VNQ Options History — April 2007 In April 2007, VNQ traded between $78.81 and $81.30. ATM implied volatility averaged 18.0%. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.5% (HV 20d: 15.5%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.56.
Notable Days 2007-04-25 : Highest Volume — 67 contracts2007-04-09 : Largest IV drop — 12.9% change2007-04-12 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $80.19 $78.81 $81.30 $79.85 $79.25 Max Pain $80.00 $80.00 $80.00 $80.00 $80.00 ATM IV 18.0% 15.5% 19.9% 18.5% 17.0% Expected Move 5.2% 4.4% 5.7% 5.3% 4.9% HV 20d 15.5% 12.6% 22.4% 22.4% 13.2% HV 60d 20.7% 20.4% 21.1% 21.1% 20.8% Term Structure 0.5% -0.8% 2.7% 0.5% 0.9% VWIV 18.2% 16.7% 19.3% 19.1% 16.7% Skew 25d 2.8% -4.5% 5.9% 5.9% 2.4% Skew 10d 2.0% -4.3% 9.2% 9.2% 2.3% Call IV 25d 16.9% 14.8% 20.0% 15.9% 15.9% Put IV 25d 19.7% 12.9% 21.9% 21.9% 18.3% Bid-Ask Spread % 65.65 39.61 120.36 82.85 67.82 Gamma HHI 0.12 0.10 0.14 0.11 0.10 Net GEX 41.7K 31.6K 56.5K 31.6K 40.2K Net DEX -371.0K -581.8K -158.0K -258.9K -189.6K Net VEX -5.5K -5.9K -4.3K -5.6K -4.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.56 0.00 12.00 0.00 12.00 Total Volume 14.85 0 67 1 14 Total OI 414.8 363 475 378 363
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 2007-04-02 $79.85 $80.00 18.5% 5.3% 22.4% 0.0% 0.0% 5.9% 0.5% 31.6K -258.9K -5.6K 0.00 82.85 N/A N/A 1 0 242 136 2007-04-03 $80.55 $80.00 18.4% 5.3% 18.7% 0.0% 19.1% 4.7% 0.1% 34.8K -379.6K -5.6K 0.00 89.34 N/A N/A 0 3 242 136 2007-04-04 $80.15 $80.00 19.0% 5.5% 18.0% 0.0% 18.1% 4.3% -0.2% 32.7K -300.3K -5.6K 0.50 92.22 N/A N/A 2 1 242 136 2007-04-05 $80.07 $80.00 18.7% 5.4% 17.2% 0.0% 0.0% 4.0% 0.7% 33.1K -326.6K -5.5K 0.00 92.88 N/A N/A 1 0 242 137 2007-04-09 $80.22 $80.00 16.3% 5.6% 16.6% 0.0% 0.0% 2.8% -0.7% 33.6K -322.4K -5.3K 0.00 50.34 N/A N/A 0 0 242 137 2007-04-10 $80.55 $80.00 17.6% 5.4% 16.5% 0.0% 0.0% 3.3% 0.6% 35.6K -342.4K -5.3K 0.03 39.61 N/A N/A 60 2 242 137 2007-04-11 $79.35 $80.00 19.8% 5.7% 15.1% 0.0% 19.3% 3.5% -0.8% 45.6K -337.8K -5.7K 1.85 46.90 N/A N/A 20 37 284 137 2007-04-12 $78.81 $80.00 19.9% 5.7% 15.2% 0.0% 0.0% 3.7% -0.3% 43.0K -158.0K -5.7K 0.00 41.30 N/A N/A 0 0 302 155 2007-04-13 $79.70 $80.00 19.6% 5.6% 15.4% 0.0% 0.0% -1.2% 1.8% 46.2K -329.3K -5.8K 0.00 90.94 N/A N/A 0 0 302 155 2007-04-16 $79.80 $80.00 19.2% 5.5% 14.8% 0.0% 0.0% 3.4% 0.4% 48.6K -339.5K -5.7K 0.00 41.45 N/A N/A 4 0 302 155 2007-04-17 $80.84 $80.00 19.0% 5.4% 15.1% 0.0% 0.0% 2.8% 0.0% 56.5K -581.8K -5.7K 2.20 48.19 N/A N/A 5 11 302 155 2007-04-18 $80.34 $80.00 19.3% 5.5% 15.2% 0.0% 0.0% 2.9% 1.3% 49.3K -464.5K -5.9K 0.00 45.46 N/A N/A 20 0 307 166 2007-04-19 $79.80 $80.00 18.8% 5.4% 14.8% 0.0% 0.0% 3.1% 0.8% 45.0K -302.0K -5.8K 0.00 46.19 N/A N/A 0 0 309 166 2007-04-20 $80.40 $80.00 18.9% 5.4% 15.0% 0.0% 0.0% 3.6% 0.7% 47.7K -428.0K -5.8K 0.00 49.40 N/A N/A 0 0 309 166 2007-04-23 $81.30 $80.00 17.0% 4.9% 15.6% 0.0% 17.7% 3.7% 0.5% 41.9K -579.8K -5.6K 0.21 70.41 N/A N/A 19 4 271 146 2007-04-24 $80.75 $80.00 16.8% 4.8% 13.6% 0.0% 0.0% 2.7% 0.9% 43.7K -501.3K -5.5K 0.00 60.22 N/A N/A 0 0 271 146 2007-04-25 $80.70 $80.00 15.7% 4.5% 12.9% 0.0% 16.7% -4.5% 2.7% 43.6K -548.9K -5.6K 0.31 120.36 N/A N/A 51 16 271 146 2007-04-26 $80.75 $80.00 15.7% 4.5% 12.6% 0.0% 0.0% 1.8% 0.4% 39.5K -366.4K -4.8K 12.00 70.87 N/A N/A 2 24 241 131 2007-04-27 $80.55 $80.00 15.5% 4.4% 12.6% 0.0% 0.0% 3.1% 0.7% 40.9K -362.6K -4.7K 0.00 66.26 N/A N/A 0 0 241 126 2007-04-30 $79.25 $80.00 17.0% 4.9% 13.2% 0.0% 0.0% 2.4% 0.9% 40.2K -189.6K -4.3K 0.00 67.82 N/A N/A 0 14 241 122
« Mar 2007 | All History | May 2007 » Home VNQ History April 2007