VNQ Options History — June 2009 In June 2009, VNQ traded between $29.81 and $34.53. ATM implied volatility averaged 48.7%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 2.8% (HV 20d: 51.5%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 2.07.
Notable Days 2009-06-17 : Highest Volume — 400 contracts2009-06-05 : Largest IV spike — 25.7% change2009-06-05 : Highest IV Rank — 43.0%2009-06-05 : Largest Expected Move — 17.0%Monthly Statistics Metric Avg Min Max Open Close Price $32.17 $29.81 $34.53 $34.23 $31.01 Max Pain $30.82 $30.00 $31.00 $30.00 $31.00 ATM IV 48.7% 34.9% 64.1% 56.6% 37.7% Expected Move 13.8% 10.0% 17.0% 16.2% 10.8% HV 20d 51.5% 35.5% 72.4% 72.4% 35.5% HV 60d 83.3% 71.6% 94.5% 94.4% 71.6% IV Rank 29.2% 16.9% 43.0% 36.3% 19.5% IV Percentile 26.4% 8.3% 40.5% 33.7% 13.5% Term Structure 1.1% -14.6% 9.4% -0.3% 5.2% VWIV 48.0% 36.2% 64.2% 60.6% 37.7% Skew 25d 10.4% 1.1% 45.4% 15.0% 8.2% Skew 10d 20.3% -11.0% 44.3% 19.8% 16.9% Call IV 25d 42.4% 28.0% 63.7% 43.6% 31.2% Put IV 25d 52.7% 36.3% 85.2% 58.6% 39.4% Bid-Ask Spread % 85.28 30.74 144.47 112.20 104.59 Gamma HHI 0.15 0.10 0.28 0.14 0.14 Net GEX 54.6K -32.0K 187.1K 94.8K -15.4K Net DEX -1.6M -3.7M 276.6K -3.2M -361.5K Net VEX -13.6K -15.4K -12.3K -13.3K -14.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.07 0.06 6.97 0.06 1.12 Total Volume 140.955 15 400 56 155 Total OI 4,106.818 2,521 5,151 4,260 2,988
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2009-06-01 $34.23 $30.00 56.6% 16.2% 72.4% 36.3% 60.6% 15.0% -0.3% 94.8K -3.2M -13.3K 0.06 112.20 N/A N/A 53 3 2,333 1,927 2009-06-02 $33.52 $30.00 57.8% 16.6% 67.4% 37.4% 53.8% 9.4% -3.0% 83.6K -3.1M -13.9K 0.07 97.70 N/A N/A 14 1 2,367 1,928 2009-06-03 $33.46 $30.00 56.5% 16.2% 65.9% 36.2% 50.7% 10.5% 0.3% 87.4K -2.9M -13.8K 0.69 85.99 N/A N/A 32 22 2,377 1,929 2009-06-04 $34.53 $30.00 51.0% 14.6% 65.5% 31.3% 48.1% 9.1% 2.8% 109.5K -3.7M -12.9K 1.17 103.73 N/A N/A 109 127 2,397 1,936 2009-06-05 $34.44 $31.00 64.1% 17.0% 61.5% 43.0% 53.8% 8.1% -3.9% 89.2K -3.6M -15.4K 2.83 142.28 N/A N/A 6 17 2,489 2,063 2009-06-08 $33.81 $31.00 55.8% 15.3% 57.7% 35.5% 59.2% 11.8% 1.3% 107.2K -3.4M -14.4K 3.89 32.55 N/A N/A 9 35 2,495 2,061 2009-06-09 $33.81 $31.00 55.2% 14.6% 55.8% 35.1% 49.8% 8.6% 5.3% 117.0K -3.3M -14.1K 3.97 30.74 N/A N/A 32 127 2,504 2,076 2009-06-10 $33.22 $31.00 53.0% 14.6% 56.2% 33.0% 55.7% 8.7% 2.5% 111.6K -2.7M -14.2K 6.97 52.12 N/A N/A 30 209 2,535 2,193 2009-06-11 $32.54 $31.00 47.4% 13.6% 50.7% 28.1% 53.2% 10.6% 5.3% 106.2K -2.3M -14.3K 2.18 53.08 N/A N/A 39 85 2,535 2,392 2009-06-12 $33.72 $31.00 48.0% 13.8% 51.5% 28.6% 49.7% 9.0% 3.4% 187.1K -2.9M -13.2K 1.89 63.73 N/A N/A 28 53 2,560 2,437 2009-06-15 $32.12 $31.00 50.5% 14.5% 53.2% 30.9% 44.3% 45.4% -14.6% 107.1K -1.7M -13.2K 0.25 72.22 N/A N/A 83 21 2,582 2,454 2009-06-16 $31.53 $31.00 47.8% 13.7% 46.1% 28.5% 51.6% 7.3% 1.8% 69.0K -1.2M -13.3K 4.37 68.14 N/A N/A 19 83 2,646 2,465 2009-06-17 $30.93 $31.00 44.6% 12.8% 46.1% 25.6% 64.2% 1.1% 0.1% 23.5K -909.8K -14.0K 5.25 113.41 N/A N/A 64 336 2,642 2,509 2009-06-18 $31.14 $31.00 50.4% 14.4% 46.0% 30.7% 51.3% 6.4% 0.7% 18.9K -565.8K -12.3K 0.69 59.36 N/A N/A 138 95 2,654 2,332 2009-06-19 $31.45 $31.00 48.0% 13.8% 46.2% 28.7% 38.5% 9.4% 1.3% 50.1K -883.0K -12.7K 1.01 55.61 N/A N/A 148 149 2,706 2,360 2009-06-22 $29.81 $31.00 43.6% 12.5% 49.3% 24.7% 36.2% 16.9% -0.8% -18.4K 104.0K -12.6K 4.24 144.47 N/A N/A 25 106 1,222 1,299 2009-06-23 $30.03 $31.00 45.5% 13.0% 44.3% 26.4% 41.4% 5.7% 0.8% -23.7K 276.6K -12.9K 1.32 89.73 N/A N/A 111 146 1,227 1,362 2009-06-24 $30.19 $31.00 44.0% 12.6% 42.6% 25.1% 36.8% 7.5% 3.1% -28.1K 185.8K -13.7K 0.82 90.14 N/A N/A 51 42 1,282 1,473 2009-06-25 $30.59 $31.00 38.6% 11.1% 42.5% 20.2% 40.8% 7.8% -0.9% -32.0K 206.8K -13.6K 0.62 91.69 N/A N/A 65 40 1,327 1,489 2009-06-26 $30.85 $31.00 34.9% 10.0% 40.8% 16.9% 38.7% 7.4% 9.4% -25.4K -97.3K -14.0K 0.81 97.97 N/A N/A 43 35 1,377 1,509 2009-06-29 $30.83 $31.00 39.9% 11.4% 35.8% 21.4% 39.7% 4.3% 5.4% -18.4K -214.8K -13.9K 1.25 114.79 N/A N/A 51 64 1,418 1,493 2009-06-30 $31.01 $31.00 37.7% 10.8% 35.5% 19.5% 37.7% 8.2% 5.2% -15.4K -361.5K -14.2K 1.12 104.59 N/A N/A 73 82 1,458 1,530
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