VNQ Options History — March 2007

In March 2007, VNQ traded between $76.31 and $81.21. ATM implied volatility averaged 22.2%. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 4.9% (HV 20d: 27.1%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.17.

Notable Days

  • 2007-03-21: Highest Volume — 43 contracts
  • 2007-03-13: Largest IV spike — 16.8% change
  • 2007-03-02: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.44$76.31$81.21$80.68$79.35
Max Pain$81.09$80.00$85.00$85.00$80.00
ATM IV22.2%19.6%25.5%21.9%19.6%
Expected Move6.1%4.6%6.8%6.3%5.6%
HV 20d27.1%20.4%28.9%20.4%26.8%
HV 60d21.6%21.1%22.3%22.1%21.1%
Term Structure0.0%-4.6%3.4%-2.1%1.2%
VWIV19.7%16.6%21.8%21.1%19.6%
Skew 25d4.2%-3.7%5.7%5.1%4.8%
Skew 10d7.6%-4.9%10.3%2.5%8.2%
Call IV 25d18.9%16.3%23.2%17.8%16.8%
Put IV 25d23.1%12.7%25.9%22.8%21.6%
Bid-Ask Spread %76.6262.59101.79101.7984.49
Gamma HHI0.100.090.160.160.10
Net GEX17.3K6.6K34.4K11.5K25.7K
Net DEX-64.1K-491.1K340.5K-60.2K-153.7K
Net VEX-4.7K-5.5K-4.0K-4.3K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.005.001.200.00
Total Volume12.4090432210
Total OI345.864266376333368

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$80.68$85.0021.9%6.3%20.4%0.0%0.0%5.1%-2.1%11.5K-60.2K-4.3K1.20101.79N/AN/A1012198135
2007-03-02$79.40$85.0023.8%6.8%20.9%0.0%21.1%0.2%-4.6%9.2K110.4K-4.6K0.00100.18N/AN/A110208143
2007-03-05$76.31$81.0024.2%4.6%24.5%0.0%16.6%-3.7%3.4%6.6K340.5K-4.0K2.6795.03N/AN/A38209142
2007-03-06$79.11$81.0024.1%6.4%28.5%0.0%0.0%5.6%0.4%12.0K92.9K-4.3K0.0069.28N/AN/A016207136
2007-03-07$78.00$81.0025.5%6.7%28.0%0.0%0.0%4.6%-0.2%7.3K220.3K-4.3K2.5071.58N/AN/A25207145
2007-03-08$79.25$81.0024.4%6.2%27.4%0.0%0.0%4.4%0.9%7.4K136.9K-4.5K0.2964.19N/AN/A144208150
2007-03-09$80.30$81.0023.8%6.3%28.1%0.0%0.0%5.1%0.3%14.4K-14.1K-4.7K0.0062.59N/AN/A00222146
2007-03-12$80.70$81.0021.8%6.0%28.1%0.0%0.0%4.9%1.6%15.1K-67.9K-4.6K0.0068.45N/AN/A06222146
2007-03-13$78.80$81.0025.4%6.3%28.6%0.0%0.0%3.7%0.9%10.9K102.8K-4.5K0.0069.54N/AN/A00222147
2007-03-14$79.18$81.0024.2%6.4%27.5%0.0%0.0%5.0%0.7%12.0K117.5K-4.3K0.0068.79N/AN/A05222147
2007-03-15$79.89$81.0022.0%6.3%27.9%0.0%0.0%5.5%-1.5%14.7K51.9K-4.4K0.0072.50N/AN/A00222147
2007-03-16$79.00$81.0022.3%6.4%27.7%0.0%0.0%4.3%-0.9%11.5K111.0K-4.3K0.0077.77N/AN/A00222147
2007-03-19$79.79$81.0021.3%6.1%28.2%0.0%0.0%5.7%-0.3%13.1K-187.1K-4.3K0.0081.22N/AN/A320162104
2007-03-20$80.11$81.0021.3%6.1%28.0%0.0%18.5%5.7%0.4%16.0K-255.5K-4.5K0.1776.09N/AN/A122174104
2007-03-21$81.08$81.0020.4%5.8%28.6%0.0%21.8%4.3%0.3%22.5K-391.9K-4.7K0.1665.83N/AN/A376186106
2007-03-22$81.16$80.0020.5%5.9%28.6%0.0%20.6%4.7%-0.9%31.6K-455.2K-5.4K1.0067.57N/AN/A66223112
2007-03-23$81.21$80.0020.5%5.9%28.0%0.0%21.2%4.6%-0.1%34.4K-491.1K-5.5K0.0066.57N/AN/A20227112
2007-03-26$79.45$80.0020.0%5.7%28.9%0.0%0.0%5.3%0.2%31.4K-311.9K-5.2K0.6082.27N/AN/A53229112
2007-03-27$78.62$80.0019.7%5.6%27.0%0.0%18.8%4.8%0.9%30.9K-246.5K-5.0K0.0080.41N/AN/A029234109
2007-03-28$78.10$80.0021.0%6.0%26.9%0.0%19.2%4.1%-0.3%23.4K-44.0K-5.4K2.7580.74N/AN/A411234137
2007-03-29$78.23$81.0020.5%5.9%26.8%0.0%19.6%3.5%-0.1%18.4K-14.9K-5.5K5.0078.80N/AN/A210230146
2007-03-30$79.35$80.0019.6%5.6%26.8%0.0%0.0%4.8%1.2%25.7K-153.7K-5.4K0.0084.49N/AN/A100232136