VNQ Options History — April 2008

In April 2008, VNQ traded between $63.18 and $68.14. ATM implied volatility averaged 30.3%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 4.1% (HV 20d: 34.4%). Max pain ranged from $61.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.59.

Notable Days

  • 2008-04-25: Highest Volume — 147 contracts
  • 2008-04-24: Largest IV drop — 16.1% change
  • 2008-04-16: Highest IV Rank — 24.8%
  • 2008-04-16: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.86$63.18$68.14$65.94$66.37
Max Pain$62.59$61.00$65.00$62.00$65.00
ATM IV30.3%25.4%34.6%28.3%29.3%
Expected Move8.9%7.3%9.9%8.1%8.4%
HV 20d34.4%23.8%44.1%43.9%24.3%
HV 60d38.6%34.3%41.8%41.8%34.3%
IV Rank19.2%12.9%24.8%16.7%17.6%
IV Percentile54.4%32.9%72.2%50.8%48.0%
Term Structure2.0%-4.1%5.6%3.5%3.3%
VWIV31.2%24.7%37.0%29.5%30.7%
Skew 25d6.1%2.3%10.4%3.9%7.3%
Skew 10d6.1%-0.1%12.8%5.4%3.8%
Call IV 25d28.7%24.1%35.1%28.6%25.0%
Put IV 25d34.8%29.7%45.5%32.4%32.3%
Bid-Ask Spread %47.6121.40157.5762.7551.39
Gamma HHI0.100.070.210.090.10
Net GEX68.9K50.2K107.8K51.6K102.9K
Net DEX-1.2M-2.0M-635.3K-1.1M-1.5M
Net VEX-7.8K-8.5K-7.3K-7.7K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.0010.000.0510.00
Total Volume24.90901474255
Total OI901.1827711,0587711,043

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$65.94$62.0028.3%8.1%43.9%16.7%29.5%3.9%3.5%51.6K-1.1M-7.7K0.0562.75N/AN/A402476295
2008-04-02$65.62$62.0028.1%8.1%43.8%16.4%0.0%4.4%3.8%58.3K-1.2M-8.0K0.1167.69N/AN/A91513295
2008-04-03$67.12$62.0027.7%7.9%44.1%15.9%28.6%2.3%5.6%64.7K-1.5M-8.0K1.1180.39N/AN/A910522295
2008-04-04$66.06$61.0028.5%9.3%40.4%16.9%34.1%3.8%2.1%59.2K-1.3M-8.0K0.5028.88N/AN/A147529305
2008-04-07$65.45$61.0029.4%9.7%40.7%18.1%37.0%4.0%2.3%64.7K-1.3M-8.0K1.1124.54N/AN/A1921543312
2008-04-08$65.36$61.0030.3%9.4%40.1%19.2%0.0%5.3%2.4%65.2K-1.1M-8.1K0.0025.55N/AN/A10556333
2008-04-09$63.72$61.0030.7%9.6%35.7%19.7%0.0%5.6%0.9%54.3K-741.9K-7.8K0.0021.40N/AN/A20555333
2008-04-10$64.34$61.0033.0%9.5%34.7%22.8%0.0%7.3%1.8%60.2K-888.9K-7.8K0.0026.61N/AN/A110557333
2008-04-11$63.55$61.0033.1%9.5%35.0%22.9%0.0%5.5%1.1%54.7K-714.2K-7.7K0.5022.89N/AN/A21568333
2008-04-14$63.18$61.0034.0%9.7%34.1%24.0%0.0%6.7%1.7%53.3K-635.3K-7.4K1.0027.85N/AN/A55570334
2008-04-15$63.82$61.0033.1%9.5%34.2%22.9%0.0%6.5%1.4%58.5K-768.0K-7.6K0.0025.39N/AN/A05575339
2008-04-16$66.41$61.0034.6%9.9%33.7%24.8%0.0%10.3%-4.1%89.1K-1.4M-7.5K0.0082.85N/AN/A20575341
2008-04-17$66.65$61.0032.6%9.4%33.4%22.3%32.5%2.9%1.6%105.7K-1.6M-7.7K3.3332.35N/AN/A310577341
2008-04-18$66.27$61.0033.0%9.5%31.8%22.7%35.8%10.4%0.1%62.6K-1.4M-7.5K0.68157.57N/AN/A4027572339
2008-04-21$65.78$65.0034.5%9.9%31.0%24.7%30.9%7.5%-1.4%51.1K-1.0M-7.5K1.2328.42N/AN/A1316519335
2008-04-22$65.62$65.0030.1%8.6%31.0%19.0%28.9%8.6%2.0%50.2K-981.8K-7.3K1.8929.16N/AN/A917519335
2008-04-23$66.44$65.0030.8%8.8%30.3%19.9%0.0%8.5%0.8%56.7K-1.2M-7.7K0.0032.33N/AN/A00541368
2008-04-24$67.76$65.0025.9%7.4%30.6%13.5%24.7%6.1%5.5%66.1K-1.5M-7.5K0.2042.78N/AN/A153541368
2008-04-25$68.14$65.0026.6%7.6%30.1%14.4%0.0%6.6%3.0%73.3K-1.6M-7.5K0.0058.09N/AN/A1470556371
2008-04-28$68.05$65.0025.4%7.3%30.1%12.9%30.7%6.1%4.8%107.8K-2.0M-8.5K10.0061.26N/AN/A220685371
2008-04-29$67.31$65.0028.1%8.0%23.8%16.0%0.0%4.4%1.8%104.6K-1.8M-8.5K0.0057.38N/AN/A50687371
2008-04-30$66.37$65.0029.3%8.4%24.3%17.6%30.7%7.3%3.3%102.9K-1.5M-8.2K10.0051.39N/AN/A550692351