VNQ Options History — January 2007 In January 2007, VNQ traded between $75.79 and $83.76. ATM implied volatility averaged 14.0%. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.2% (HV 20d: 13.7%). Max pain ranged from $75.00 to $79.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2007-01-22 : Highest Volume — 15 contracts2007-01-22 : Largest IV spike — 15.1% change2007-01-08 : Largest Expected Move — 4.8%Monthly Statistics Metric Avg Min Max Open Close Price $79.84 $75.79 $83.76 $77.12 $83.76 Max Pain $75.44 $75.00 $79.00 $79.00 $75.00 ATM IV 14.0% 12.7% 16.0% 13.6% 13.1% Expected Move 4.2% 3.7% 4.8% 3.9% 3.8% HV 20d 13.7% 13.0% 14.6% 14.6% 13.0% Term Structure 1.7% -0.3% 3.3% 2.4% 1.4% VWIV 13.6% 10.7% 17.6% 17.6% 13.8% Skew 25d 2.9% -1.9% 5.3% 4.9% 1.9% Skew 10d 1.8% -4.7% 7.5% 4.4% -0.7% Call IV 25d 12.8% 9.7% 15.3% 9.7% 12.3% Put IV 25d 15.6% 13.2% 18.6% 14.6% 14.2% Bid-Ask Spread % 83.44 46.41 99.88 94.83 97.62 Gamma HHI 0.48 0.31 0.77 0.76 0.31 Net GEX 13.3K 2.6K 27.5K 5.1K 24.1K Net DEX -140.3K -342.0K -5.2K -27.2K -342.0K Net VEX -413 -641 -140 -140 -570 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 2.85 0 15 0 0 Total OI 37.9 13 64 13 64
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-01-03 $77.12 $0.00 13.6% 3.9% 0.0% 0.0% 0.0% 4.9% 2.4% 5.1K -27.2K -140 0.00 94.83 N/A N/A 0 0 11 2 2007-01-04 $77.22 $0.00 13.5% 3.9% 0.0% 0.0% 0.0% 3.1% 2.6% 5.3K -28.3K -140 0.00 97.65 N/A N/A 0 3 11 2 2007-01-05 $75.79 $79.00 12.7% 4.7% 0.0% 0.0% 0.0% 4.8% 1.7% 3.2K -8.0K -161 0.00 46.41 N/A N/A 0 1 11 5 2007-01-08 $75.90 $79.00 12.7% 4.8% 0.0% 0.0% 17.6% 3.8% 1.8% 3.0K -5.2K -167 0.00 50.36 N/A N/A 0 3 11 6 2007-01-09 $76.86 $75.00 13.6% 4.6% 0.0% 0.0% 0.0% 3.4% 2.5% 2.6K -7.4K -202 0.00 57.90 N/A N/A 0 0 11 9 2007-01-10 $77.85 $75.00 13.0% 4.4% 0.0% 0.0% 0.0% 2.8% 1.9% 3.8K -20.5K -197 0.00 63.82 N/A N/A 9 0 11 9 2007-01-11 $78.86 $75.00 14.0% 4.0% 0.0% 0.0% 0.0% 0.1% 1.6% 7.3K -72.4K -365 0.00 96.41 N/A N/A 0 0 20 9 2007-01-12 $79.11 $75.00 14.1% 4.0% 0.0% 0.0% 11.7% -0.6% 1.7% 7.7K -76.9K -360 0.00 98.88 N/A N/A 2 0 20 9 2007-01-16 $80.24 $75.00 14.9% 4.3% 0.0% 0.0% 0.0% -1.9% -0.3% 9.0K -108.3K -335 0.00 99.88 N/A N/A 0 0 22 9 2007-01-17 $80.20 $75.00 14.6% 4.2% 0.0% 0.0% 0.0% 3.6% 2.4% 8.4K -106.2K -341 0.00 81.36 N/A N/A 10 0 22 9 2007-01-18 $80.10 $75.00 14.8% 4.2% 0.0% 0.0% 0.0% 5.3% 0.7% 11.8K -145.8K -541 0.00 82.64 N/A N/A 0 0 32 9 2007-01-19 $80.90 $75.00 13.9% 4.0% 0.0% 0.0% 10.7% 3.3% 1.3% 11.5K -163.3K -515 0.00 83.18 N/A N/A 2 0 32 9 2007-01-22 $80.22 $75.00 16.0% 4.6% 0.0% 0.0% 14.4% 3.3% 1.7% 11.6K -149.1K -538 0.00 79.79 N/A N/A 15 0 32 9 2007-01-23 $80.60 $75.00 15.3% 4.4% 0.0% 0.0% 0.0% 3.2% 0.2% 23.4K -195.5K -641 0.00 82.35 N/A N/A 0 0 47 9 2007-01-24 $81.65 $75.00 13.4% 3.8% 0.0% 0.0% 0.0% 3.2% 2.1% 24.5K -235.6K -614 0.00 86.23 N/A N/A 0 1 47 9 2007-01-25 $82.15 $75.00 14.7% 4.2% 14.6% 0.0% 13.7% 1.9% 0.2% 23.5K -256.0K -602 0.00 91.35 N/A N/A 3 0 47 10 2007-01-26 $82.42 $75.00 14.8% 4.3% 14.1% 0.0% 0.0% 4.7% 3.0% 25.7K -269.1K -627 0.00 89.72 N/A N/A 0 0 50 10 2007-01-29 $82.69 $75.00 12.9% 3.7% 13.7% 0.0% 0.0% 3.4% 3.3% 27.5K -281.2K -583 0.00 92.61 N/A N/A 3 0 50 10 2007-01-30 $83.10 $75.00 13.8% 3.9% 13.3% 0.0% 13.8% 3.2% 1.4% 26.3K -307.4K -619 0.00 95.77 N/A N/A 5 0 53 10 2007-01-31 $83.76 $75.00 13.1% 3.8% 13.0% 0.0% 0.0% 1.9% 1.4% 24.1K -342.0K -570 0.00 97.62 N/A N/A 0 0 54 10
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