VNQ Options History — August 2007

In August 2007, VNQ traded between $63.55 and $70.00. ATM implied volatility averaged 35.9%, placing in the 84.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 1.1% (HV 20d: 34.7%). Max pain ranged from $67.00 to $78.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.49.

Notable Days

  • 2007-08-15: Highest Volume — 42 contracts
  • 2007-08-20: Largest IV spike — 22.1% change
  • 2007-08-03: Highest IV Rank — 100.0%
  • 2007-08-20: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.41$63.55$70.00$65.95$69.48
Max Pain$74.83$67.00$78.00$67.00$71.00
ATM IV35.9%31.7%42.4%35.1%31.7%
Expected Move10.1%9.1%12.2%10.1%9.1%
HV 20d34.7%23.0%40.6%23.0%37.7%
HV 60d28.6%24.3%30.9%24.3%30.5%
IV Rank84.3%65.0%100.0%87.7%65.0%
IV Percentile95.3%86.2%100.0%99.3%86.2%
Term Structure-2.9%-8.2%-0.4%-1.9%-0.7%
VWIV32.0%19.2%40.1%34.3%19.2%
Skew 25d7.2%0.8%9.8%6.4%8.1%
Skew 10d16.7%5.6%23.2%17.2%19.8%
Call IV 25d31.0%27.2%38.3%30.8%27.2%
Put IV 25d38.2%33.9%45.8%37.2%35.3%
Bid-Ask Spread %73.9261.6686.3475.3076.11
Gamma HHI0.100.080.150.120.10
Net GEX19.6K6.4K44.1K8.7K23.4K
Net DEX305.9K-31.1K740.1K740.1K123.6K
Net VEX-4.7K-5.6K-3.4K-3.4K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.006.001.003.33
Total Volume12.043042213
Total OI552.957489601489590

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$65.95$67.0035.1%10.1%23.0%87.7%34.3%6.4%-1.9%8.7K740.1K-3.4K1.0075.30N/AN/A11300189
2007-08-02$67.04$67.0033.5%9.6%23.2%81.6%0.0%7.4%-1.5%14.9K502.0K-4.4K0.0072.65N/AN/A05340177
2007-08-03$64.45$67.0038.6%11.1%26.2%100.0%36.6%6.4%-4.2%8.6K684.6K-3.6K0.0082.74N/AN/A01340182
2007-08-06$66.70$78.0033.1%9.3%29.9%79.2%0.0%6.0%-1.9%12.9K570.9K-4.2K0.0075.63N/AN/A300340183
2007-08-07$67.07$78.0037.2%10.1%29.1%94.6%33.4%7.1%-6.7%25.2K285.1K-4.7K6.0070.46N/AN/A16370179
2007-08-08$69.72$78.0032.9%9.4%32.7%78.7%32.3%7.2%-3.6%31.7K-31.1K-5.3K0.6763.52N/AN/A32371173
2007-08-09$68.95$78.0036.3%9.9%32.4%91.4%0.0%8.8%-2.9%30.0K38.8K-5.1K0.0064.98N/AN/A70370171
2007-08-10$66.87$78.0039.5%10.4%33.6%100.0%38.6%7.1%-3.8%28.4K208.9K-4.7K0.2070.91N/AN/A102375171
2007-08-13$66.72$78.0036.6%10.2%33.6%89.6%0.0%6.7%-5.2%31.7K243.5K-4.6K0.0086.34N/AN/A00385173
2007-08-14$64.64$78.0038.4%10.6%35.0%96.0%0.0%6.2%-8.2%28.5K420.6K-4.1K0.0579.64N/AN/A211385173
2007-08-15$63.55$78.0039.0%10.1%35.2%98.4%0.0%0.8%-5.6%29.9K465.5K-3.8K1.8081.94N/AN/A1527388174
2007-08-16$66.10$78.0037.0%10.6%38.6%91.2%32.6%6.0%-3.1%44.1K314.3K-4.8K4.6776.91N/AN/A314402199
2007-08-17$67.60$78.0034.7%10.0%39.4%83.0%32.3%7.0%-3.3%23.1K85.9K-5.1K0.2573.77N/AN/A41404188
2007-08-20$68.84$77.0042.4%12.2%39.6%100.0%40.1%7.5%-2.3%12.9K214.2K-5.5K0.5661.66N/AN/A95344186
2007-08-21$69.16$76.0038.3%11.0%39.0%86.6%37.4%9.8%-2.4%13.4K128.7K-5.5K4.0066.31N/AN/A14350184
2007-08-22$70.00$76.0037.0%10.6%38.9%82.1%37.2%9.0%-2.3%14.4K147.4K-5.6K2.2066.52N/AN/A511351188
2007-08-23$68.80$76.0035.9%10.3%38.8%78.7%32.2%8.9%-1.8%8.0K235.0K-5.4K0.5067.42N/AN/A63351199
2007-08-24$69.17$76.0031.9%9.1%36.5%65.5%28.4%8.1%-1.3%6.6K277.5K-5.1K0.0074.65N/AN/A100357196
2007-08-27$67.67$75.0033.4%9.6%37.1%70.4%29.5%6.2%-1.9%6.4K345.9K-4.8K0.0076.04N/AN/A300365196
2007-08-28$65.60$71.0036.3%10.4%38.9%80.0%22.9%8.7%-1.0%10.6K432.7K-4.5K0.0080.90N/AN/A014395196
2007-08-29$68.00$71.0033.4%9.6%40.6%70.6%32.4%8.9%-0.9%17.9K322.6K-4.8K0.0078.17N/AN/A30395188
2007-08-30$68.35$71.0032.9%9.4%40.3%69.0%24.4%8.4%-0.4%19.6K279.4K-4.8K3.0077.53N/AN/A26397188
2007-08-31$69.48$71.0031.7%9.1%37.7%65.0%19.2%8.1%-0.7%23.4K123.6K-5.2K3.3376.11N/AN/A310399191