VNQ Options History — June 2008

In June 2008, VNQ traded between $58.34 and $67.40. ATM implied volatility averaged 31.1%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 5.0% (HV 20d: 26.2%). Max pain ranged from $64.00 to $69.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2008-06-26: Highest Volume — 238 contracts
  • 2008-06-30: Largest IV spike — 35.4% change
  • 2008-06-30: Highest IV Rank — 41.6%
  • 2008-06-30: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.73$58.34$67.40$65.12$58.42
Max Pain$66.95$64.00$69.00$65.00$64.00
ATM IV31.1%23.0%47.2%27.0%47.2%
Expected Move8.9%6.6%13.5%7.7%13.5%
HV 20d26.2%19.7%31.4%20.2%31.3%
HV 60d27.1%25.1%29.6%29.6%25.3%
IV Rank20.9%10.4%41.6%15.5%41.6%
IV Percentile52.1%8.3%98.8%38.1%98.8%
Term Structure0.9%-9.8%4.4%1.9%-9.8%
VWIV27.1%15.3%38.2%25.4%15.3%
Skew 25d1.7%-14.2%12.4%12.4%-14.2%
Skew 10d7.3%-24.6%17.4%10.0%17.4%
Call IV 25d30.5%16.1%63.6%18.0%63.6%
Put IV 25d32.2%25.8%49.4%30.4%49.4%
Bid-Ask Spread %84.7541.92162.9484.52153.80
Gamma HHI0.130.090.240.140.14
Net GEX88.4K3.9K256.2K137.0K20.4K
Net DEX-247.2K-2.0M477.3K-636.7K324.9K
Net VEX-4.7K-6.8K-2.9K-5.7K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.007.500.190.33
Total Volume41.71402381912
Total OI1,161.8573221,4151,339858

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$65.12$65.0027.0%7.7%20.2%15.5%25.4%12.4%1.9%137.0K-636.7K-5.7K0.1984.52N/AN/A163863476
2008-06-03$65.55$65.0025.6%7.4%20.4%13.8%24.9%8.2%2.6%168.2K-974.3K-5.9K0.5080.94N/AN/A21868479
2008-06-04$65.89$65.0025.7%7.4%20.4%13.9%26.0%10.8%3.2%185.6K-1.1M-5.9K0.0084.44N/AN/A70870480
2008-06-05$67.40$65.0023.0%6.6%19.7%10.4%21.9%10.4%4.4%256.2K-2.0M-6.1K0.0088.84N/AN/A290877480
2008-06-06$64.58$69.0023.2%8.1%25.0%10.6%23.2%-3.4%3.1%164.5K-740.7K-5.2K3.3390.69N/AN/A310906480
2008-06-09$63.30$69.0029.1%8.2%25.8%18.3%28.1%2.0%3.8%72.8K71.2K-4.4K0.0843.97N/AN/A242906490
2008-06-10$63.33$69.0029.9%8.2%24.1%19.2%0.0%2.6%3.9%77.8K37.1K-4.4K5.0050.42N/AN/A840910492
2008-06-11$62.37$69.0031.8%8.5%24.3%21.7%0.0%2.7%3.8%22.7K477.3K-3.8K1.2256.66N/AN/A911900496
2008-06-12$63.01$69.0030.3%8.7%24.6%19.8%0.0%4.7%1.9%42.6K316.8K-3.7K0.0052.21N/AN/A200896496
2008-06-13$64.06$69.0029.2%8.4%25.0%18.3%0.0%4.4%2.6%98.0K-127.0K-4.2K0.1144.85N/AN/A91907494
2008-06-16$64.91$69.0028.3%8.1%25.7%17.2%0.0%5.7%3.1%149.4K-394.7K-3.8K0.0041.92N/AN/A00916494
2008-06-17$63.07$69.0030.4%8.7%27.2%20.0%0.0%3.8%2.5%29.5K307.6K-3.1K1.0056.63N/AN/A11916494
2008-06-18$62.14$69.0034.8%10.0%27.3%25.5%0.0%-10.3%-3.5%63.8K-70.7K-4.0K0.00155.84N/AN/A370916460
2008-06-19$63.58$69.0035.4%10.1%27.8%26.3%38.2%-9.2%-5.9%103.7K-690.0K-4.4K0.74162.94N/AN/A2720933460
2008-06-20$62.15$68.0036.0%10.3%28.7%27.1%0.0%-7.6%-5.1%75.1K-106.6K-4.1K0.00155.69N/AN/A00958457
2008-06-23$60.61$68.0032.3%9.3%29.8%22.4%32.2%1.6%2.3%3.9K281.2K-2.9K0.1879.44N/AN/A18633174148
2008-06-24$59.85$64.0034.6%9.9%29.3%25.3%33.1%2.6%1.6%39.9K61.9K-4.3K0.3373.48N/AN/A9030360179
2008-06-25$60.83$64.0034.4%9.9%30.1%25.1%0.0%4.7%0.2%55.5K-316.0K-5.6K0.3363.80N/AN/A31445189
2008-06-26$58.80$64.0030.9%8.8%31.4%20.5%29.7%0.3%2.4%47.4K29.7K-4.9K7.5082.71N/AN/A28210448190
2008-06-27$58.34$64.0034.9%10.0%31.4%25.7%0.0%3.5%0.3%42.5K86.4K-4.7K0.0076.00N/AN/A02448190
2008-06-30$58.42$64.0047.2%13.5%31.3%41.6%15.3%-14.2%-9.8%20.4K324.9K-6.8K0.33153.80N/AN/A93466392