VNQ Options History — February 2009

In February 2009, VNQ traded between $23.89 and $31.59. ATM implied volatility averaged 80.6%, placing in the 58.0% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded below realized volatility by 6.4% (HV 20d: 87.0%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 4.20.

Notable Days

  • 2009-02-05: Highest Volume — 124 contracts
  • 2009-02-24: Largest IV drop — 26.3% change
  • 2009-02-23: Highest IV Rank — 71.1%
  • 2009-02-23: Largest Expected Move — 27.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.44$23.89$31.59$30.79$23.89
Max Pain$34.68$34.00$35.00$34.00$34.00
ATM IV80.6%66.1%95.5%78.4%74.3%
Expected Move23.0%18.9%27.4%22.5%21.3%
HV 20d87.0%76.3%93.6%89.5%77.4%
HV 60d114.3%99.5%122.1%122.1%99.5%
IV Rank58.0%45.1%71.1%56.1%52.4%
IV Percentile78.9%62.7%92.9%78.2%69.0%
Term Structure-0.9%-14.4%23.7%-2.7%3.4%
VWIV73.0%55.0%94.1%76.4%81.0%
Skew 25d19.2%-7.5%43.9%14.8%-7.5%
Skew 10d23.4%-12.9%47.9%33.9%9.2%
Call IV 25d63.2%37.3%83.8%72.2%78.1%
Put IV 25d82.4%65.2%98.8%87.0%70.6%
Bid-Ask Spread %106.6791.68129.36100.54101.25
Gamma HHI0.100.060.190.060.17
Net GEX-6.1K-18.9K10.3K-331-11.9K
Net DEX1.5M836.1K2.1M1.3M1.6M
Net VEX-6.2K-8.8K-3.9K-8.2K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.200.0030.000.000.90
Total Volume47.42121242655
Total OI2,674.6842,2442,9102,6802,398

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$30.79$34.0078.4%22.5%89.5%56.1%76.4%14.8%-2.7%-3311.3M-8.2K0.00100.54N/AN/A2601,4831,197
2009-02-03$30.48$34.0087.3%25.0%89.4%63.9%0.0%43.9%7.5%3.0K924.9K-8.8K0.00129.36N/AN/A201,4921,147
2009-02-04$29.74$34.0083.5%23.9%87.2%60.5%55.0%21.9%-7.0%1.6K1.0M-7.8K0.00123.44N/AN/A3601,4941,147
2009-02-05$29.11$34.0080.4%23.0%86.8%57.8%83.0%23.9%9.9%-461.2M-7.7K0.12122.44N/AN/A111131,5281,147
2009-02-06$31.13$35.0080.0%21.2%91.0%57.5%94.1%40.3%-4.3%7.3K943.6K-8.5K0.6599.70N/AN/A31201,5951,160
2009-02-09$31.59$35.0067.8%21.1%89.5%46.7%0.0%10.3%-5.5%10.3K836.1K-8.2K24.3391.68N/AN/A3731,6131,180
2009-02-10$28.78$35.0079.1%24.0%93.0%56.7%78.8%5.4%-8.9%4.4K1.1M-7.6K1.8697.24N/AN/A7131,6141,218
2009-02-11$29.33$35.0087.4%22.4%92.6%64.0%62.9%-5.9%-2.2%-2241.3M-7.5K1.64103.06N/AN/A25411,6201,220
2009-02-12$28.83$35.0078.0%22.4%90.9%55.7%74.6%38.1%-2.5%-6.5K1.6M-7.0K2.08100.43N/AN/A12251,6401,251
2009-02-13$27.06$35.0084.9%24.3%92.3%61.8%80.3%29.5%-12.7%-5.0K1.6M-6.6K0.04100.38N/AN/A2411,6341,256
2009-02-17$25.14$35.0085.9%24.6%93.6%62.6%64.7%0.1%-11.2%-13.5K2.0M-5.1K4.14100.91N/AN/A7291,6481,257
2009-02-18$25.50$35.0084.5%24.2%85.2%61.4%58.8%21.7%-6.0%-14.1K2.1M-5.0K30.00102.58N/AN/A1301,6451,264
2009-02-19$24.40$35.0087.4%25.1%76.3%64.0%89.0%18.6%-6.4%-13.8K2.1M-4.6K3.67107.38N/AN/A3111,6461,264
2009-02-20$25.94$35.0084.7%24.3%78.9%61.6%65.2%1.3%0.5%-16.2K2.1M-4.5K0.00107.87N/AN/A0121,6451,220
2009-02-23$23.99$35.0095.5%27.4%81.4%71.1%82.6%39.6%-14.4%-12.3K1.5M-4.3K6.00111.92N/AN/A11661,2011,043
2009-02-24$26.02$35.0070.3%20.2%88.0%48.9%55.8%27.9%23.7%-18.9K1.6M-4.6K0.08112.55N/AN/A7961,2121,058
2009-02-25$25.52$35.0075.6%21.7%87.7%53.6%76.1%21.5%1.8%-15.5K1.6M-4.3K0.01105.92N/AN/A7811,2561,052
2009-02-26$24.21$34.0066.1%18.9%81.5%45.1%62.2%18.6%19.2%-14.5K1.5M-3.9K0.00108.02N/AN/A4901,3221,052
2009-02-27$23.89$34.0074.3%21.3%77.4%52.4%81.0%-7.5%3.4%-11.9K1.6M-3.9K0.90101.25N/AN/A29261,3461,052