VNQ Options History — August 2008

In August 2008, VNQ traded between $59.10 and $63.90. ATM implied volatility averaged 37.7%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 6.8% (HV 20d: 44.4%). Max pain ranged from $57.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.93.

Notable Days

  • 2008-08-11: Highest Volume — 211 contracts
  • 2008-08-07: Largest IV spike — 106.0% change
  • 2008-08-07: Highest IV Rank — 66.5%
  • 2008-08-29: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.15$59.10$63.90$60.29$61.67
Max Pain$59.00$57.00$60.00$57.00$59.00
ATM IV37.7%28.6%66.5%35.4%41.3%
Expected Move10.2%9.1%11.8%10.1%11.8%
HV 20d44.4%34.8%59.1%59.1%35.9%
HV 60d41.9%39.7%43.5%39.7%43.2%
IV Rank29.3%17.6%66.5%26.3%34.0%
IV Percentile66.8%32.5%99.6%66.7%91.3%
Term Structure-3.0%-12.0%1.4%0.2%-12.0%
VWIV36.9%29.7%53.6%33.7%53.6%
Skew 25d7.4%-3.6%21.7%7.9%-3.6%
Skew 10d14.5%-1.2%41.1%11.4%-1.2%
Call IV 25d34.0%23.4%56.1%31.7%23.4%
Put IV 25d41.4%19.8%59.8%39.6%19.8%
Bid-Ask Spread %92.3726.35162.7145.64162.71
Gamma HHI0.120.100.150.100.12
Net GEX74.3K19.3K165.6K61.3K60.5K
Net DEX-1.2M-2.3M-227.2K-815.1K-1.1M
Net VEX-8.0K-9.0K-5.8K-7.8K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.0025.005.000.50
Total Volume30.4760211120
Total OI1,233.3811,0991,4571,1901,226

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$60.29$57.0035.4%10.1%59.1%26.3%33.7%7.9%0.2%61.3K-815.1K-7.8K5.0045.64N/AN/A210666524
2008-08-04$59.41$59.0036.9%10.6%58.8%28.3%38.5%7.6%-2.9%52.2K-499.8K-7.4K3.6736.26N/AN/A311668534
2008-08-05$62.08$59.0058.3%9.8%55.1%55.8%0.0%1.6%-2.5%64.1K-1.7M-5.8K0.00145.76N/AN/A100671535
2008-08-06$61.68$59.0032.3%9.7%48.2%22.3%36.1%7.8%-1.2%94.1K-1.4M-7.0K1.0029.22N/AN/A2222670530
2008-08-07$60.15$59.0066.5%10.1%49.1%66.5%41.6%21.7%-6.9%38.6K-676.7K-7.4K0.00146.13N/AN/A10684551
2008-08-08$61.90$59.0031.4%9.8%49.8%21.2%34.5%8.3%-1.7%108.5K-1.6M-7.0K0.0026.35N/AN/A60685550
2008-08-11$63.90$59.0033.4%9.5%48.4%23.8%35.1%8.0%-2.0%117.6K-2.3M-6.2K0.4063.19N/AN/A15160691550
2008-08-12$62.47$59.0035.6%10.1%49.2%26.7%33.3%8.6%-3.0%157.0K-2.2M-8.4K0.4460.96N/AN/A167830547
2008-08-13$61.56$59.0028.6%10.3%43.6%17.6%35.1%8.4%-1.8%162.0K-1.8M-8.5K25.0058.43N/AN/A250834552
2008-08-14$62.55$59.0035.4%10.1%43.8%26.4%32.7%8.3%-1.5%165.6K-2.2M-9.0K0.2260.39N/AN/A184836602
2008-08-15$62.46$59.0033.4%9.6%43.8%23.7%44.2%1.7%-0.2%157.6K-2.2M-8.8K0.33153.45N/AN/A155852605
2008-08-18$61.60$59.0032.9%9.4%44.2%23.2%33.0%9.2%-0.5%44.3K-876.3K-8.5K0.6574.99N/AN/A2617619480
2008-08-19$60.08$59.0034.5%9.9%44.1%25.3%32.1%9.7%-0.4%31.9K-495.3K-8.8K0.3372.86N/AN/A217643492
2008-08-20$60.17$60.0034.7%10.0%42.9%25.5%31.0%9.5%-0.6%30.3K-531.2K-8.6K0.4475.71N/AN/A188644499
2008-08-21$59.10$60.0035.9%10.3%35.6%27.1%34.5%9.0%-0.2%19.3K-227.2K-8.6K0.2176.44N/AN/A337662505
2008-08-22$61.11$59.0031.7%9.1%37.1%21.6%29.7%7.0%1.4%48.1K-859.9K-8.6K0.0083.99N/AN/A190664512
2008-08-25$59.26$59.0032.1%9.2%38.3%22.1%31.6%8.1%1.3%21.5K-354.0K-8.1K0.3287.88N/AN/A196670512
2008-08-26$59.96$59.0040.0%11.5%34.8%32.3%38.8%12.2%-6.9%33.9K-535.7K-8.0K0.00156.54N/AN/A10689512
2008-08-27$60.56$59.0040.2%11.5%35.0%32.6%51.6%2.0%-11.0%37.4K-757.5K-8.8K0.00160.66N/AN/A10690512
2008-08-28$62.10$59.0040.3%11.5%35.8%32.7%53.6%2.1%-11.0%54.4K-1.2M-8.9K0.50162.27N/AN/A2814691512
2008-08-29$61.67$59.0041.3%11.8%35.9%34.0%0.0%-3.6%-12.0%60.5K-1.1M-8.8K0.00162.71N/AN/A00714512