VNQ Options History — May 2008

In May 2008, VNQ traded between $64.83 and $68.49. ATM implied volatility averaged 25.5%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 3.7% (HV 20d: 21.8%). Max pain ranged from $63.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.37.

Notable Days

  • 2008-05-19: Highest Volume — 174 contracts
  • 2008-05-15: Largest IV spike — 76.9% change
  • 2008-05-29: Highest IV Rank — 30.2%
  • 2008-05-29: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.79$64.83$68.49$67.80$66.23
Max Pain$63.95$63.00$65.00$65.00$65.00
ATM IV25.5%15.0%38.4%24.7%25.4%
Expected Move7.8%6.3%11.0%7.1%7.3%
HV 20d21.8%19.4%24.2%24.2%19.4%
HV 60d32.0%31.0%33.7%33.7%31.0%
IV Rank13.2%0.0%30.2%11.6%13.4%
IV Percentile30.3%0.0%87.3%27.0%27.8%
Term Structure2.4%-11.4%6.3%6.3%2.3%
VWIV26.5%16.1%38.0%24.0%24.7%
Skew 25d9.4%4.2%20.2%6.3%13.0%
Skew 10d15.5%-1.3%24.1%1.7%10.5%
Call IV 25d23.4%15.4%53.8%23.3%15.4%
Put IV 25d32.8%26.2%58.0%29.6%28.4%
Bid-Ask Spread %67.3038.88153.8363.7582.38
Gamma HHI0.120.090.200.100.13
Net GEX145.4K98.9K226.8K110.4K184.0K
Net DEX-1.6M-2.5M-773.3K-1.9M-1.3M
Net VEX-7.3K-8.6K-5.9K-8.6K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.002.500.002.50
Total Volume22.2380174756
Total OI1,171.0481,0371,3061,0981,306

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$67.80$65.0024.7%7.1%24.2%11.6%0.0%6.3%6.3%110.4K-1.9M-8.6K0.0063.75N/AN/A07697401
2008-05-02$67.74$65.0024.2%6.9%23.4%10.9%24.0%6.5%5.2%108.0K-1.9M-8.6K0.0060.39N/AN/A30697408
2008-05-05$67.55$63.0025.1%8.5%23.1%12.1%0.0%8.3%2.5%118.2K-1.8M-8.2K0.0039.29N/AN/A00700408
2008-05-06$68.02$63.0024.6%8.4%23.1%11.5%32.8%8.0%2.9%131.1K-2.0M-7.9K0.0038.88N/AN/A023700408
2008-05-07$66.17$63.0028.2%8.7%23.5%16.2%30.7%9.6%1.3%104.8K-1.3M-7.6K0.1144.87N/AN/A182700399
2008-05-08$65.77$63.0027.1%8.5%23.5%14.7%28.8%9.9%1.7%107.8K-1.3M-7.6K0.1347.99N/AN/A81716401
2008-05-09$65.41$63.0028.9%8.9%23.1%17.1%32.3%9.7%0.8%98.9K-1.1M-7.6K0.0048.40N/AN/A025724402
2008-05-12$66.98$63.0025.1%8.1%24.2%12.0%28.0%9.3%3.3%145.6K-1.7M-7.4K0.0052.56N/AN/A20724415
2008-05-13$67.25$63.0024.6%8.0%24.1%11.5%0.0%9.2%3.3%156.3K-1.8M-7.2K0.0054.21N/AN/A00726415
2008-05-14$67.67$63.0015.0%7.7%19.7%0.0%25.3%8.7%4.0%196.0K-2.0M-7.1K0.2056.39N/AN/A51726415
2008-05-15$68.49$63.0026.5%7.6%20.1%14.9%25.9%7.7%4.9%205.6K-2.5M-6.8K0.0058.52N/AN/A10731416
2008-05-16$68.13$63.0026.9%7.7%20.1%15.4%26.8%8.6%4.6%226.8K-2.3M-6.6K0.0059.73N/AN/A280732416
2008-05-19$68.24$63.0022.6%6.5%19.8%9.8%21.4%8.1%3.8%178.6K-2.0M-5.9K1.0070.51N/AN/A8787679358
2008-05-20$67.32$65.0023.9%6.8%20.5%11.5%24.4%8.4%2.4%167.9K-1.6M-7.2K0.5071.90N/AN/A42763442
2008-05-21$65.70$65.0025.4%7.3%22.0%13.5%22.1%9.6%1.7%126.1K-884.2K-6.7K0.0369.46N/AN/A361767444
2008-05-22$65.14$65.0026.0%7.5%20.8%14.2%25.3%9.1%1.9%125.4K-773.3K-6.9K0.0469.64N/AN/A251803445
2008-05-23$64.83$65.0022.0%6.3%20.6%9.1%23.5%20.2%4.8%131.3K-1.0M-7.5K0.14116.30N/AN/A71828446
2008-05-27$65.72$65.0025.7%7.4%21.4%13.8%16.1%10.8%2.2%154.2K-1.0M-6.4K0.0076.72N/AN/A20835446
2008-05-28$65.83$65.0025.1%7.2%21.1%13.1%27.4%12.1%2.9%161.5K-1.1M-6.3K0.0077.49N/AN/A20835441
2008-05-29$66.54$65.0038.4%11.0%20.9%30.2%38.0%4.2%-11.4%114.5K-1.7M-7.9K1.29153.83N/AN/A1418836441
2008-05-30$66.23$65.0025.4%7.3%19.4%13.4%24.7%13.0%2.3%184.0K-1.3M-6.3K2.5082.38N/AN/A1640850456