VNQ Options History — January 2009

In January 2009, VNQ traded between $28.96 and $36.37. ATM implied volatility averaged 88.3%, placing in the 64.8% IV rank vs the trailing year. The 30-day expected move averaged 24.1%. IV traded below realized volatility by 2.4% (HV 20d: 90.7%). Max pain ranged from $27.00 to $38.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.90.

Notable Days

  • 2009-01-28: Highest Volume — 334 contracts
  • 2009-01-07: Largest IV spike — 47.8% change
  • 2009-01-14: Highest IV Rank — 88.6%
  • 2009-01-13: Largest Expected Move — 27.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.37$28.96$36.37$35.29$30.06
Max Pain$35.50$27.00$38.00$27.00$34.00
ATM IV88.3%68.9%115.3%85.3%84.7%
Expected Move24.1%19.7%27.8%24.4%24.3%
HV 20d90.7%70.1%117.7%117.7%89.2%
HV 60d123.9%121.3%127.7%127.7%122.6%
IV Rank64.8%47.6%88.6%62.1%61.6%
IV Percentile87.5%72.6%98.8%89.3%82.5%
Term Structure0.1%-10.9%14.9%-10.9%-1.3%
VWIV70.7%49.4%91.4%76.6%71.5%
Skew 25d25.1%0.7%63.7%56.5%1.3%
Skew 10d31.0%6.1%75.3%75.3%39.9%
Call IV 25d61.8%29.3%86.2%42.9%82.7%
Put IV 25d86.9%67.5%99.4%99.4%84.0%
Bid-Ask Spread %102.4667.47129.58129.5899.73
Gamma HHI0.080.060.110.110.06
Net GEX14.7K3.6K27.8K23.0K3.6K
Net DEX131.8K-560.6K938.4K-468.2K938.4K
Net VEX-8.5K-9.9K-6.9K-8.6K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.005.420.020.15
Total Volume85.71333410546
Total OI2,221.151,8742,6851,8742,685

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$35.29$27.0085.3%24.4%117.7%62.1%0.0%56.5%-10.9%23.0K-468.2K-8.6K0.02129.58N/AN/A10321,144730
2009-01-05$34.64$34.0078.3%22.3%117.4%56.0%0.0%16.5%-0.4%22.7K-484.3K-8.8K0.00122.83N/AN/A1301,207730
2009-01-06$36.37$34.0073.2%22.7%113.3%51.5%76.6%18.6%4.8%27.8K-560.6K-8.9K0.5367.47N/AN/A57301,217730
2009-01-07$35.15$34.00108.2%22.0%109.4%82.4%58.4%24.5%9.4%25.3K-551.3K-9.3K0.77104.03N/AN/A52401,257760
2009-01-08$34.89$36.00103.1%25.0%104.3%77.9%70.6%40.8%-10.4%23.7K-377.0K-9.1K1.7899.96N/AN/A36641,305800
2009-01-09$33.10$38.0085.9%24.6%101.6%62.7%54.3%11.5%0.3%20.8K-203.9K-9.1K0.7384.00N/AN/A55401,341854
2009-01-12$31.16$38.00107.3%26.8%87.8%81.5%70.7%38.9%-5.0%10.0K219.1K-8.2K0.44103.92N/AN/A94411,383894
2009-01-13$32.10$38.0094.8%27.8%80.5%70.5%0.0%43.4%-1.2%10.0K194.3K-8.5K0.0097.31N/AN/A2501,387935
2009-01-14$30.42$38.00115.3%24.0%81.7%88.6%91.4%0.7%14.3%5.8K339.9K-8.2K1.82113.14N/AN/A33601,402935
2009-01-15$31.42$38.0086.9%24.9%70.1%63.6%49.4%63.7%2.8%7.8K149.8K-9.0K0.47118.78N/AN/A62291,415982
2009-01-16$32.61$38.0086.8%24.9%71.4%63.4%69.4%3.7%-4.0%12.6K194.3K-8.8K0.16124.02N/AN/A61101,4531,001
2009-01-20$28.96$37.0090.3%25.9%76.8%66.5%82.9%20.8%-2.7%6.1K617.4K-6.9K0.24116.12N/AN/A2561,221805
2009-01-21$31.99$37.0077.4%22.2%81.7%55.2%72.3%31.1%14.9%8.8K378.9K-8.4K0.34108.36N/AN/A65221,241805
2009-01-22$30.24$37.0089.8%25.8%82.8%66.2%74.4%32.6%-3.0%11.1K344.0K-8.0K0.00129.33N/AN/A5101,284826
2009-01-23$31.16$36.0086.0%24.7%83.9%62.8%84.4%27.3%-1.1%9.9K624.7K-7.3K0.0089.31N/AN/A12001,332826
2009-01-26$30.98$34.0085.1%24.4%83.8%62.0%63.9%17.9%-1.0%15.7K391.7K-7.6K1.0091.90N/AN/A10101,423826
2009-01-27$31.42$34.0080.3%23.0%83.8%57.7%0.0%15.9%-4.0%17.0K352.2K-7.9K2.1281.16N/AN/A33701,423836
2009-01-28$34.14$34.0068.9%19.7%87.0%47.6%70.5%19.4%3.0%22.6K53.7K-8.9K5.4271.54N/AN/A522821,454904
2009-01-29$31.35$34.0079.0%22.7%90.9%56.6%71.5%16.3%-1.9%9.9K483.7K-9.9K2.0096.79N/AN/A5101,4841,186
2009-01-30$30.06$34.0084.7%24.3%89.2%61.6%0.0%1.3%-1.3%3.6K938.4K-9.0K0.1599.73N/AN/A4061,4891,196