VNQ Options History — May 2009

In May 2009, VNQ traded between $29.61 and $33.39. ATM implied volatility averaged 69.9%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded below realized volatility by 14.4% (HV 20d: 84.2%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 2.61.

Notable Days

  • 2009-05-27: Highest Volume — 238 contracts
  • 2009-05-07: Largest IV spike — 31.5% change
  • 2009-05-08: Highest IV Rank — 72.8%
  • 2009-05-26: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.59$29.61$33.39$30.69$32.56
Max Pain$29.90$28.00$30.00$28.00$30.00
ATM IV69.9%53.5%97.4%74.5%53.5%
Expected Move19.0%15.3%22.2%21.4%15.3%
HV 20d84.2%70.7%100.6%99.8%71.6%
HV 60d97.3%95.0%99.6%98.4%95.1%
IV Rank48.3%33.5%72.8%52.6%33.5%
IV Percentile50.4%32.9%91.7%54.8%32.9%
Term Structure-5.9%-29.5%2.6%-4.7%2.6%
VWIV66.1%49.1%76.6%73.4%55.5%
Skew 25d13.8%5.5%33.1%5.5%5.5%
Skew 10d33.8%8.4%59.3%31.4%29.1%
Call IV 25d58.0%34.7%73.4%73.4%53.8%
Put IV 25d71.8%59.2%85.8%78.9%59.2%
Bid-Ask Spread %81.6754.42121.9492.7694.58
Gamma HHI0.120.100.140.140.13
Net GEX36.3K6.3K66.2K6.3K66.2K
Net DEX-1.6M-2.4M-918.6K-1.1M-2.1M
Net VEX-13.3K-14.3K-11.4K-12.0K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.610.0423.001.152.41
Total Volume127.43123899116
Total OI3,926.453,3954,5063,3954,145

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$30.69$28.0074.5%21.4%99.8%52.6%73.4%5.5%-4.7%6.3K-1.1M-12.0K1.1592.76N/AN/A46531,7301,665
2009-05-04$33.22$30.0090.8%19.7%99.5%67.0%68.8%13.3%-2.9%27.4K-2.0M-11.4K0.8267.72N/AN/A114931,7631,716
2009-05-05$31.98$30.0078.9%20.3%100.6%56.5%76.6%14.0%-4.5%20.9K-1.9M-12.1K23.0054.42N/AN/A61381,8441,777
2009-05-06$33.20$30.0058.0%19.0%96.0%38.0%65.2%15.2%-2.9%25.2K-2.1M-12.1K0.4160.05N/AN/A112461,8471,914
2009-05-07$31.30$30.0076.3%20.7%99.3%54.2%71.3%6.9%-13.1%19.9K-1.6M-12.8K2.0480.56N/AN/A761551,9431,949
2009-05-08$33.39$30.0097.4%16.4%91.8%72.8%71.4%33.1%-1.2%24.3K-2.4M-13.7K4.2995.80N/AN/A7301,9972,092
2009-05-11$32.12$30.0079.1%19.2%93.2%56.7%65.3%14.5%-8.2%28.2K-2.0M-13.4K0.8455.47N/AN/A37312,0022,117
2009-05-12$32.03$30.0075.2%19.6%86.6%53.2%72.6%11.8%-11.4%37.7K-2.0M-13.5K0.9984.55N/AN/A99982,0242,146
2009-05-13$29.93$30.0060.6%21.3%85.9%40.3%63.2%14.3%-9.4%15.4K-918.6K-13.2K0.5366.55N/AN/A142752,0872,225
2009-05-14$30.64$30.0071.8%20.6%85.4%50.2%72.6%12.4%-13.1%32.4K-1.2M-13.4K0.0474.52N/AN/A7932,1492,295
2009-05-15$29.61$30.0064.6%18.5%86.0%43.4%70.7%12.7%-0.1%19.3K-974.2K-13.5K0.3867.91N/AN/A99382,2122,294
2009-05-18$31.99$30.0066.9%19.2%80.7%45.5%67.4%10.3%-3.6%40.1K-1.5M-13.5K2.4992.92N/AN/A591472,0941,535
2009-05-19$31.38$30.0062.8%18.0%75.7%41.8%62.6%13.5%-1.9%47.3K-1.6M-14.3K0.4876.62N/AN/A62302,1451,548
2009-05-20$31.13$30.0062.8%18.0%74.5%41.8%69.9%15.8%-2.7%53.5K-1.8M-14.2K1.9296.09N/AN/A13252,2071,538
2009-05-21$31.22$30.0062.1%17.8%72.9%41.2%60.2%12.8%-2.8%47.5K-1.3M-14.2K0.7078.97N/AN/A50352,2181,559
2009-05-22$30.45$30.0065.1%18.7%71.4%43.9%67.9%9.9%-2.0%50.1K-1.3M-13.9K0.9492.00N/AN/A16152,2551,584
2009-05-26$32.26$30.0077.5%22.2%70.9%54.9%49.1%32.5%-29.5%56.2K-1.9M-13.6K4.10121.94N/AN/A10412,2681,599
2009-05-27$31.09$30.0062.3%17.8%72.2%41.3%61.0%10.9%-6.7%59.5K-1.6M-13.5K4.4192.58N/AN/A441942,2721,639
2009-05-28$31.52$30.0057.0%16.3%70.7%36.6%56.9%10.3%0.4%49.2K-1.4M-14.2K0.3187.45N/AN/A87272,3121,823
2009-05-29$32.56$30.0053.5%15.3%71.6%33.5%55.5%5.5%2.6%66.2K-2.1M-13.7K2.4194.58N/AN/A34822,3001,845