VNQ Options History — October 2007

In October 2007, VNQ traded between $69.09 and $76.69. ATM implied volatility averaged 23.9%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 3.3% (HV 20d: 27.2%). Max pain ranged from $71.00 to $76.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.46.

Notable Days

  • 2007-10-10: Highest Volume — 84 contracts
  • 2007-10-11: Largest IV spike — 20.0% change
  • 2007-10-19: Highest IV Rank — 54.6%
  • 2007-10-19: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.01$69.09$76.69$73.20$72.96
Max Pain$74.43$71.00$76.00$71.00$76.00
ATM IV23.9%19.4%28.5%25.3%19.4%
Expected Move7.0%5.6%8.2%7.3%5.6%
HV 20d27.2%22.6%29.5%29.2%27.9%
HV 60d31.9%30.7%32.7%31.7%31.0%
IV Rank39.4%24.8%54.6%44.1%24.9%
IV Percentile60.1%33.5%80.6%69.5%33.5%
Term Structure-0.8%-4.2%5.5%1.0%3.6%
VWIV25.1%24.8%25.3%25.3%24.8%
Skew 25d2.7%-10.7%5.8%2.7%3.2%
Skew 10d6.5%-1.7%13.9%-1.7%9.2%
Call IV 25d23.6%19.6%40.4%25.3%19.6%
Put IV 25d26.3%21.3%29.6%28.0%22.8%
Bid-Ask Spread %56.0430.67130.1671.2166.48
Gamma HHI0.140.100.190.100.19
Net GEX20.2K7.2K45.1K18.7K13.8K
Net DEX-301.9K-1.1M387.6K-469.5K-19.4K
Net VEX-5.8K-7.0K-4.9K-5.3K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.002.500.000.00
Total Volume14.08708481
Total OI570.739429629429614

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$73.20$71.0025.3%7.3%29.2%44.1%25.3%2.7%1.0%18.7K-469.5K-5.3K0.0071.21N/AN/A80258171
2007-10-02$74.53$71.0024.8%7.1%29.5%42.3%0.0%1.2%0.1%22.4K-615.3K-5.4K0.0084.39N/AN/A300265171
2007-10-03$74.17$71.0022.7%6.5%27.9%35.6%0.0%-4.1%5.5%27.7K-547.6K-5.6K0.00130.16N/AN/A00295171
2007-10-04$74.93$71.0024.6%7.0%27.9%41.7%0.0%1.2%0.1%31.2K-765.7K-5.7K1.1590.31N/AN/A1315295171
2007-10-05$76.69$72.0020.4%7.2%26.6%28.0%0.0%1.6%-1.3%35.0K-1.1M-5.9K0.3332.91N/AN/A3612308186
2007-10-08$75.24$72.0023.2%7.1%27.5%37.2%0.0%2.0%-0.8%44.3K-968.9K-6.3K0.5630.67N/AN/A95341198
2007-10-09$76.08$72.0019.4%7.1%27.0%24.8%0.0%1.8%-0.7%44.2K-1.1M-6.5K0.2532.66N/AN/A164350203
2007-10-10$75.55$72.0020.6%7.0%27.1%28.8%25.0%2.3%-1.4%45.1K-1.0M-6.2K2.5032.90N/AN/A2460339207
2007-10-11$75.25$76.0024.8%7.1%26.5%42.2%24.8%3.6%-2.1%30.2K-863.8K-6.9K0.0032.90N/AN/A130358267
2007-10-12$74.54$76.0025.4%7.3%26.9%44.4%0.0%4.4%-1.4%23.3K-712.8K-7.0K0.0031.07N/AN/A10357267
2007-10-15$73.14$76.0025.3%7.3%27.8%44.2%0.0%5.8%-1.7%17.4K-419.2K-6.7K1.0031.43N/AN/A22358267
2007-10-16$72.25$76.0026.0%7.4%25.5%46.3%0.0%5.0%-1.4%8.3K-160.2K-6.5K0.0034.65N/AN/A00358269
2007-10-17$72.14$76.0026.4%7.6%24.5%47.6%0.0%5.6%-2.4%7.2K-145.7K-6.4K0.0036.44N/AN/A00358269
2007-10-18$72.16$76.0026.5%7.6%22.6%47.8%0.0%5.0%-2.4%7.4K-154.2K-6.3K1.0036.98N/AN/A22358269
2007-10-19$69.09$76.0028.5%8.2%27.3%54.6%0.0%-10.7%-2.1%7.4K387.6K-5.4K1.0066.69N/AN/A11360269
2007-10-22$70.90$76.0024.1%6.9%28.8%40.1%0.0%3.6%0.2%10.9K341.4K-5.3K0.0063.75N/AN/A00353251
2007-10-23$71.65$76.0022.8%6.5%27.7%35.8%0.0%3.6%0.5%10.5K244.7K-5.5K0.0060.62N/AN/A00353251
2007-10-24$70.45$76.0025.7%7.4%27.8%45.5%0.0%3.8%-3.8%13.6K246.9K-5.3K0.0066.54N/AN/A140353251
2007-10-25$70.60$76.0023.4%6.7%27.7%37.7%0.0%5.5%-2.2%9.9K209.5K-5.2K0.0060.98N/AN/A10340251
2007-10-26$71.67$76.0022.7%6.5%28.0%35.5%0.0%4.5%-1.3%10.3K144.0K-5.3K0.0059.40N/AN/A100340251
2007-10-29$70.50$76.0024.2%6.9%27.1%40.3%0.0%5.0%-4.2%11.9K266.0K-4.9K0.0568.12N/AN/A402341251
2007-10-30$71.47$76.0023.4%6.7%26.7%38.0%0.0%5.5%-0.5%14.6K188.5K-5.2K0.0067.58N/AN/A00361253
2007-10-31$72.96$76.0019.4%5.6%27.9%24.9%0.0%3.2%3.6%13.8K-19.4K-5.4K0.0066.48N/AN/A10361253