VNQ Options History — February 2008

In February 2008, VNQ traded between $57.92 and $63.53. ATM implied volatility averaged 39.5%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 4.9% (HV 20d: 44.3%). Max pain ranged from $58.00 to $64.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2008-02-06: Highest Volume — 110 contracts
  • 2008-02-11: Largest IV spike — 109.1% change
  • 2008-02-11: Highest IV Rank — 100.0%
  • 2008-02-11: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.11$57.92$63.53$63.53$59.04
Max Pain$62.15$58.00$64.00$58.00$61.00
ATM IV39.5%30.0%92.5%34.4%37.0%
Expected Move10.7%8.6%13.2%9.9%10.6%
HV 20d44.3%35.9%49.8%48.4%35.9%
HV 60d41.5%40.3%42.2%41.4%40.3%
IV Rank40.6%18.9%100.0%52.3%27.9%
IV Percentile84.7%64.7%100.0%81.7%84.5%
Term Structure1.0%-11.5%11.7%-0.8%2.3%
VWIV36.0%28.8%43.4%36.6%37.9%
Skew 25d7.9%-2.5%11.2%3.6%5.4%
Skew 10d16.0%-10.3%26.1%6.7%20.5%
Call IV 25d34.2%30.3%48.3%34.4%33.0%
Put IV 25d42.1%38.0%48.8%38.0%38.4%
Bid-Ask Spread %66.1844.08132.6261.2275.47
Gamma HHI0.150.110.180.180.16
Net GEX-7.6K-34.1K16.0K8.0K-25.4K
Net DEX766.9K-283.7K1.4M-283.7K1.2M
Net VEX-8.9K-10.3K-7.5K-7.5K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.008.170.520.75
Total Volume39.30110647
Total OI1,185.79351,3099351,254

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$63.53$58.0034.4%9.9%48.4%52.3%0.0%3.6%-0.8%8.0K-283.7K-7.5K0.5261.22N/AN/A4222418517
2008-02-04$62.87$64.0034.0%9.6%45.8%51.2%36.6%8.3%-2.5%16.0K-253.7K-7.9K0.0444.08N/AN/A251460539
2008-02-05$60.65$64.0036.3%10.1%48.0%56.7%36.2%9.4%-2.8%10.6K322.2K-7.7K1.4051.14N/AN/A4056485540
2008-02-06$59.66$63.0037.7%10.5%46.4%59.9%0.0%10.8%-1.6%3.4K653.2K-8.4K8.1757.79N/AN/A1298519596
2008-02-07$61.07$63.0042.4%11.9%46.7%70.1%42.9%10.6%-1.3%7.0K342.5K-10.3K0.3346.54N/AN/A6421531688
2008-02-08$59.12$63.0044.2%12.5%48.2%73.8%0.0%11.2%-3.0%6924.3K-10.2K0.0053.99N/AN/A30583697
2008-02-11$57.92$63.0092.5%13.2%48.8%100.0%43.4%-2.5%-11.5%-14.4K1.4M-9.2K0.40132.62N/AN/A5020584697
2008-02-12$59.57$62.0040.5%11.6%49.8%33.0%36.3%10.4%-1.1%4.4K828.8K-10.0K0.0756.87N/AN/A151596698
2008-02-13$60.04$62.0034.3%11.4%49.1%25.1%0.0%8.9%-1.3%-2.5K848.1K-9.7K0.0063.15N/AN/A00587698
2008-02-14$58.92$62.0040.4%11.6%49.6%32.8%33.0%10.5%-1.1%-9831.2M-9.2K0.3061.82N/AN/A237587698
2008-02-15$59.40$62.0037.0%10.6%49.3%28.5%28.8%8.7%1.6%12.9K1.1M-9.3K0.4063.97N/AN/A52610699
2008-02-19$59.25$62.0035.6%10.2%49.0%26.2%37.5%7.2%5.7%-34.1K1.4M-8.6K0.8461.92N/AN/A1916481647
2008-02-20$59.62$62.0036.6%10.5%48.4%27.4%33.7%7.8%2.6%-28.7K1.1M-8.8K0.1360.70N/AN/A395500648
2008-02-21$58.00$62.0035.8%10.3%36.7%26.4%32.6%10.0%5.7%-25.4K1.3M-8.5K1.7569.07N/AN/A47537648
2008-02-22$59.64$62.0030.0%8.6%37.4%18.9%31.5%10.8%11.7%-29.9K1.3M-8.4K3.0092.81N/AN/A13540641
2008-02-25$61.46$62.0036.2%10.4%38.9%26.9%36.3%7.2%3.4%-9.9K346.8K-9.2K0.0666.12N/AN/A342540643
2008-02-26$61.45$62.0034.4%9.9%37.0%24.6%34.1%6.9%5.3%-7.8K367.5K-9.1K0.0266.81N/AN/A511554643
2008-02-27$61.16$62.0033.5%9.6%36.9%23.4%0.0%7.2%6.9%-16.8K495.3K-8.9K0.0067.47N/AN/A670537643
2008-02-28$59.90$62.0036.7%10.5%36.4%27.6%38.7%5.3%1.4%-18.4K781.5K-9.0K0.7770.05N/AN/A1310588643
2008-02-29$59.04$61.0037.0%10.6%35.9%27.9%37.9%5.4%2.3%-25.4K1.2M-8.4K0.7575.47N/AN/A43601653