2013-01-15$67.67$66.009.3%2.7%9.9%5.0%9.3%2.2%1.2%1.8M-17.4M-63.5K2.0933.30N/AN/A32675,7372,386
2013-01-16$67.59$66.008.9%2.6%9.9%2.7%9.9%1.6%1.6%1.4M-17.2M-63.5K2.2438.28N/AN/A17385,7482,443
2013-01-17$67.80$66.008.9%2.6%9.4%2.9%8.6%2.1%1.4%2.1M-18.9M-62.4K0.3539.87N/AN/A102365,7372,429
2013-01-18$68.09$66.008.2%2.4%9.4%0.0%8.2%2.0%1.7%2.9M-20.3M-59.5K0.7739.61N/AN/A1681305,7012,453
2013-01-22$68.44$67.008.1%2.3%8.5%0.0%6.8%2.9%2.2%2.8M-20.5M-57.3K0.1725.60N/AN/A123215,4721,476
2013-01-23$68.42$67.008.4%2.4%8.4%1.8%9.1%2.6%1.7%2.8M-20.8M-57.8K1.1724.73N/AN/A1722015,5311,497
2013-01-24$68.56$67.007.8%2.2%7.1%0.0%6.5%3.2%1.4%2.8M-21.5M-58.1K0.1720.85N/AN/A1,0841835,5741,664
2013-01-25$68.95$67.008.1%2.3%6.7%1.8%8.4%1.4%1.2%2.1M-20.6M-55.1K1.8530.55N/AN/A661225,1781,847
2013-01-28$69.13$67.009.1%2.6%6.7%7.1%9.3%1.7%1.0%2.1M-20.9M-56.5K2.6731.74N/AN/A902405,2381,943
2013-01-29$69.33$67.008.8%2.5%5.7%5.3%8.7%2.1%1.1%1.8M-21.8M-54.2K3.2131.26N/AN/A381225,2532,163
2013-01-30$68.67$67.008.8%2.5%6.6%5.8%9.6%3.3%1.4%1.8M-18.1M-59.8K0.1530.61N/AN/A1,2591955,2782,276
2013-01-31$68.26$67.009.9%2.8%6.0%11.8%9.4%1.6%0.8%2.4M-17.0M-70.8K0.6930.14N/AN/A64446,4722,466