VNQ Options History — April 2013

In April 2013, VNQ traded between $70.71 and $75.28. ATM implied volatility averaged 10.1%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 0.8% (HV 20d: 10.9%). Max pain ranged from $70.00 to $71.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.38.

Notable Days

  • 2013-04-09: Highest Volume — 2,697 contracts
  • 2013-04-15: Largest IV spike — 37.5% change
  • 2013-04-15: Highest IV Rank — 30.2%
  • 2013-04-15: Largest Expected Move — 3.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.09$70.71$75.28$70.74$75.28
Max Pain$70.50$70.00$71.00$70.00$71.00
ATM IV10.1%8.5%13.2%8.7%10.2%
Expected Move2.9%2.4%3.8%2.5%2.9%
HV 20d10.9%6.2%14.5%7.0%14.5%
HV 60d10.0%8.3%11.3%8.3%11.3%
IV Rank13.0%4.0%30.2%4.9%13.3%
IV Percentile23.9%5.6%56.3%5.6%25.4%
Term Structure0.5%-0.5%1.3%1.1%0.3%
VWIV10.3%6.7%13.0%9.0%11.4%
Skew 25d3.2%1.7%4.7%4.5%3.6%
Skew 10d7.3%1.9%11.8%4.6%8.9%
Call IV 25d8.8%6.1%11.5%6.4%8.0%
Put IV 25d12.1%8.6%15.4%10.9%11.6%
Bid-Ask Spread %42.0024.5157.6029.9527.69
Gamma HHI0.350.210.470.450.36
Net GEX2.2M1.7M2.6M2.5M1.7M
Net DEX-25.4M-29.0M-18.2M-18.2M-28.7M
Net VEX-63.5K-75.9K-52.0K-69.4K-75.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.006.572.366.57
Total Volume281.364282,69712153
Total OI7,215.0456,6478,2686,6478,268

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$70.74$70.008.7%2.5%7.0%4.9%0.0%4.5%1.1%2.5M-18.2M-69.4K2.3629.95N/AN/A36855,2111,436
2013-04-02$70.96$70.008.5%2.4%6.6%4.0%9.0%1.9%1.3%2.5M-19.6M-70.0K0.4726.18N/AN/A80385,2371,521
2013-04-03$70.71$70.009.2%2.6%6.2%8.0%10.0%2.6%0.8%2.4M-18.7M-70.9K0.6524.51N/AN/A17115,2811,546
2013-04-04$71.86$70.008.7%2.5%8.3%4.9%6.7%2.5%0.4%2.4M-24.0M-66.1K0.1327.40N/AN/A128165,2941,545
2013-04-05$72.25$70.008.6%2.7%8.1%4.2%10.2%1.7%0.0%2.6M-26.4M-61.9K0.3250.88N/AN/A62205,4011,560
2013-04-08$72.83$70.008.7%2.6%8.4%4.8%8.6%2.5%0.6%2.0M-28.5M-60.6K0.1455.64N/AN/A102145,4461,566
2013-04-09$72.84$70.008.6%2.7%8.4%4.3%10.0%2.5%0.6%2.0M-28.9M-59.5K0.0852.84N/AN/A2,4872105,4891,567
2013-04-10$73.29$70.008.7%2.8%8.3%5.2%9.7%2.8%0.4%2.5M-26.4M-63.5K0.5057.45N/AN/A36185,6281,744
2013-04-11$73.72$70.009.3%2.7%8.3%8.5%8.8%2.2%0.6%2.3M-28.5M-61.8K0.8149.32N/AN/A48395,6541,755
2013-04-12$73.90$70.009.6%2.8%8.2%10.2%9.7%3.5%0.5%2.2M-29.0M-61.4K0.9347.73N/AN/A29275,6921,758
2013-04-15$72.37$70.0013.2%3.8%11.7%30.2%13.0%3.4%-0.5%2.2M-22.9M-65.7K5.7643.12N/AN/A341965,6971,784
2013-04-16$73.57$71.0010.7%3.1%12.6%16.0%9.8%3.4%0.1%2.1M-26.9M-66.1K0.5557.60N/AN/A141775,7211,950
2013-04-17$72.79$71.0012.3%3.5%13.2%25.0%11.6%3.7%0.2%2.1M-23.1M-67.6K0.1855.45N/AN/A100185,6761,997
2013-04-18$72.68$71.0012.5%3.6%13.2%25.9%11.3%4.0%0.1%2.1M-22.7M-67.3K0.0049.29N/AN/A4505,6821,955
2013-04-19$73.80$71.0010.9%3.1%13.9%17.2%11.9%3.7%0.6%2.0M-27.3M-59.8K0.0645.40N/AN/A439255,5691,955
2013-04-22$73.70$71.0010.5%3.0%13.8%15.2%10.9%3.5%1.2%2.4M-24.3M-62.7K0.2443.55N/AN/A51125,3541,583
2013-04-23$74.11$71.0010.5%3.0%13.8%14.8%10.3%4.1%0.8%2.2M-26.4M-59.1K1.8040.07N/AN/A15275,3931,589
2013-04-24$74.27$71.0010.6%3.0%13.7%15.6%11.0%3.3%0.7%2.3M-27.0M-59.4K0.0939.73N/AN/A4645,4001,593
2013-04-25$74.02$71.0011.0%3.1%13.9%17.5%10.7%3.1%0.0%2.3M-26.6M-57.3K4.4735.33N/AN/A17765,4131,597
2013-04-26$73.78$71.0010.6%3.0%14.0%15.7%10.8%3.6%0.4%2.4M-25.5M-60.0K0.0527.41N/AN/A3725,4221,673
2013-04-29$74.41$71.0011.4%3.3%14.2%20.1%11.0%4.7%-0.2%2.3M-28.7M-52.0K4.0937.46N/AN/A2501,0225,4561,673
2013-04-30$75.28$71.0010.2%2.9%14.5%13.3%11.4%3.6%0.3%1.7M-28.7M-75.9K6.5727.69N/AN/A7465,5952,673