VNQ Options History — July 2008

In July 2008, VNQ traded between $54.15 and $62.65. ATM implied volatility averaged 41.1%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 6.4% (HV 20d: 47.5%). Max pain ranged from $55.00 to $64.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2008-07-11: Highest Volume — 100 contracts
  • 2008-07-08: Largest IV spike — 82.9% change
  • 2008-07-09: Highest IV Rank — 66.2%
  • 2008-07-28: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.39$54.15$62.65$58.37$60.24
Max Pain$57.64$55.00$64.00$64.00$56.00
ATM IV41.1%33.0%66.3%34.7%35.8%
Expected Move11.1%9.7%13.5%9.9%10.3%
HV 20d47.5%26.4%59.3%31.0%59.3%
HV 60d33.8%25.0%40.1%25.3%40.1%
IV Rank33.7%23.2%66.2%25.4%26.9%
IV Percentile83.8%57.1%99.6%69.8%68.3%
Term Structure-2.2%-18.5%2.6%0.5%1.2%
VWIV39.0%26.5%50.1%31.3%38.5%
Skew 25d5.8%-14.9%39.1%3.7%8.3%
Skew 10d8.3%-23.5%49.6%13.7%11.9%
Call IV 25d38.3%25.8%58.2%30.7%32.4%
Put IV 25d44.1%27.7%71.4%34.3%40.7%
Bid-Ask Spread %107.0829.23170.8781.2044.46
Gamma HHI0.140.100.240.140.10
Net GEX29.7K-3.9K96.3K25.3K61.2K
Net DEX1.4K-1.5M981.9K431.6K-780.6K
Net VEX-6.7K-7.9K-5.3K-6.6K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.004.500.250.66
Total Volume37.04511001568
Total OI983.3648251,1418691,141

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$58.37$64.0034.7%9.9%31.0%25.4%31.3%3.7%0.5%25.3K431.6K-6.6K0.2581.20N/AN/A123474395
2008-07-02$57.65$64.0034.7%9.9%30.8%25.5%34.7%3.3%0.5%17.4K571.2K-6.4K0.0088.90N/AN/A01486398
2008-07-03$57.06$64.0036.7%10.5%28.8%28.0%37.7%4.9%0.5%10.6K647.0K-6.0K0.3394.75N/AN/A31486396
2008-07-07$55.78$60.0033.0%10.8%26.4%23.2%36.8%3.4%-1.5%-938822.6K-5.5K0.8347.37N/AN/A65489397
2008-07-08$59.94$60.0060.3%9.7%38.1%58.5%0.0%4.6%2.6%30.9K-36.2K-6.8K0.29163.99N/AN/A4112495400
2008-07-09$55.85$60.0066.3%10.8%45.0%66.2%0.0%-10.5%-0.3%8.3K569.7K-6.0K0.20155.54N/AN/A153514398
2008-07-10$56.93$60.0036.6%10.5%45.8%27.9%36.9%6.5%0.2%11.9K687.1K-5.6K0.1539.82N/AN/A132515398
2008-07-11$56.65$60.0042.0%12.1%45.4%34.9%41.6%-8.8%-2.4%15.4K430.3K-6.2K0.43152.84N/AN/A7030514399
2008-07-14$54.68$55.0037.5%10.8%45.9%29.1%37.6%6.2%-1.2%-3.9K981.9K-5.3K0.0091.55N/AN/A043574424
2008-07-15$54.15$55.0041.9%12.0%45.2%34.7%45.0%-14.9%0.1%959872.2K-6.0K0.67144.42N/AN/A3020564467
2008-07-16$58.10$55.0040.8%11.7%52.6%33.3%43.1%16.8%-1.9%30.4K461.7K-6.8K0.53102.60N/AN/A1910594487
2008-07-17$58.80$55.0040.0%11.5%52.7%32.3%47.9%0.3%-1.1%31.7K-43.4K-7.2K4.50162.29N/AN/A29613497
2008-07-18$58.90$55.0040.9%11.7%51.9%33.5%43.8%16.5%-5.0%56.5K131.1K-7.1K0.00158.05N/AN/A100615499
2008-07-21$59.34$55.0039.6%11.4%51.5%31.8%36.9%7.8%-0.7%4.0K-124.1K-6.8K0.0729.23N/AN/A584403422
2008-07-22$60.93$55.0037.7%10.8%51.7%29.4%33.8%6.4%-2.5%25.6K-584.5K-7.1K0.1432.64N/AN/A7711461426
2008-07-23$62.65$55.0034.8%10.0%52.4%25.5%26.5%-13.8%-18.5%96.3K-1.5M-6.2K0.13157.35N/AN/A466538427
2008-07-24$58.50$56.0039.2%11.2%57.8%31.2%40.1%11.5%-1.4%37.6K-323.4K-7.4K0.0949.47N/AN/A222584423
2008-07-25$59.46$56.0043.1%12.4%56.8%36.3%49.7%27.1%-2.5%44.0K-587.8K-7.6K0.15170.87N/AN/A203602425
2008-07-28$58.49$56.0047.1%13.5%57.1%41.5%33.9%1.6%-5.1%47.7K-325.5K-7.3K0.00170.71N/AN/A072622424
2008-07-29$61.21$56.0046.2%13.3%59.3%40.3%50.1%39.1%-9.6%33.9K-1.1M-7.4K0.00170.24N/AN/A430622487
2008-07-30$61.00$56.0035.3%10.1%59.3%26.2%35.1%7.8%-0.1%68.9K-1.1M-7.9K0.7747.50N/AN/A1310652487
2008-07-31$60.24$56.0035.8%10.3%59.3%26.9%38.5%8.3%1.2%61.2K-780.6K-7.7K0.6644.46N/AN/A4127644497