VNQ Options History — March 2009

In March 2009, VNQ traded between $21.15 and $26.81. ATM implied volatility averaged 86.6%, placing in the 63.3% IV rank vs the trailing year. The 30-day expected move averaged 24.4%. IV traded below realized volatility by 8.4% (HV 20d: 94.9%). Max pain ranged from $21.00 to $34.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2009-03-24: Highest Volume — 357 contracts
  • 2009-03-24: Largest IV spike — 92.0% change
  • 2009-03-24: Highest IV Rank — 97.0%
  • 2009-03-24: Largest Expected Move — 35.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.04$21.15$26.81$22.40$24.28
Max Pain$25.91$21.00$34.00$34.00$26.00
ATM IV86.6%65.0%124.7%96.4%85.2%
Expected Move24.4%18.6%35.8%27.6%24.4%
HV 20d94.9%75.9%112.1%78.9%112.1%
HV 60d90.8%84.6%96.8%96.8%93.5%
IV Rank63.3%44.2%97.0%71.9%62.1%
IV Percentile79.1%56.0%99.2%92.9%79.0%
Term Structure-5.1%-43.8%15.6%-43.8%0.6%
VWIV75.5%50.9%90.8%81.0%79.8%
Skew 25d14.4%-10.3%53.2%7.1%10.6%
Skew 10d14.0%-41.0%53.4%-41.0%19.7%
Call IV 25d75.6%58.8%104.0%58.8%85.7%
Put IV 25d89.9%65.9%124.8%65.9%96.3%
Bid-Ask Spread %92.8246.58115.16106.7364.67
Gamma HHI0.160.070.480.120.10
Net GEX-7.1K-28.2K8.6K-7.0K7.3K
Net DEX1.2M-25.5K1.9M1.4M483.1K
Net VEX-4.1K-5.5K-2.5K-4.3K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.002.202.200.00
Total Volume66.86413573254
Total OI2,232.6361,1392,7242,4091,839

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$22.40$34.0096.4%27.6%78.9%71.9%81.0%7.1%-43.8%-7.0K1.4M-4.3K2.20106.73N/AN/A10221,3461,063
2009-03-03$22.49$34.0098.6%28.3%77.9%73.9%75.8%16.8%-0.8%-8.0K1.6M-3.8K0.46115.16N/AN/A28131,3561,071
2009-03-04$22.85$33.0073.3%21.0%78.7%51.6%67.3%4.6%7.9%-10.5K1.8M-3.0K0.10104.31N/AN/A1011,3831,070
2009-03-05$21.44$32.0099.3%28.5%80.6%74.5%82.9%53.2%13.9%-7.3K1.5M-3.7K0.33111.25N/AN/A39131,3881,069
2009-03-06$21.15$27.0075.5%23.7%80.6%53.5%77.9%27.0%8.8%-5.4K1.9M-2.5K0.17100.34N/AN/A3051,4071,075
2009-03-09$21.62$21.0083.2%23.7%75.9%60.3%0.0%15.0%1.8%-6.8K1.9M-2.6K0.0070.64N/AN/A701,3991,075
2009-03-10$24.63$21.0090.4%21.6%91.9%66.6%0.0%43.0%0.6%-11.4K1.7M-3.6K0.00111.84N/AN/A1201,4061,075
2009-03-11$24.23$21.00105.3%24.4%86.9%79.9%60.2%3.6%-1.5%-12.7K1.7M-3.4K0.47112.25N/AN/A43201,4181,075
2009-03-12$26.21$26.0096.5%27.7%91.8%72.1%83.9%10.8%-28.5%-9.5K1.3M-4.6K0.63104.22N/AN/A48301,4381,090
2009-03-13$25.65$26.0092.4%26.5%91.9%68.4%0.0%13.2%-27.0%-15.9K1.5M-4.1K0.0090.24N/AN/A1601,4861,090
2009-03-16$23.63$26.0077.6%22.3%93.7%55.4%72.3%16.3%-11.3%-7.9K1.2M-4.1K0.00104.07N/AN/A101,4921,090
2009-03-17$25.42$26.0078.4%22.5%94.3%56.1%75.8%13.6%0.6%-20.0K1.7M-3.6K0.3975.52N/AN/A85331,4931,090
2009-03-18$26.81$22.0066.8%19.2%96.0%45.8%0.0%18.9%8.7%-28.2K1.2M-4.4K0.2246.58N/AN/A3271,5711,123
2009-03-19$25.17$22.0083.4%23.9%97.5%60.5%50.9%10.4%-18.0%-20.6K1.2M-4.2K1.0684.53N/AN/A31331,5841,122
2009-03-20$23.00$23.0082.7%23.7%100.0%59.8%78.4%11.2%-4.4%-19.8K1.9M-3.5K0.1783.60N/AN/A78131,5731,151
2009-03-23$26.72$23.0065.0%18.6%110.4%44.2%71.2%19.4%3.6%5.2K200.5K-4.1K0.1396.35N/AN/A10013692447
2009-03-24$24.66$23.00124.7%35.8%110.5%97.0%81.3%3.3%-40.6%8.6K-25.5K-4.5K2.1377.94N/AN/A114243792454
2009-03-25$24.58$26.0081.6%23.4%110.4%58.9%76.3%7.5%-4.4%1.0K494.9K-5.1K1.5487.08N/AN/A2640906695
2009-03-26$25.13$26.0077.0%22.1%109.0%54.8%78.2%-2.9%2.7%460423.8K-5.4K0.0376.13N/AN/A1324921730
2009-03-27$24.01$26.0082.9%23.8%110.2%60.0%74.6%23.8%2.7%6.1K373.1K-5.5K0.00104.58N/AN/A1301,053732
2009-03-30$22.70$26.0088.4%25.4%109.6%64.9%90.8%-10.3%15.6%5.2K526.4K-4.9K0.18113.98N/AN/A61111,056732
2009-03-31$24.28$26.0085.2%24.4%112.1%62.1%79.8%10.6%0.6%7.3K483.1K-5.4K0.0064.67N/AN/A5401,096743