VNQ Options History — December 2008

In December 2008, VNQ traded between $25.82 and $37.63. ATM implied volatility averaged 87.2%, placing in the 63.9% IV rank vs the trailing year. The 30-day expected move averaged 25.6%. IV traded below realized volatility by 65.6% (HV 20d: 152.8%). Max pain ranged from $26.00 to $35.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.10.

Notable Days

  • 2008-12-17: Highest Volume — 241 contracts
  • 2008-12-12: Largest IV drop — 31.0% change
  • 2008-12-11: Highest IV Rank — 90.6%
  • 2008-12-11: Largest Expected Move — 33.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.81$25.82$37.63$25.82$36.45
Max Pain$28.41$26.00$35.00$35.00$27.00
ATM IV87.2%62.9%117.5%86.1%77.8%
Expected Move25.6%18.0%33.7%24.7%22.3%
HV 20d152.8%117.9%167.0%144.9%117.9%
HV 60d124.9%113.8%130.1%113.8%128.7%
IV Rank63.9%42.4%90.6%62.8%55.5%
IV Percentile90.5%76.6%99.2%94.0%83.7%
Term Structure-4.2%-54.4%35.2%25.8%3.8%
VWIV90.2%42.0%121.3%91.5%42.0%
Skew 25d23.7%-85.5%59.8%27.8%49.2%
Skew 10d42.2%-69.5%80.4%61.7%48.5%
Call IV 25d76.7%33.2%148.6%73.1%33.2%
Put IV 25d100.4%63.1%149.2%100.8%82.4%
Bid-Ask Spread %95.4549.04131.68105.20131.68
Gamma HHI0.190.080.300.300.12
Net GEX11.1K-2.7K26.5K-2.7K26.5K
Net DEX-3.2K-680.9K679.9K593.9K-508.6K
Net VEX-5.9K-8.8K-2.3K-2.3K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.0010.000.310.00
Total Volume77.51241211
Total OI1,943.6821,5862,6561,5921,874

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$25.82$35.0086.1%24.7%144.9%62.8%91.5%27.8%25.8%-2.7K593.9K-2.3K0.31105.20N/AN/A1651,142450
2008-12-02$29.25$35.00105.2%30.2%154.1%79.8%103.4%27.0%-2.6%-2.2K679.9K-2.5K1.0096.13N/AN/A661,143455
2008-12-03$30.89$35.00101.0%29.0%154.1%76.0%108.0%24.5%-11.2%-1.3K608.6K-2.9K0.00101.02N/AN/A301,146451
2008-12-04$30.04$35.00105.0%30.1%150.7%79.6%104.9%-2.3%-22.2%-1.1K537.6K-2.7K0.3495.55N/AN/A64221,147451
2008-12-05$33.22$26.0079.2%29.8%155.2%56.8%106.5%28.3%-20.8%3.2K453.0K-3.4K0.6350.30N/AN/A112701,209473
2008-12-08$36.32$27.0097.8%27.1%157.1%73.2%0.0%19.6%9.2%10.3K-66.1K-4.4K0.4758.01N/AN/A111521,297543
2008-12-09$33.17$27.0074.7%27.8%156.8%52.8%0.0%34.7%0.5%11.9K-180.4K-4.7K10.0059.79N/AN/A5501,398591
2008-12-10$36.02$27.0090.6%26.7%159.6%66.8%0.0%21.7%7.8%11.6K-54.3K-5.2K3.8549.04N/AN/A13501,401641
2008-12-11$30.88$27.00117.5%33.7%167.0%90.6%107.9%-85.5%-54.4%2.6K467.9K-5.0K0.3366.16N/AN/A2481,414691
2008-12-12$34.11$27.0081.1%23.2%166.6%58.4%109.5%46.1%-14.6%6.2K324.2K-5.1K0.49102.75N/AN/A88431,428699
2008-12-15$32.92$27.0084.3%24.2%161.4%61.2%121.0%32.1%-10.2%5.6K273.4K-5.6K0.47110.54N/AN/A30141,513730
2008-12-16$36.95$27.0089.5%25.7%165.6%65.9%121.3%5.2%-4.8%17.6K-386.8K-6.1K3.62104.90N/AN/A26941,543742
2008-12-17$37.63$27.0083.2%23.8%165.4%60.3%77.9%59.8%-0.5%22.9K-645.9K-6.6K0.5481.77N/AN/A156851,559821
2008-12-18$34.50$27.0097.3%27.9%159.4%72.8%57.9%22.6%-10.0%11.3K-61.3K-7.0K0.3463.22N/AN/A104351,679894
2008-12-19$36.92$27.0085.8%24.6%156.3%62.6%65.8%29.2%-1.7%25.4K-680.9K-7.8K0.3370.73N/AN/A69231,727929
2008-12-22$35.53$27.0085.9%24.6%156.5%62.6%85.9%45.0%-9.7%11.2K-223.5K-8.1K0.05114.20N/AN/A1256905681
2008-12-23$35.33$27.0079.1%22.7%147.4%56.7%49.6%33.4%-8.6%16.5K-316.0K-8.4K0.66126.54N/AN/A53351,027687
2008-12-24$34.80$27.0074.5%21.4%147.6%52.6%0.0%10.0%-2.5%16.6K-146.3K-8.2K0.00125.46N/AN/A301,070722
2008-12-26$35.30$27.0078.9%22.6%146.6%56.5%0.0%49.3%4.9%17.7K-332.4K-8.8K0.06127.80N/AN/A5131,073722
2008-12-29$33.27$27.0081.7%23.4%148.2%59.0%0.0%14.7%-5.2%14.7K-180.0K-8.5K0.69130.60N/AN/A1391,114725
2008-12-30$34.60$27.0062.9%18.0%123.9%42.4%42.0%28.7%35.2%18.9K-226.3K-8.4K0.00128.45N/AN/A2201,124730
2008-12-31$36.45$27.0077.8%22.3%117.9%55.5%0.0%49.2%3.8%26.5K-508.6K-8.7K0.00131.68N/AN/A101,144730