VNQ Options History — November 2007

In November 2007, VNQ traded between $61.35 and $69.55. ATM implied volatility averaged 25.9%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 7.5% (HV 20d: 33.4%). Max pain ranged from $69.00 to $76.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 3.12.

Notable Days

  • 2007-11-07: Highest Volume — 252 contracts
  • 2007-11-15: Largest IV spike — 71.0% change
  • 2007-11-27: Highest IV Rank — 64.3%
  • 2007-11-27: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.93$61.35$69.55$69.55$66.05
Max Pain$72.10$69.00$76.00$76.00$69.00
ATM IV25.9%16.1%31.5%23.9%28.2%
Expected Move7.7%6.7%9.0%6.9%8.1%
HV 20d33.4%30.4%39.3%32.1%36.7%
HV 60d30.9%29.4%32.3%31.6%32.3%
IV Rank45.9%14.1%64.3%39.5%53.4%
IV Percentile67.1%16.0%85.0%58.6%79.6%
Term Structure1.7%-1.8%8.4%-1.7%-0.4%
VWIV28.4%19.6%33.9%31.3%28.6%
Skew 25d9.2%-4.7%13.9%4.8%8.9%
Skew 10d15.7%3.8%20.2%9.8%19.0%
Call IV 25d22.3%19.9%25.9%20.6%24.8%
Put IV 25d31.5%20.6%36.5%25.3%33.7%
Bid-Ask Spread %74.0555.8291.1377.9976.35
Gamma HHI0.370.120.730.150.52
Net GEX-33.3K-61.5K16.0K16.0K-55.1K
Net DEX851.6K454.0K1.4M461.5K565.5K
Net VEX-4.3K-5.6K-3.2K-4.5K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.120.0011.604.000.62
Total Volume23.95202521021
Total OI736.571615857615759

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$69.55$76.0023.9%6.9%32.1%39.5%0.0%4.8%-1.7%16.0K461.5K-4.5K4.0077.99N/AN/A28362253
2007-11-02$68.56$76.0025.4%7.3%30.7%44.4%0.0%3.9%-1.8%8.4K744.1K-3.8K2.5088.59N/AN/A25362261
2007-11-05$67.57$74.0024.9%7.6%30.4%42.6%31.3%10.2%0.9%4.5K931.7K-3.4K0.0062.00N/AN/A054362266
2007-11-06$68.42$74.0025.3%7.3%30.6%43.9%0.0%12.0%3.0%-812960.6K-4.3K0.0055.82N/AN/A03362320
2007-11-07$66.29$74.0023.7%7.5%31.9%38.9%29.7%8.9%0.9%-9.7K1.2M-3.3K11.6069.67N/AN/A20232362315
2007-11-08$66.49$74.0023.6%7.3%32.1%38.4%0.0%6.5%0.7%-45.1K1.4M-4.8K0.0069.12N/AN/A010382465
2007-11-09$65.95$74.0017.7%7.3%32.1%19.2%31.0%11.1%2.3%-45.6K1.3M-4.8K0.0070.90N/AN/A01382475
2007-11-12$66.71$74.0023.3%7.4%32.3%37.6%19.6%9.7%0.5%-47.3K1.2M-4.8K2.7070.04N/AN/A1027382454
2007-11-13$68.92$73.0027.7%7.2%34.7%51.8%0.0%11.8%3.7%-12.0K482.3K-5.2K0.0058.55N/AN/A00382408
2007-11-14$67.52$73.0016.1%7.0%35.3%14.1%0.0%13.8%3.3%-13.0K454.0K-5.6K0.0063.09N/AN/A00382402
2007-11-15$67.40$73.0027.6%7.9%35.3%51.5%25.7%10.3%0.6%-33.7K755.3K-4.7K0.0065.98N/AN/A50382402
2007-11-16$66.14$73.0027.8%8.0%32.6%52.1%0.0%13.0%4.1%-38.0K835.3K-4.5K0.0068.84N/AN/A00386402
2007-11-19$64.70$73.0027.8%8.0%31.5%52.4%26.5%9.3%2.4%-50.8K940.9K-4.1K0.2176.72N/AN/A245371384
2007-11-20$63.45$70.0025.8%7.4%31.4%45.7%25.8%13.9%8.4%-53.0K662.1K-3.9K1.5082.13N/AN/A23376338
2007-11-21$63.01$69.0029.9%8.6%31.2%59.2%0.0%10.4%1.3%-47.5K725.8K-3.9K0.0081.58N/AN/A00378323
2007-11-23$64.25$69.0030.3%8.7%32.3%60.5%0.0%9.1%1.0%-50.1K740.2K-3.9K0.0080.30N/AN/A00378322
2007-11-26$61.35$69.0023.5%6.7%34.6%38.3%0.0%-4.7%2.5%-61.5K1.1M-3.2K8.0091.13N/AN/A324378322
2007-11-27$62.60$69.0031.5%9.0%35.8%64.3%33.9%8.3%1.6%-59.2K1.0M-3.7K0.0788.41N/AN/A141381346
2007-11-28$65.35$69.0029.9%8.6%39.3%59.0%32.0%9.2%-0.2%-54.2K687.1K-4.1K0.0079.94N/AN/A027395347
2007-11-29$64.30$69.0029.1%8.3%38.3%56.5%0.0%12.3%1.7%-52.3K679.4K-4.4K0.0077.94N/AN/A00395364
2007-11-30$66.05$69.0028.2%8.1%36.7%53.4%28.6%8.9%-0.4%-55.1K565.5K-4.2K0.6276.35N/AN/A138395364