VNQ Options History — May 2013

In May 2013, VNQ traded between $70.78 and $78.15. ATM implied volatility averaged 11.8%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 1.1% (HV 20d: 13.0%). Max pain ranged from $66.00 to $71.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.02.

Notable Days

  • 2013-05-01: Highest Volume — 1,245 contracts
  • 2013-05-22: Largest IV spike — 18.7% change
  • 2013-05-31: Highest IV Rank — 55.2%
  • 2013-05-31: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.52$70.78$78.15$74.68$70.78
Max Pain$67.41$66.00$71.00$71.00$69.00
ATM IV11.8%9.5%17.8%11.4%17.8%
Expected Move3.5%2.9%5.1%3.3%5.1%
HV 20d13.0%8.6%16.1%14.9%16.1%
HV 60d11.7%10.2%13.5%11.4%13.5%
IV Rank22.4%9.4%55.2%20.1%55.2%
IV Percentile44.9%20.2%92.1%38.5%92.1%
Term Structure0.7%-0.7%2.1%0.2%-0.7%
VWIV12.3%9.0%18.8%12.5%18.8%
Skew 25d3.4%2.6%4.0%3.3%3.8%
Skew 10d8.5%2.6%13.3%5.7%10.6%
Call IV 25d10.6%7.7%16.5%10.3%16.5%
Put IV 25d13.9%11.3%20.4%13.6%20.4%
Bid-Ask Spread %39.6520.1064.4420.1025.11
Gamma HHI0.190.120.380.380.14
Net GEX870.3K236.0K1.9M1.9M981.9K
Net DEX-22.5M-34.4M-1.6M-26.7M-1.6M
Net VEX-70.6K-90.6K-57.7K-78.0K-90.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.026.360.040.99
Total Volume463.727631,2451,245624
Total OI8,198.6826,64110,0978,29010,097

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$74.68$71.0011.4%3.3%14.9%20.1%12.5%3.3%0.2%1.9M-26.7M-78.0K0.0420.10N/AN/A1,198475,6012,689
2013-05-02$75.17$71.0011.1%3.2%14.1%18.1%10.1%3.2%0.5%1.2M-25.9M-72.4K1.1922.00N/AN/A2322765,0812,730
2013-05-03$75.47$71.0010.8%3.1%14.1%16.8%9.8%3.6%0.5%986.7K-27.2M-72.9K0.0428.73N/AN/A511195,2192,936
2013-05-06$75.86$66.009.7%3.0%14.0%10.6%13.4%3.0%1.4%1.6M-30.0M-73.0K0.0243.90N/AN/A813155,6972,944
2013-05-07$76.28$66.009.5%3.0%14.0%9.4%11.0%3.0%0.8%1.4M-32.0M-66.1K6.3664.44N/AN/A442805,6412,951
2013-05-08$76.32$66.009.9%3.0%13.9%11.6%9.0%3.5%1.2%1.5M-31.8M-67.8K0.6958.39N/AN/A102705,6562,901
2013-05-09$75.82$66.0010.0%3.1%14.2%12.4%11.6%3.1%1.1%1.7M-29.9M-70.8K1.7946.53N/AN/A34615,7152,951
2013-05-10$76.10$66.0010.0%3.1%14.2%12.0%11.4%3.3%0.8%1.5M-30.9M-69.2K0.0457.53N/AN/A474205,7172,988
2013-05-13$76.46$66.0011.2%3.2%11.5%18.6%12.1%3.0%1.4%1.2M-33.0M-63.5K3.8253.42N/AN/A762905,7283,006
2013-05-14$76.74$66.009.5%3.0%10.3%9.4%11.1%3.3%1.3%601.6K-33.8M-64.7K0.4047.85N/AN/A145585,7863,268
2013-05-15$77.50$66.0010.9%3.2%9.5%17.3%11.3%3.3%1.1%285.9K-34.4M-60.7K0.9144.92N/AN/A33305,5273,251
2013-05-16$77.10$66.0011.1%3.2%9.8%18.2%10.5%3.1%1.0%324.7K-24.5M-60.2K0.6148.48N/AN/A124764,3773,204
2013-05-17$77.53$66.0010.2%2.9%8.7%13.0%11.2%3.3%2.1%236.0K-25.6M-61.0K0.1445.36N/AN/A160224,4443,234
2013-05-20$77.71$66.0010.3%3.0%8.6%13.9%9.8%3.3%0.7%239.5K-21.4M-57.7K0.0737.79N/AN/A310223,8752,766
2013-05-21$78.15$67.0010.7%3.1%8.6%15.9%10.4%2.6%0.7%365.8K-22.9M-60.7K1.0337.20N/AN/A1541584,1012,773
2013-05-22$76.25$67.0012.7%3.6%13.0%26.9%11.1%4.0%0.4%467.5K-17.5M-69.0K0.7132.19N/AN/A2211584,2202,909
2013-05-23$74.82$67.0012.9%3.7%14.8%28.5%12.8%3.6%0.3%487.7K-13.7M-74.3K1.1439.17N/AN/A1972254,3353,055
2013-05-24$74.63$68.0012.9%3.7%14.7%28.4%14.4%3.5%1.1%434.5K-12.6M-76.3K0.9437.68N/AN/A71674,4913,237
2013-05-28$73.99$68.0014.4%4.1%14.8%36.5%14.3%4.0%0.2%481.2K-11.0M-75.6K0.3731.77N/AN/A4921804,5463,272
2013-05-29$72.42$69.0017.1%4.9%15.9%51.4%16.9%3.3%-0.4%633.2K-6.3M-82.3K1.1229.20N/AN/A4485015,0003,415
2013-05-30$71.74$69.0016.8%4.8%15.9%49.7%16.9%3.5%-0.3%656.3K-3.6M-86.8K0.0920.60N/AN/A1,065995,2103,827
2013-05-31$70.78$69.0017.8%5.1%16.1%55.2%18.8%3.8%-0.7%981.9K-1.6M-90.6K0.9925.11N/AN/A3143106,1943,903