VNQ Options History — October 2008

In October 2008, VNQ traded between $33.19 and $59.33. ATM implied volatility averaged 75.1%, placing in the 60.1% IV rank vs the trailing year. The 30-day expected move averaged 19.1%. IV traded below realized volatility by 18.2% (HV 20d: 93.3%). Max pain ranged from $46.00 to $59.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.31.

Notable Days

  • 2008-10-21: Highest Volume — 98 contracts
  • 2008-10-02: Largest IV spike — 246.9% change
  • 2008-10-09: Highest IV Rank — 100.0%
  • 2008-10-27: Largest Expected Move — 28.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.84$33.19$59.33$59.33$41.51
Max Pain$51.96$46.00$59.00$59.00$46.00
ATM IV75.1%15.9%128.1%15.9%74.5%
Expected Move19.1%4.5%28.6%4.5%21.4%
HV 20d93.3%74.3%112.5%74.3%112.5%
HV 60d67.2%55.5%80.5%55.7%80.5%
IV Rank60.1%1.2%100.0%1.2%52.6%
IV Percentile92.9%0.4%100.0%0.4%96.0%
Term Structure-11.8%-41.9%26.0%-16.7%-0.9%
VWIV65.8%45.0%100.6%72.1%45.0%
Skew 25d-2.5%-40.5%44.8%-40.5%4.0%
Skew 10d-14.1%-40.5%25.7%-40.5%10.5%
Call IV 25d71.8%37.4%122.2%89.6%90.1%
Put IV 25d69.3%49.1%94.1%49.1%94.1%
Bid-Ask Spread %125.06112.96199.98199.98125.61
Gamma HHI0.090.070.100.100.07
Net GEX18.3K1.5K68.0K68.0K16.4K
Net DEX822.6K-276.1K1.4M-266.0K804.4K
Net VEX-6.0K-11.9K-1.3K-11.2K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.0019.000.000.00
Total Volume25.2612981310
Total OI1,4261,2571,5361,3951,474

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$59.33$59.0015.9%4.5%74.3%1.2%0.0%0.0%0.0%68.0K-266.0K-11.2K0.00199.98N/AN/A130966429
2008-10-02$55.50$59.0055.1%15.8%77.3%51.7%72.1%-40.5%-16.7%43.1K-276.1K-11.9K0.21147.42N/AN/A194979429
2008-10-03$53.10$59.0062.2%17.8%78.5%60.9%0.0%-30.7%-32.7%35.6K288.7K-10.6K0.00137.81N/AN/A20988433
2008-10-06$51.51$56.0068.3%18.1%76.6%68.8%58.4%13.0%-12.0%30.3K48.8K-10.8K0.00118.17N/AN/A021990432
2008-10-07$47.09$57.0085.5%19.5%81.1%90.9%67.5%4.4%-16.8%17.5K920.2K-7.8K0.85119.91N/AN/A1311990451
2008-10-08$46.44$57.0074.6%19.5%80.9%77.0%67.6%15.8%-15.1%15.7K1.1M-7.2K0.50118.46N/AN/A211,002462
2008-10-09$42.76$57.00108.5%16.3%83.6%100.0%63.6%-9.7%-10.3%6.8K1.4M-4.2K0.00119.44N/AN/A2701,002461
2008-10-10$46.85$57.0090.4%19.9%92.3%80.6%57.3%5.9%-12.0%18.9K967.1K-6.9K19.00119.22N/AN/A2381,029426
2008-10-13$49.83$57.00107.4%19.9%94.4%98.8%69.5%-0.0%-14.7%24.8K693.7K-7.8K0.38121.94N/AN/A39151,031416
2008-10-14$46.44$52.00128.1%19.7%94.4%100.0%0.0%2.4%-2.8%19.8K961.6K-6.4K0.00122.19N/AN/A2001,070426
2008-10-15$40.48$52.0060.2%17.2%103.0%39.9%65.3%-12.5%-0.1%10.7K1.1M-4.6K0.50120.38N/AN/A421,090426
2008-10-16$42.83$52.0069.0%19.8%100.1%47.7%68.0%10.2%-6.1%12.7K1.1M-5.2K0.00121.62N/AN/A3001,092426
2008-10-17$42.37$52.0068.8%19.7%98.5%47.6%67.5%0.8%-6.2%12.8K1.1M-5.0K0.00121.73N/AN/A301,110426
2008-10-20$42.68$52.0074.2%21.3%95.8%52.3%61.8%-6.2%-18.8%15.5K634.5K-5.6K0.00123.20N/AN/A390910347
2008-10-21$41.22$47.0059.4%17.0%95.6%39.3%59.0%-3.5%1.6%15.0K838.8K-4.3K1.33121.65N/AN/A4256947347
2008-10-22$38.31$47.0069.3%19.9%97.5%48.0%0.0%2.1%-22.6%17.5K637.5K-5.5K0.50117.63N/AN/A2010959403
2008-10-23$37.31$47.0092.4%26.5%96.7%68.4%100.6%-38.0%-41.9%11.6K821.0K-4.8K0.55114.03N/AN/A116970403
2008-10-24$35.19$46.0085.1%24.4%95.3%62.0%0.0%-28.4%-25.9%4.3K1.2M-1.9K0.00114.61N/AN/A02981408
2008-10-27$33.19$46.0099.7%28.6%94.2%74.9%0.0%-35.3%-33.4%1.5K1.2M-1.3K0.48112.96N/AN/A2110981404
2008-10-28$38.38$46.0051.2%14.7%107.4%32.0%0.0%27.6%26.0%6.8K1.2M-2.9K2.00118.61N/AN/A121,000414
2008-10-29$37.02$46.0061.5%17.6%107.5%41.1%73.8%19.7%17.8%6.1K1.2M-2.8K0.65116.60N/AN/A31201,001413
2008-10-30$39.00$46.0067.1%19.2%109.4%46.0%55.0%44.8%-16.7%8.5K1.1M-3.9K0.55123.27N/AN/A22121,021433
2008-10-31$41.51$46.0074.5%21.4%112.5%52.6%45.0%4.0%-0.9%16.4K804.4K-5.9K0.00125.61N/AN/A1001,040434