VNQ Options History — December 2007

In December 2007, VNQ traded between $60.86 and $69.02. ATM implied volatility averaged 33.4%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 7.7% (HV 20d: 41.2%). Max pain ranged from $64.00 to $66.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 12.43.

Notable Days

  • 2007-12-14: Highest Volume — 180 contracts
  • 2007-12-07: Largest IV spike — 145.3% change
  • 2007-12-07: Highest IV Rank — 100.0%
  • 2007-12-24: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.86$60.86$69.02$65.34$61.46
Max Pain$64.60$64.00$66.00$66.00$64.00
ATM IV33.4%18.3%55.0%29.6%36.9%
Expected Move8.9%5.2%13.8%8.5%10.6%
HV 20d41.2%36.6%44.3%36.6%38.3%
HV 60d34.2%32.0%35.5%32.0%35.2%
IV Rank53.6%21.2%100.0%58.0%57.9%
IV Percentile81.5%24.4%100.0%81.8%94.4%
Term Structure-3.1%-39.2%4.8%-1.7%-4.4%
VWIV31.0%16.6%40.7%23.2%33.0%
Skew 25d6.7%-11.1%27.3%9.2%3.1%
Skew 10d16.3%0.1%27.6%19.6%14.0%
Call IV 25d28.5%14.8%50.5%25.0%30.8%
Put IV 25d35.2%23.0%43.9%34.2%33.9%
Bid-Ask Spread %76.9331.63165.4480.6166.43
Gamma HHI0.350.210.570.520.21
Net GEX-71.7K-137.3K-22.1K-55.9K-78.7K
Net DEX1.4M-190.2K2.8M593.2K1.5M
Net VEX-5.4K-6.6K-3.5K-3.9K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.430.00100.000.001.48
Total Volume42.40180582
Total OI943.56841,296764776

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$65.34$66.0029.6%8.5%36.6%58.0%0.0%9.2%-1.7%-55.9K593.2K-3.9K0.0080.61N/AN/A50408356
2007-12-04$63.58$66.0019.3%5.5%37.4%24.5%23.2%13.6%4.3%-69.2K795.9K-3.8K0.2582.61N/AN/A287413356
2007-12-05$65.72$65.0021.5%6.2%39.2%31.6%16.6%10.5%2.4%-50.4K355.2K-3.9K0.0088.47N/AN/A05430349
2007-12-06$67.81$65.0018.3%5.2%39.3%21.2%33.0%9.3%4.8%-31.5K1.9K-3.7K0.0081.04N/AN/A02430346
2007-12-07$67.57$65.0044.9%8.0%39.3%100.0%0.0%27.3%-3.2%-22.1K302.2K-4.3K1.16160.55N/AN/A2529430346
2007-12-10$69.02$65.0025.9%7.3%39.8%42.5%23.9%6.1%0.8%-24.9K-190.2K-3.5K0.6432.08N/AN/A9460428373
2007-12-11$65.38$65.0055.0%8.5%44.3%100.0%31.4%7.5%-0.6%-24.7K1.1M-5.0K100.00165.44N/AN/A1100518457
2007-12-12$65.16$65.0031.6%8.6%42.5%45.9%0.0%8.7%-0.1%-76.5K1.1M-5.2K15.0031.63N/AN/A230519523
2007-12-13$64.42$65.0028.4%8.1%42.1%38.4%0.0%-11.1%3.7%-130.8K1.6M-5.0K1.8898.48N/AN/A1630521539
2007-12-14$62.80$65.0030.9%8.9%42.9%44.1%31.8%8.2%-2.1%-100.0K1.7M-5.2K44.0046.97N/AN/A4176537553
2007-12-17$60.86$64.0034.4%9.9%43.8%52.3%0.0%5.7%-3.4%-105.6K2.8M-6.2K0.0061.49N/AN/A01541729
2007-12-18$61.80$64.0033.6%9.6%43.7%50.3%0.0%4.7%-3.2%-111.5K2.8M-6.2K0.0059.50N/AN/A00541730
2007-12-19$62.31$64.0033.5%9.6%43.4%50.1%0.0%6.4%-1.8%-137.3K2.7M-6.4K0.0052.21N/AN/A00541730
2007-12-20$61.16$64.0035.3%10.1%43.8%54.4%30.4%7.5%-3.3%-99.6K2.8M-6.0K6.2553.54N/AN/A425541730
2007-12-21$62.14$64.0034.4%9.9%43.6%52.3%35.3%7.4%-3.6%-68.6K2.8M-6.3K1.4047.97N/AN/A57541755
2007-12-24$64.38$64.0048.2%13.8%42.1%84.2%40.7%-6.6%-39.2%-50.1K879.1K-6.6K0.67156.53N/AN/A1510189495
2007-12-26$63.31$64.0033.4%9.6%42.1%49.8%32.6%8.3%-1.5%-59.9K980.5K-6.5K0.4853.05N/AN/A2713204499
2007-12-27$62.05$64.0036.2%10.4%39.6%56.3%34.5%0.2%-4.4%-62.0K1.2M-6.6K0.0056.72N/AN/A030231502
2007-12-28$60.96$64.0037.3%10.7%39.6%59.0%36.9%7.4%-5.4%-73.8K1.5M-6.4K0.8863.27N/AN/A87231532
2007-12-31$61.46$64.0036.9%10.6%38.3%57.9%33.0%3.1%-4.4%-78.7K1.5M-6.4K1.4866.43N/AN/A3349239537