VNQ Options History — March 2008

In March 2008, VNQ traded between $56.98 and $64.98. ATM implied volatility averaged 35.5%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 2.2% (HV 20d: 37.7%). Max pain ranged from $58.00 to $62.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2008-03-24: Highest Volume — 124 contracts
  • 2008-03-11: Largest IV drop — 16.3% change
  • 2008-03-06: Highest IV Rank — 31.3%
  • 2008-03-10: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.82$56.98$64.98$59.45$62.39
Max Pain$59.95$58.00$62.00$61.00$62.00
ATM IV35.5%31.5%39.6%35.5%31.5%
Expected Move10.4%9.0%11.4%10.2%9.0%
HV 20d37.7%30.5%41.4%32.5%39.8%
HV 60d40.4%38.5%41.5%40.0%40.9%
IV Rank26.0%20.8%31.3%26.0%20.8%
IV Percentile76.6%57.9%90.9%78.6%57.9%
Term Structure1.0%-1.4%5.5%4.4%4.0%
VWIV33.6%29.1%38.0%36.7%29.7%
Skew 25d5.4%1.2%11.5%6.6%4.6%
Skew 10d8.0%-9.6%21.4%21.4%11.8%
Call IV 25d33.5%19.9%38.3%32.7%19.9%
Put IV 25d38.9%24.5%49.8%39.3%24.5%
Bid-Ask Spread %52.9022.78170.6676.32113.42
Gamma HHI0.150.070.280.170.08
Net GEX-10.9K-46.8K59.8K-27.2K36.9K
Net DEX528.7K-1.3M2.1M1.1M-576.6K
Net VEX-7.0K-8.2K-5.8K-8.2K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.004.000.840.25
Total Volume29.4501244610
Total OI1,111.75341,3671,261763

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$59.45$61.0035.5%10.2%32.5%26.0%36.7%6.6%4.4%-27.2K1.1M-8.2K0.8476.32N/AN/A2521605656
2008-03-04$58.89$62.0034.0%9.7%32.4%24.1%29.1%6.7%5.5%-34.0K1.3M-7.9K0.0078.24N/AN/A350589657
2008-03-05$59.70$62.0035.4%10.2%30.5%25.9%0.0%6.0%3.5%-36.9K1.3M-7.8K0.0054.14N/AN/A130582657
2008-03-06$56.98$62.0039.6%11.4%34.2%31.3%34.5%10.4%-0.5%-43.3K2.1M-6.3K3.2084.10N/AN/A516595657
2008-03-07$57.91$58.0038.6%11.3%33.6%30.0%0.0%2.8%-0.7%-44.0K1.8M-6.7K0.1523.47N/AN/A203598647
2008-03-10$57.09$58.0038.1%11.4%32.0%29.4%38.0%1.8%-0.6%-46.8K2.1M-5.8K4.0024.45N/AN/A520608649
2008-03-11$60.80$58.0031.9%10.7%38.6%21.3%35.4%4.9%-0.5%-37.0K785.4K-7.6K0.2324.62N/AN/A409613669
2008-03-12$59.52$58.0033.2%11.0%38.2%23.0%0.0%4.3%-1.4%-41.1K1.3M-7.1K0.0723.16N/AN/A151653666
2008-03-13$60.22$58.0036.4%10.4%38.3%27.1%37.3%4.9%1.3%-41.4K968.9K-7.4K1.0023.75N/AN/A55668666
2008-03-14$59.00$60.0038.1%10.9%38.5%29.4%0.0%5.3%-0.7%-36.9K1.3M-7.0K0.0022.78N/AN/A230673671
2008-03-17$59.36$60.0038.4%11.0%38.4%29.8%0.0%4.6%-0.2%-33.9K1.4M-6.6K0.0026.59N/AN/A00696671
2008-03-18$61.97$60.0036.2%10.4%41.3%26.9%0.0%3.4%-0.2%-36.4K-189.0K-6.9K0.0034.02N/AN/A10696666
2008-03-19$61.50$60.0036.7%10.5%41.4%27.5%0.0%11.5%0.2%9.4K-152.5K-7.5K0.00170.66N/AN/A20696666
2008-03-20$63.55$60.0035.1%10.1%41.3%25.5%0.0%3.7%-0.1%59.8K-1.3M-6.7K0.1331.40N/AN/A304696666
2008-03-24$64.98$60.0036.3%10.4%41.0%27.0%0.0%1.2%1.1%14.0K-485.3K-5.8K0.05102.64N/AN/A1186280254
2008-03-25$64.65$60.0032.8%9.4%39.9%22.5%30.8%4.2%1.2%30.0K-697.7K-6.8K1.4643.58N/AN/A1319381258
2008-03-26$63.41$60.0033.5%9.6%40.7%23.4%32.7%5.8%1.8%29.6K-507.4K-6.8K1.5536.61N/AN/A1117394267
2008-03-27$62.89$60.0033.5%9.6%40.8%23.4%30.8%6.3%1.4%28.0K-435.7K-6.8K0.0333.77N/AN/A612405271
2008-03-28$62.15$60.0035.1%10.1%40.2%25.5%34.5%9.0%1.4%34.0K-448.9K-7.2K1.8330.34N/AN/A1222456273
2008-03-31$62.39$62.0031.5%9.0%39.8%20.8%29.7%4.6%4.0%36.9K-576.6K-7.3K0.25113.42N/AN/A82468295