VNQ Options History — September 2008

In September 2008, VNQ traded between $56.72 and $64.97. ATM implied volatility averaged 41.8%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 6.5% (HV 20d: 48.2%). Max pain ranged from $59.00 to $61.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2008-09-18: Highest Volume — 218 contracts
  • 2008-09-10: Largest IV drop — 56.1% change
  • 2008-09-09: Highest IV Rank — 62.1%
  • 2008-09-29: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.09$56.72$64.97$62.07$60.80
Max Pain$59.38$59.00$61.00$59.00$59.00
ATM IV41.8%24.6%63.1%37.3%24.6%
Expected Move11.3%8.8%15.3%10.7%15.3%
HV 20d48.2%32.3%74.2%35.5%74.2%
HV 60d47.9%42.3%57.4%42.4%57.4%
IV Rank34.6%12.4%62.1%28.9%12.4%
IV Percentile79.7%11.5%98.8%78.6%11.5%
Term Structure-4.6%-29.5%1.2%-5.5%1.1%
VWIV42.1%25.9%66.7%31.7%66.7%
Skew 25d2.5%-17.4%25.7%18.0%-1.0%
Skew 10d1.0%-21.9%26.3%-7.7%-1.0%
Call IV 25d42.3%20.3%67.7%25.3%67.7%
Put IV 25d44.8%23.4%66.7%43.3%66.7%
Bid-Ask Spread %149.0058.23200.00161.28200.00
Gamma HHI0.120.100.230.120.11
Net GEX83.7K19.2K276.2K74.8K102.2K
Net DEX-1.3M-4.1M-79.9K-1.3M-1.0M
Net VEX-10.2K-13.5K-6.8K-8.1K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.005.000.005.00
Total Volume61.66712183024
Total OI1,388.2861,0571,9461,2251,371

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$62.07$59.0037.3%10.7%35.5%28.9%0.0%18.0%-5.5%74.8K-1.3M-8.1K0.00161.28N/AN/A300713512
2008-09-03$63.05$59.0042.4%12.1%32.3%35.4%0.0%-17.4%-29.5%140.9K-1.6M-7.0K0.00159.07N/AN/A10743512
2008-09-04$61.28$59.0043.4%12.5%33.9%36.7%0.0%-13.9%-20.7%81.1K-1.0M-6.8K0.00159.57N/AN/A60744512
2008-09-05$61.29$61.0049.0%9.7%32.6%44.0%0.0%-13.5%1.2%81.5K-1.1M-6.9K0.00160.99N/AN/A011749512
2008-09-08$63.94$61.0054.1%8.8%34.5%50.5%31.7%11.0%-8.2%83.1K-1.9M-8.3K0.67166.78N/AN/A2718749522
2008-09-09$61.55$61.0063.1%9.2%35.3%62.1%0.0%1.3%-0.6%51.1K-1.1M-8.7K1.72166.00N/AN/A1831770538
2008-09-10$61.66$61.0027.7%9.5%34.4%16.4%36.4%1.9%-2.9%91.3K-1.1M-8.1K1.21172.34N/AN/A3340788568
2008-09-11$62.60$59.0033.9%9.7%34.4%24.4%34.9%7.1%-1.6%69.6K-1.5M-9.5K0.93166.33N/AN/A5450820608
2008-09-12$62.40$59.0034.6%9.9%34.0%25.3%25.9%25.7%-1.1%74.0K-1.6M-10.1K0.00164.32N/AN/A560874656
2008-09-15$58.80$59.0037.1%10.6%40.0%28.5%43.1%-8.8%-1.0%31.1K-238.1K-8.9K0.52157.52N/AN/A7137918656
2008-09-16$61.70$59.0037.4%10.7%43.6%28.9%0.0%1.0%-2.0%96.1K-1.4M-9.6K0.06166.94N/AN/A161967683
2008-09-17$58.15$59.0043.6%12.5%47.8%36.9%47.2%-10.1%-0.5%19.2K-79.9K-9.5K0.17150.60N/AN/A12221980683
2008-09-18$63.09$59.0039.5%11.3%56.2%31.6%46.3%12.0%0.3%153.0K-2.4M-10.9K0.54152.95N/AN/A142761,074693
2008-09-19$64.97$59.0040.5%11.6%56.4%32.9%40.9%5.1%-4.2%276.2K-4.1M-12.7K0.3658.23N/AN/A56201,196750
2008-09-22$59.51$59.0041.1%11.8%64.1%33.7%43.5%8.5%-0.1%53.2K-1.0M-11.3K0.89140.57N/AN/A8273746311
2008-09-23$59.91$59.0039.9%11.4%63.2%32.2%0.0%8.5%-3.7%61.4K-1.4M-13.1K0.0396.87N/AN/A401833372
2008-09-24$58.73$59.0047.7%13.7%63.5%42.2%48.0%-9.8%-2.8%52.9K-957.2K-12.9K1.80156.57N/AN/A1018863373
2008-09-25$59.46$59.0045.4%13.0%63.5%39.3%40.9%7.8%0.4%58.0K-1.1M-13.4K0.0062.21N/AN/A40873389
2008-09-26$61.30$59.0041.6%11.9%63.8%34.3%0.0%15.9%-10.7%60.3K-1.6M-13.5K0.00161.75N/AN/A30876389
2008-09-29$56.72$59.0053.3%15.3%69.4%49.5%66.7%-1.0%1.1%46.3K-729.0K-11.9K0.24148.16N/AN/A8320879389
2008-09-30$60.80$59.0024.6%0.0%74.2%12.4%0.0%0.0%0.0%102.2K-1.0M-12.3K5.00200.00N/AN/A420962409