VNQ Options History — September 2007 In September 2007, VNQ traded between $66.95 and $73.23. ATM implied volatility averaged 30.7%, placing in the 61.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.8% (HV 20d: 32.5%). Max pain ranged from $66.00 to $71.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.26.
Notable Days 2007-09-21 : Highest Volume — 44 contracts2007-09-24 : Largest IV spike — 23.6% change2007-09-10 : Highest IV Rank — 74.3%2007-09-07 : Largest Expected Move — 9.9%Monthly Statistics Metric Avg Min Max Open Close Price $70.26 $66.95 $73.23 $70.40 $71.46 Max Pain $68.37 $66.00 $71.00 $71.00 $71.00 ATM IV 30.7% 25.8% 34.6% 30.7% 26.8% Expected Move 8.8% 7.4% 9.9% 8.8% 7.7% HV 20d 32.5% 28.2% 37.3% 36.1% 28.6% HV 60d 31.0% 30.5% 31.6% 30.5% 31.3% IV Rank 61.6% 45.5% 74.3% 61.7% 48.8% IV Percentile 82.7% 73.9% 90.7% 85.7% 75.3% Term Structure -2.7% -6.0% 1.3% -0.4% 1.3% VWIV 30.1% 25.7% 34.5% 34.5% 25.7% Skew 25d 8.6% 4.4% 20.5% 7.6% 5.0% Skew 10d 10.7% 3.2% 22.2% 21.0% 3.2% Call IV 25d 26.9% 22.0% 30.5% 26.8% 25.0% Put IV 25d 35.5% 30.0% 44.6% 34.4% 30.0% Bid-Ask Spread % 63.73 26.15 160.15 78.96 51.15 Gamma HHI 0.13 0.09 0.28 0.11 0.10 Net GEX 25.1K 3.3K 58.8K 26.5K 16.2K Net DEX 57.5K -332.3K 431.2K 24.1K -317.6K Net VEX -4.8K -5.4K -4.1K -5.2K -5.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.26 0.00 1.50 0.00 0.00 Total Volume 9.474 0 44 1 2 Total OI 548.737 381 612 593 429
Daily Data (19 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 2007-09-04 $70.40 $71.00 30.7% 8.8% 36.1% 61.7% 34.5% 7.6% -0.4% 26.5K 24.1K -5.2K 0.00 78.96 N/A N/A 0 1 402 191 2007-09-05 $68.71 $71.00 31.9% 9.1% 37.3% 65.5% 0.0% 8.4% -1.2% 21.7K 182.2K -4.8K 0.00 80.70 N/A N/A 0 0 402 191 2007-09-06 $69.32 $71.00 31.8% 9.1% 34.8% 65.3% 0.0% 8.5% -0.9% 23.4K 172.6K -4.9K 0.00 81.28 N/A N/A 0 0 402 191 2007-09-07 $67.65 $66.00 33.8% 9.9% 35.6% 71.8% 0.0% 7.8% -2.8% 18.3K 410.6K -4.3K 0.00 88.36 N/A N/A 0 0 402 191 2007-09-10 $66.95 $66.00 34.6% 9.3% 34.1% 74.3% 0.0% 8.1% -5.3% 15.2K 431.2K -4.1K 0.00 31.68 N/A N/A 0 2 402 191 2007-09-11 $68.34 $66.00 31.7% 8.9% 34.8% 64.8% 0.0% 8.2% -4.2% 20.0K 371.5K -4.3K 0.00 27.89 N/A N/A 15 0 402 191 2007-09-12 $67.94 $66.00 31.4% 8.9% 32.7% 63.8% 0.0% 8.6% -6.0% 21.5K 345.1K -4.3K 0.00 28.56 N/A N/A 2 0 405 191 2007-09-13 $69.47 $66.00 33.0% 9.4% 32.6% 69.0% 31.1% 8.2% -4.9% 28.9K 200.2K -4.7K 1.14 26.15 N/A N/A 7 8 407 190 2007-09-14 $69.92 $66.00 31.8% 9.1% 29.9% 65.4% 0.0% 7.9% -3.7% 32.6K 157.4K -4.8K 0.10 26.49 N/A N/A 10 1 409 191 2007-09-17 $69.41 $66.00 32.4% 9.3% 29.2% 67.4% 0.0% 8.2% -5.8% 38.3K 180.4K -4.6K 0.00 28.00 N/A N/A 2 0 413 190 2007-09-18 $71.88 $66.00 32.7% 9.4% 31.0% 68.1% 0.0% 20.5% -5.9% 22.8K 211.9K -4.5K 0.00 144.28 N/A N/A 0 0 374 227 2007-09-19 $73.23 $66.00 30.7% 8.8% 31.5% 61.7% 27.7% 11.8% -1.9% 39.4K -332.3K -5.1K 1.50 152.44 N/A N/A 2 3 412 190 2007-09-20 $71.33 $66.00 30.4% 8.7% 33.0% 60.7% 31.1% 6.2% -3.5% 54.0K -109.6K -4.7K 0.00 33.19 N/A N/A 0 12 412 188 2007-09-21 $71.84 $71.00 25.8% 7.4% 32.3% 45.5% 30.2% 5.7% -2.1% 58.8K -96.1K -4.6K 0.33 38.21 N/A N/A 33 11 412 200 2007-09-24 $72.45 $71.00 31.8% 9.1% 32.4% 65.4% 0.0% 17.6% -2.3% 3.3K -70.5K -4.8K 0.00 160.15 N/A N/A 37 0 210 171 2007-09-25 $70.65 $71.00 28.6% 8.2% 32.7% 54.8% 0.0% 5.4% -2.4% 11.2K -194.6K -5.2K 0.00 37.18 N/A N/A 11 0 239 171 2007-09-26 $71.68 $71.00 26.5% 7.6% 30.5% 48.0% 0.0% 5.5% 0.4% 10.5K -188.8K -5.3K 0.00 44.55 N/A N/A 18 0 240 171 2007-09-27 $72.23 $71.00 26.6% 7.6% 28.2% 48.4% 0.0% 4.4% -0.4% 15.2K -285.4K -5.4K 0.00 51.63 N/A N/A 3 0 255 171 2007-09-28 $71.46 $71.00 26.8% 7.7% 28.6% 48.8% 25.7% 5.0% 1.3% 16.2K -317.6K -5.4K 0.00 51.15 N/A N/A 2 0 258 171
« Aug 2007 | All History | Oct 2007 » Home VNQ History September 2007