VNQ Options History — July 2007

In July 2007, VNQ traded between $64.11 and $73.48. ATM implied volatility averaged 25.3%, placing in the 80.2% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.4% (HV 20d: 23.9%). Max pain ranged from $67.00 to $74.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.41.

Notable Days

  • 2007-07-31: Highest Volume — 91 contracts
  • 2007-07-31: Largest IV spike — 35.3% change
  • 2007-07-30: Highest IV Rank — 100.0%
  • 2007-07-31: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.43$64.11$73.48$72.59$65.09
Max Pain$70.43$67.00$74.00$74.00$67.00
ATM IV25.3%21.6%38.4%21.6%38.4%
Expected Move7.3%6.2%11.0%6.2%11.0%
HV 20d23.9%20.0%27.7%27.2%22.1%
HV 60d22.5%21.8%24.1%21.8%24.1%
IV Rank80.2%63.3%100.0%63.3%100.0%
IV Percentile89.4%75.4%100.0%75.4%100.0%
Term Structure0.2%-6.3%3.2%3.2%-6.3%
VWIV25.3%22.7%33.4%22.7%33.4%
Skew 25d4.2%1.0%7.1%6.0%7.1%
Skew 10d8.6%4.8%17.3%11.0%17.3%
Call IV 25d22.2%19.1%30.5%19.3%30.5%
Put IV 25d26.4%23.9%37.7%25.4%37.7%
Bid-Ask Spread %59.7934.0291.6971.1274.68
Gamma HHI0.140.120.190.130.14
Net GEX11.9K-4.1K49.3K6.0K2.6K
Net DEX468.5K127.9K871.0K293.7K691.3K
Net VEX-6.1K-7.3K-3.7K-7.1K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.0012.000.003.33
Total Volume15.714091191
Total OI547.429514574545514

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$72.59$74.0021.6%6.2%27.2%0.0%0.0%6.0%3.2%6.0K293.7K-7.1K0.0071.12N/AN/A10305240
2007-07-03$72.39$74.0022.9%6.6%26.9%0.0%22.7%4.8%1.3%4.6K350.8K-7.1K1.0077.17N/AN/A11306240
2007-07-05$73.48$74.0022.3%6.4%27.7%63.3%22.9%4.7%1.8%8.0K135.6K-7.3K0.0077.67N/AN/A180307239
2007-07-06$73.39$70.0022.4%6.8%25.4%64.0%0.0%4.8%0.1%12.8K127.9K-7.2K1.0834.02N/AN/A1314311239
2007-07-09$73.34$70.0022.7%6.9%25.0%65.7%0.0%4.9%-0.5%15.8K168.7K-7.3K0.0034.02N/AN/A00321253
2007-07-10$71.48$70.0025.1%7.1%26.0%80.4%0.0%4.5%0.8%12.8K507.6K-6.7K2.6741.29N/AN/A616321253
2007-07-11$71.34$70.0024.4%7.1%25.3%76.2%0.0%4.3%1.0%14.7K498.0K-6.5K0.0041.36N/AN/A00319244
2007-07-12$72.26$70.0024.1%6.9%24.4%74.1%0.0%4.5%0.8%17.3K404.1K-6.7K1.6738.32N/AN/A610319244
2007-07-13$72.95$70.0024.4%7.0%24.5%76.4%0.0%4.8%-1.6%23.6K245.1K-7.0K0.0036.82N/AN/A20323244
2007-07-16$72.34$70.0023.7%6.8%24.2%71.8%0.0%5.0%1.7%27.5K276.9K-6.8K0.1038.57N/AN/A101325244
2007-07-17$72.08$70.0024.9%7.1%23.7%79.2%0.0%4.9%-1.2%25.0K408.6K-6.6K0.0042.86N/AN/A00315244
2007-07-18$71.92$70.0023.8%6.8%23.7%72.8%0.0%4.0%0.6%31.4K505.5K-6.4K0.1846.46N/AN/A173315244
2007-07-19$72.19$70.0023.8%6.8%21.1%72.6%0.0%3.5%0.4%49.3K368.0K-6.8K0.0044.42N/AN/A00330244
2007-07-20$70.93$70.0024.7%7.1%21.9%77.9%0.0%3.1%0.2%14.3K583.4K-6.3K0.0056.14N/AN/A00330244
2007-07-23$69.70$70.0025.1%7.2%22.7%80.4%25.0%1.0%0.7%-2.1K587.1K-5.7K0.5071.61N/AN/A42297221
2007-07-24$68.29$70.0025.4%7.3%21.5%82.5%0.0%2.4%1.0%-3.0K657.0K-5.3K0.0083.00N/AN/A00301219
2007-07-25$67.55$70.0027.3%7.8%21.7%93.6%23.9%4.9%-0.3%-2.8K592.2K-5.4K1.5081.94N/AN/A1218301219
2007-07-26$66.31$70.0027.8%8.0%20.0%96.8%22.7%3.1%0.1%-556751.5K-4.6K9.7584.35N/AN/A439313211
2007-07-27$64.11$70.0027.6%7.9%22.7%95.5%0.0%2.5%0.7%-4.1K871.0K-3.7K0.0091.69N/AN/A02315204
2007-07-30$65.35$70.0028.4%8.1%24.3%100.0%26.4%4.3%0.3%-2.7K814.6K-3.9K12.0088.01N/AN/A336315203
2007-07-31$65.09$67.0038.4%11.0%22.1%100.0%33.4%7.1%-6.3%2.6K691.3K-4.1K3.3374.68N/AN/A2170318196