VNQ Options History — April 2009

In April 2009, VNQ traded between $24.15 and $32.06. ATM implied volatility averaged 80.6%, placing in the 58.0% IV rank vs the trailing year. The 30-day expected move averaged 23.2%. IV traded below realized volatility by 28.9% (HV 20d: 109.5%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2009-04-23: Highest Volume — 384 contracts
  • 2009-04-06: Largest IV spike — 23.4% change
  • 2009-04-24: Highest IV Rank — 68.6%
  • 2009-04-24: Largest Expected Move — 26.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.04$24.15$32.06$24.15$31.73
Max Pain$27.29$26.00$28.00$26.00$28.00
ATM IV80.6%63.8%92.6%83.3%75.6%
Expected Move23.2%18.5%26.5%23.9%21.7%
HV 20d109.5%100.8%116.2%112.1%100.8%
HV 60d97.8%93.5%101.1%93.5%98.3%
IV Rank58.0%43.2%68.6%60.3%53.6%
IV Percentile70.4%51.2%89.7%73.8%57.5%
Term Structure-5.1%-20.5%19.7%2.5%7.5%
VWIV81.4%64.5%99.2%77.8%65.5%
Skew 25d13.2%-2.5%46.7%20.2%20.2%
Skew 10d16.2%-0.2%32.6%24.8%27.5%
Call IV 25d77.4%51.6%93.8%73.7%65.5%
Put IV 25d90.6%83.4%116.9%93.9%85.7%
Bid-Ask Spread %69.9140.75108.9361.71108.93
Gamma HHI0.150.090.230.120.12
Net GEX4.3K-13.9K19.9K9.8K10.2K
Net DEX-649.6K-1.5M367.6K367.6K-1.5M
Net VEX-8.3K-11.5K-5.6K-5.6K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.006.370.330.07
Total Volume136.2383538481233
Total OI2,440.0951,8933,2641,8933,264

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$24.15$26.0083.3%23.9%112.1%60.3%77.8%20.2%2.5%9.8K367.6K-5.6K0.3361.71N/AN/A61201,150743
2009-04-02$25.90$26.0073.7%21.1%111.6%51.9%0.0%20.1%5.4%13.6K110.8K-6.3K0.2192.17N/AN/A2961,191763
2009-04-03$28.13$27.0063.8%22.0%114.1%43.2%83.2%3.4%-10.6%19.9K-581.6K-6.3K0.0358.87N/AN/A8021,220760
2009-04-06$27.81$27.0078.8%22.2%114.5%56.4%73.6%13.4%1.7%17.6K-659.6K-7.1K0.0052.27N/AN/A3701,282758
2009-04-07$25.73$27.0079.5%23.3%109.8%57.0%82.9%15.2%-2.2%16.3K-283.1K-6.5K1.5641.41N/AN/A16251,295758
2009-04-08$26.11$27.0080.5%22.3%109.7%57.9%88.6%15.3%-0.4%18.6K-91.0K-6.5K0.0040.75N/AN/A0351,296783
2009-04-09$29.61$27.0064.6%18.5%115.1%43.9%70.5%29.7%-8.1%13.8K-972.1K-7.2K3.5181.88N/AN/A742601,296817
2009-04-13$29.70$27.0077.8%22.3%114.6%55.5%77.9%5.5%-4.3%427-1.4M-7.5K0.3749.73N/AN/A120441,3601,060
2009-04-14$27.18$27.0090.7%26.0%115.3%66.9%80.3%14.5%-7.0%12.3K-770.0K-7.5K0.8365.26N/AN/A23191,4351,036
2009-04-15$29.54$27.0078.9%22.6%116.2%56.5%79.3%13.3%1.9%8.8K-1.0M-7.7K5.9568.42N/AN/A392321,4251,055
2009-04-16$30.53$27.0090.4%25.9%115.3%66.7%99.2%6.0%-18.0%-2.8K-1.3M-7.7K0.6860.76N/AN/A40271,2551,185
2009-04-17$31.08$27.0081.9%23.5%112.4%59.2%87.9%5.2%-8.6%-2.2K-1.5M-8.0K0.4870.09N/AN/A50241,2931,211
2009-04-20$27.88$27.0083.5%23.9%114.8%60.6%85.2%32.6%-17.6%-5.8K-16.0K-7.7K6.3771.11N/AN/A352231,0181,010
2009-04-21$30.35$28.0073.9%21.2%106.2%52.1%64.5%46.7%19.7%-13.9K61.5K-8.3K0.8098.05N/AN/A97781,0401,213
2009-04-22$29.29$28.0083.9%24.1%102.5%60.9%84.8%5.4%-8.1%-8.5K-201.2K-9.0K0.9167.24N/AN/A106961,1251,284
2009-04-23$30.61$28.0079.2%22.7%103.2%56.8%86.1%5.0%-6.9%-13.0K-339.7K-9.2K1.2361.83N/AN/A1722121,2041,368
2009-04-24$32.06$28.0092.6%26.5%103.9%68.6%0.0%-2.5%-20.5%-1.2K-1.1M-10.7K0.1783.03N/AN/A88151,3721,580
2009-04-27$30.14$28.0089.2%25.6%105.2%65.6%89.8%0.1%-11.9%-4.1K-577.8K-11.1K1.4868.40N/AN/A23341,4571,595
2009-04-28$30.54$28.0084.7%24.3%102.1%61.6%87.5%4.7%-7.8%-5.7K-662.4K-11.2K0.2773.91N/AN/A75201,4711,629
2009-04-29$31.87$28.0086.0%24.7%100.8%62.8%0.0%2.7%-13.2%5.3K-1.2M-11.5K0.4292.31N/AN/A64271,5461,639
2009-04-30$31.73$28.0075.6%21.7%100.8%53.6%65.5%20.2%7.5%10.2K-1.5M-11.5K0.07108.93N/AN/A218151,6091,655