VNQ Options History — June 2007

In June 2007, VNQ traded between $69.80 and $79.38. ATM implied volatility averaged 24.2%. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.9% (HV 20d: 26.1%). Max pain ranged from $74.00 to $79.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.23.

Notable Days

  • 2007-06-19: Highest Volume — 71 contracts
  • 2007-06-05: Largest IV spike — 19.0% change
  • 2007-06-25: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.16$69.80$79.38$79.06$70.95
Max Pain$74.24$74.00$79.00$79.00$74.00
ATM IV24.2%18.8%28.3%18.8%24.4%
Expected Move6.8%5.4%7.7%5.4%7.0%
HV 20d26.1%22.8%29.5%23.0%25.5%
HV 60d19.6%18.0%21.3%18.2%21.2%
Term Structure-0.5%-3.5%1.1%1.1%0.2%
VWIV22.8%19.4%27.8%21.1%22.6%
Skew 25d4.2%1.4%5.9%5.0%4.4%
Skew 10d8.2%2.4%13.8%6.4%10.9%
Call IV 25d20.6%17.6%23.8%17.6%21.1%
Put IV 25d24.8%22.7%27.8%22.7%25.6%
Bid-Ask Spread %55.6026.2990.9690.9680.10
Gamma HHI0.140.110.190.110.14
Net GEX4.7K-9.6K31.5K26.6K1.6K
Net DEX520.6K-222.3K1.0M-82.9K537.8K
Net VEX-6.0K-7.1K-4.9K-6.5K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.004.004.001.83
Total Volume17.429071617
Total OI540.571392602563546

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$79.06$79.0018.8%5.4%23.0%0.0%21.1%5.0%1.1%26.6K-82.9K-6.5K0.0090.96N/AN/A06317246
2007-06-04$79.38$74.0019.0%6.3%22.8%0.0%0.0%1.4%-0.9%31.5K-222.3K-6.3K0.0029.63N/AN/A00317240
2007-06-05$78.12$74.0022.6%6.5%23.5%0.0%0.0%4.6%-1.7%18.6K88.6K-6.1K0.0026.29N/AN/A00317240
2007-06-06$77.59$74.0022.9%6.0%23.5%0.0%0.0%4.4%0.3%13.1K197.8K-5.9K0.0026.85N/AN/A02317240
2007-06-07$75.15$74.0027.1%6.9%25.6%0.0%0.0%3.4%-2.8%-488681.5K-5.3K0.0036.09N/AN/A00317242
2007-06-08$76.05$74.0025.4%6.8%25.8%0.0%0.0%4.3%-2.8%-2.4K530.2K-5.5K0.0035.64N/AN/A00317242
2007-06-11$74.91$74.0027.0%6.8%25.6%0.0%21.1%3.3%-0.8%-4.4K776.3K-4.9K0.0042.10N/AN/A025317242
2007-06-12$73.61$74.0028.3%6.7%26.1%0.0%0.0%1.5%-0.7%-4.4K1.0M-4.9K4.0044.73N/AN/A624317266
2007-06-13$75.24$74.0023.9%7.0%27.2%0.0%24.3%4.8%-0.5%-9.6K874.3K-5.8K2.0036.41N/AN/A12323279
2007-06-14$74.43$74.0026.6%7.6%27.1%0.0%0.0%5.1%-3.5%8.0K1.0M-5.5K0.0049.13N/AN/A020324277
2007-06-15$75.25$74.0024.2%6.9%26.7%0.0%24.0%4.9%0.2%22.8K813.7K-5.6K0.0039.42N/AN/A30324267
2007-06-18$74.09$74.0023.1%6.6%27.1%0.0%23.1%5.3%1.1%-2.3K464.5K-5.2K0.1654.61N/AN/A447198194
2007-06-19$74.23$74.0023.2%6.6%27.0%0.0%19.4%4.5%0.7%3.7K338.8K-6.0K0.2754.23N/AN/A5615237201
2007-06-20$72.00$74.0024.0%6.9%28.4%0.0%0.0%5.0%-1.7%6.2K390.0K-6.3K3.6067.77N/AN/A518278216
2007-06-21$72.40$74.0023.8%6.8%28.5%0.0%22.9%3.5%0.6%3.2K542.6K-6.5K2.1574.42N/AN/A1328278233
2007-06-22$72.13$74.0023.1%6.6%28.0%0.0%21.3%5.9%0.7%731463.8K-7.1K0.5066.24N/AN/A21288259
2007-06-25$70.07$74.0026.7%7.7%29.5%0.0%27.8%3.9%-0.4%-1.7K660.0K-6.2K1.4281.67N/AN/A1217290238
2007-06-26$69.80$74.0025.8%7.4%25.8%0.0%22.7%3.0%-0.6%-6.7K737.6K-6.3K0.0081.05N/AN/A10283253
2007-06-27$71.59$74.0023.7%6.8%25.6%0.0%22.6%5.3%0.4%-4.7K578.7K-7.0K0.0374.13N/AN/A301283253
2007-06-28$71.22$74.0024.7%7.1%25.6%0.0%0.0%5.0%-0.0%149527.4K-6.7K0.0076.06N/AN/A100295241
2007-06-29$70.95$74.0024.4%7.0%25.5%0.0%0.0%4.4%0.2%1.6K537.8K-6.8K1.8380.10N/AN/A611305241