VNQ Options History — May 2007

In May 2007, VNQ traded between $74.12 and $79.39. ATM implied volatility averaged 18.6%. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.0% (HV 20d: 15.6%). Max pain ranged from $79.00 to $80.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.31.

Notable Days

  • 2007-05-18: Highest Volume — 79 contracts
  • 2007-05-30: Largest IV drop — 15.7% change
  • 2007-05-24: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.41$74.12$79.39$78.56$78.95
Max Pain$79.14$79.00$80.00$80.00$79.00
ATM IV18.6%15.8%22.6%17.5%17.4%
Expected Move5.3%4.5%6.5%5.0%5.0%
HV 20d15.6%13.2%23.2%13.3%23.0%
HV 60d20.1%18.5%20.9%20.9%18.5%
Term Structure0.4%-3.1%3.2%-0.4%3.2%
VWIV18.4%15.6%23.3%15.9%16.6%
Skew 25d4.0%-0.5%6.5%-0.5%4.1%
Skew 10d7.0%-2.5%11.9%-2.5%4.9%
Call IV 25d16.4%14.4%19.6%16.4%18.4%
Put IV 25d20.5%15.9%25.0%15.9%22.5%
Bid-Ask Spread %82.6066.06130.51130.5188.72
Gamma HHI0.120.090.160.090.11
Net GEX17.1K-6.5K34.3K33.4K23.7K
Net DEX261.3K-131.6K916.5K-74.2K-18.6K
Net VEX-4.8K-6.3K-4.2K-4.4K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.005.830.330.00
Total Volume16.318079012
Total OI453371551371551

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$78.56$80.0017.5%5.0%13.3%0.0%0.0%-0.5%-0.4%33.4K-74.2K-4.4K0.00130.51N/AN/A00241130
2007-05-02$79.18$80.0017.6%5.0%13.2%0.0%0.0%3.7%-0.0%34.3K-112.1K-4.4K0.0067.43N/AN/A011241130
2007-05-03$79.39$80.0016.6%4.8%13.2%0.0%0.0%4.3%0.1%32.6K-131.6K-4.5K0.0066.06N/AN/A00241137
2007-05-04$78.70$79.0016.9%4.5%13.5%0.0%15.9%3.9%2.7%30.2K-28.8K-4.3K0.3373.47N/AN/A279241137
2007-05-07$78.92$79.0017.1%4.5%13.5%0.0%0.0%3.6%2.7%29.8K-45.9K-4.5K0.0074.65N/AN/A00245146
2007-05-08$78.40$79.0019.2%4.9%13.6%0.0%0.0%3.3%1.6%28.1K32.2K-4.4K0.0075.26N/AN/A014245146
2007-05-09$79.25$79.0016.9%4.5%13.2%0.0%16.3%3.3%2.8%28.3K-36.7K-4.6K5.0079.23N/AN/A15245158
2007-05-10$78.19$79.0017.6%5.0%13.8%0.0%0.0%3.2%1.1%19.1K124.3K-4.5K0.0077.06N/AN/A00246163
2007-05-11$79.25$79.0015.8%4.5%14.1%0.0%15.9%3.8%2.7%23.1K-27.1K-4.6K0.6779.42N/AN/A32246163
2007-05-14$78.80$79.0015.8%4.5%14.2%0.0%16.4%2.7%2.8%27.0K22.7K-4.5K0.5081.92N/AN/A21249162
2007-05-15$77.60$79.0017.6%5.1%14.2%0.0%18.0%3.2%0.9%16.2K225.1K-4.2K1.0082.73N/AN/A1010250161
2007-05-16$76.64$79.0018.0%5.2%14.6%0.0%0.0%4.3%1.0%8.1K388.1K-4.2K0.0280.92N/AN/A481259171
2007-05-17$75.31$79.0019.3%5.5%15.5%0.0%15.6%3.7%-1.2%20.2K485.7K-4.6K5.8383.30N/AN/A635307172
2007-05-18$74.55$79.0019.9%5.7%15.2%0.0%20.1%5.1%-1.8%7.4K706.0K-4.7K0.6583.53N/AN/A4831307199
2007-05-21$74.85$79.0021.4%6.1%14.5%0.0%18.7%4.8%-3.1%-4.3K764.4K-4.7K0.2380.32N/AN/A133268224
2007-05-22$75.96$79.0020.5%5.9%15.9%0.0%22.1%6.5%-3.0%-773676.9K-5.1K0.0783.51N/AN/A141281227
2007-05-23$75.38$79.0021.4%6.1%15.9%0.0%0.0%4.5%-1.3%3.9K670.1K-5.2K0.0083.43N/AN/A06295227
2007-05-24$74.12$79.0022.6%6.5%16.5%0.0%23.3%5.4%-2.2%-2.1K916.5K-4.6K0.0084.95N/AN/A013295233
2007-05-25$74.54$79.0021.3%6.1%16.9%0.0%0.0%5.8%-2.8%-6.5K869.7K-5.1K4.0082.97N/AN/A28295246
2007-05-29$77.20$79.0020.8%6.0%21.2%0.0%21.6%5.6%0.8%3.8K404.0K-6.0K0.0086.80N/AN/A150295246
2007-05-30$79.27$79.0017.6%5.0%23.2%0.0%16.6%4.4%2.4%20.7K-62.5K-6.3K0.0091.09N/AN/A80299246
2007-05-31$78.95$79.0017.4%5.0%23.0%0.0%0.0%4.1%3.2%23.7K-18.6K-6.2K0.0088.72N/AN/A120305246