VNQ Options History — January 2008

In January 2008, VNQ traded between $55.08 and $61.98. ATM implied volatility averaged 40.0%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 1.0% (HV 20d: 38.9%). Max pain ranged from $57.00 to $64.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2008-01-03: Highest Volume — 151 contracts
  • 2008-01-08: Largest IV spike — 30.5% change
  • 2008-01-22: Highest IV Rank — 77.4%
  • 2008-01-22: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.32$55.08$61.98$61.27$60.98
Max Pain$58.33$57.00$64.00$64.00$58.00
ATM IV40.0%31.4%45.3%36.7%38.5%
Expected Move11.3%10.1%13.0%10.5%11.0%
HV 20d38.9%31.9%47.8%38.2%47.8%
HV 60d37.7%34.8%41.3%34.8%40.5%
IV Rank65.1%45.4%77.4%57.6%61.6%
IV Percentile95.2%79.8%99.2%94.0%91.3%
Term Structure-5.1%-11.2%3.1%-2.0%-5.2%
VWIV39.0%30.2%43.8%30.2%40.9%
Skew 25d6.7%0.4%12.0%4.7%7.8%
Skew 10d12.0%3.8%21.6%14.6%9.4%
Call IV 25d35.0%29.6%40.3%31.8%34.5%
Put IV 25d41.8%32.2%47.6%36.4%42.3%
Bid-Ask Spread %43.4227.92111.6267.8241.89
Gamma HHI0.230.200.290.200.20
Net GEX-41.8K-94.8K1.5K-94.8K1.5K
Net DEX1.6M149.8K2.6M1.6M339.1K
Net VEX-5.5K-7.4K-4.0K-6.7K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.003.380.031.54
Total Volume38.61901510104
Total OI887.9526201,024827852

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$61.27$64.0036.7%10.5%38.2%57.6%0.0%4.7%-2.0%-94.8K1.6M-6.7K0.0067.82N/AN/A00241586
2008-01-03$59.36$64.0037.2%10.7%38.6%58.8%30.2%6.9%-2.7%-92.0K1.6M-6.3K0.0370.46N/AN/A1465241586
2008-01-04$56.95$60.0042.1%10.1%38.3%70.2%35.2%1.8%-3.2%-55.1K2.3M-5.2K0.0036.47N/AN/A01368591
2008-01-07$57.48$60.0031.4%10.7%36.1%45.4%36.0%2.6%-5.8%-56.0K2.3M-5.1K0.00111.62N/AN/A70368592
2008-01-08$55.49$60.0041.0%10.1%37.3%67.5%33.5%0.4%-3.5%-51.9K2.3M-4.4K0.0035.49N/AN/A08373580
2008-01-09$56.47$60.0044.2%11.2%36.9%75.0%38.9%5.7%-0.8%-51.3K2.4M-4.6K0.4232.08N/AN/A125373587
2008-01-10$57.34$57.0037.8%10.8%34.0%60.0%39.6%8.2%-2.1%-55.2K2.2M-5.0K3.3831.73N/AN/A827377573
2008-01-11$57.35$57.0039.0%11.2%34.1%62.9%38.0%8.4%-2.7%-59.6K2.3M-5.1K0.5337.93N/AN/A1910385594
2008-01-14$57.11$57.0036.1%10.3%34.1%56.1%0.0%7.9%3.1%-56.7K2.3M-4.7K0.3636.12N/AN/A145404594
2008-01-15$55.95$57.0040.9%11.7%33.7%67.4%40.3%7.5%-4.7%-45.8K2.5M-4.2K0.0044.72N/AN/A04404599
2008-01-16$56.59$57.0039.9%11.4%32.8%64.9%43.0%7.7%-4.2%-48.3K2.5M-4.5K0.0033.92N/AN/A20404603
2008-01-17$55.82$57.0040.6%11.6%32.2%66.5%43.8%7.6%-4.0%-39.5K2.5M-4.1K0.0045.12N/AN/A170406603
2008-01-18$55.08$57.0042.7%12.2%31.9%71.3%42.6%6.0%-4.4%-35.2K2.6M-4.0K1.0046.32N/AN/A1515421603
2008-01-22$56.40$57.0045.3%13.0%33.3%77.4%40.9%7.3%-10.4%-42.1K1.4M-4.7K0.2327.95N/AN/A4410187433
2008-01-23$61.75$57.0040.3%11.5%47.0%65.8%42.6%10.3%-9.9%-34.7K597.1K-6.0K0.0227.92N/AN/A651231433
2008-01-24$60.30$57.0042.1%12.1%45.7%70.2%42.9%7.0%-7.9%-30.1K668.0K-6.4K0.0031.58N/AN/A1140291432
2008-01-25$59.95$57.0042.1%12.1%45.4%70.0%38.3%7.6%-5.7%-8.0K618.9K-7.1K0.0644.22N/AN/A161396438
2008-01-28$61.98$57.0040.8%11.7%46.6%66.9%37.4%12.0%-9.1%-3.2K149.8K-7.4K1.2534.63N/AN/A45401433
2008-01-29$61.42$57.0039.9%11.4%46.3%64.9%38.7%6.2%-11.2%-4.8K229.8K-7.2K0.2735.99N/AN/A7921403434
2008-01-30$59.78$58.0040.6%11.7%47.2%66.7%40.9%7.8%-11.1%-14.7K742.1K-6.2K0.8037.78N/AN/A1512382445
2008-01-31$60.98$58.0038.5%11.0%47.8%61.6%0.0%7.8%-5.2%1.5K339.1K-6.9K1.5441.89N/AN/A4163396456