VNQ Options History — July 2009 In July 2009, VNQ traded between $28.57 and $34.38. ATM implied volatility averaged 37.1%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 2.9% (HV 20d: 40.1%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.78.
Notable Days 2009-07-30 : Highest Volume — 285 contracts2009-07-16 : Largest IV spike — 24.6% change2009-07-20 : Highest IV Rank — 24.4%2009-07-08 : Largest Expected Move — 12.9%Monthly Statistics Metric Avg Min Max Open Close Price $31.41 $28.57 $34.38 $31.55 $34.35 Max Pain $30.59 $30.00 $31.00 $31.00 $31.00 ATM IV 37.1% 32.1% 43.3% 32.1% 33.2% Expected Move 11.0% 9.2% 12.9% 9.2% 9.5% HV 20d 40.1% 36.0% 43.1% 36.3% 36.0% HV 60d 58.2% 48.5% 71.6% 71.6% 48.5% IV Rank 18.9% 14.4% 24.4% 14.4% 15.5% IV Percentile 11.7% 2.4% 22.6% 2.4% 5.2% Term Structure 3.2% -0.5% 9.2% 6.5% 6.2% VWIV 37.6% 28.5% 44.6% 28.5% 32.2% Skew 25d 6.5% -0.7% 23.2% 9.3% 3.9% Skew 10d 9.3% -2.7% 31.0% 8.8% 11.5% Call IV 25d 35.4% 23.9% 42.2% 28.4% 30.9% Put IV 25d 41.9% 34.8% 47.5% 37.7% 34.8% Bid-Ask Spread % 46.74 28.13 96.46 90.52 63.47 Gamma HHI 0.16 0.12 0.22 0.13 0.13 Net GEX 31.0K -56.5K 118.2K -7.0K 118.2K Net DEX -958.6K -3.7M 1.4M -530.6K -3.7M Net VEX -14.9K -17.9K -12.6K -14.9K -17.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.04 4.41 0.19 0.24 Total Volume 128.5 31 285 141 160 Total OI 3,382.182 2,928 3,899 3,099 3,899
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 2009-07-01 $31.55 $31.00 32.1% 9.2% 36.3% 14.4% 28.5% 9.3% 6.5% -7.0K -530.6K -14.9K 0.19 90.52 N/A N/A 118 23 1,518 1,581 2009-07-02 $29.88 $31.00 34.3% 9.8% 38.2% 16.4% 37.2% -0.7% 9.2% -19.5K 185.2K -14.3K 0.07 96.46 N/A N/A 29 2 1,636 1,604 2009-07-06 $30.63 $30.00 36.3% 12.0% 39.9% 18.2% 42.1% 23.2% 0.3% -13.3K 184.6K -14.2K 2.88 28.13 N/A N/A 8 23 1,650 1,605 2009-07-07 $29.44 $30.00 42.0% 12.5% 41.4% 23.3% 0.0% 3.9% 3.7% -29.5K 502.6K -13.8K 0.25 32.87 N/A N/A 40 10 1,654 1,613 2009-07-08 $29.16 $30.00 43.2% 12.9% 41.4% 24.4% 43.5% 12.2% 5.1% -41.1K 932.7K -13.6K 0.15 39.83 N/A N/A 41 6 1,681 1,609 2009-07-09 $28.61 $30.00 42.9% 12.7% 41.4% 24.1% 44.6% 6.6% 2.2% -46.1K 1.1M -12.9K 0.04 32.02 N/A N/A 54 2 1,701 1,613 2009-07-10 $28.57 $30.00 38.0% 12.4% 41.2% 19.7% 39.3% 7.5% 1.5% -51.3K 1.4M -12.6K 1.35 38.96 N/A N/A 77 104 1,752 1,615 2009-07-13 $29.65 $30.00 39.0% 12.0% 41.4% 20.6% 39.0% 6.7% -0.5% -56.5K 723.0K -13.3K 0.17 30.88 N/A N/A 162 27 1,809 1,664 2009-07-14 $30.01 $30.00 41.7% 12.0% 38.7% 23.0% 37.3% 9.7% 0.6% -36.7K 179.8K -14.3K 0.17 32.15 N/A N/A 105 18 1,959 1,671 2009-07-15 $31.12 $30.00 32.2% 11.5% 40.7% 14.5% 39.3% 7.0% 1.1% 48.0K -928.8K -15.0K 0.32 37.40 N/A N/A 122 39 2,042 1,685 2009-07-16 $31.48 $30.00 40.1% 11.5% 40.3% 21.6% 38.6% 7.5% -0.0% 64.0K -1.2M -15.6K 1.05 37.29 N/A N/A 21 22 2,138 1,708 2009-07-17 $30.64 $31.00 39.7% 11.4% 41.4% 21.2% 43.4% 5.6% 3.5% 58.8K -696.9K -13.9K 4.41 33.96 N/A N/A 37 163 2,000 1,597 2009-07-20 $31.72 $31.00 43.3% 12.4% 43.1% 24.4% 38.0% 5.1% 0.9% 50.5K -1.1M -14.1K 0.28 41.72 N/A N/A 109 31 1,726 1,202 2009-07-21 $31.63 $31.00 36.1% 10.3% 38.2% 18.0% 37.6% 7.5% 4.5% 60.9K -1.2M -14.2K 1.56 30.34 N/A N/A 32 50 1,816 1,191 2009-07-22 $31.67 $31.00 35.6% 10.2% 38.2% 17.6% 35.9% 5.5% 3.4% 64.9K -1.3M -14.9K 0.22 37.91 N/A N/A 63 14 1,838 1,229 2009-07-23 $32.93 $31.00 37.5% 10.8% 40.3% 19.3% 36.8% 1.4% 1.8% 76.7K -2.1M -15.6K 0.70 53.15 N/A N/A 92 64 1,896 1,241 2009-07-24 $33.16 $31.00 32.2% 9.2% 40.2% 14.5% 34.9% 5.1% 4.9% 86.2K -2.3M -15.8K 0.80 44.91 N/A N/A 69 55 1,976 1,266 2009-07-27 $33.64 $31.00 34.9% 10.0% 40.3% 17.0% 37.7% 3.6% 3.1% 84.8K -2.6M -16.0K 0.59 46.72 N/A N/A 138 82 2,020 1,311 2009-07-28 $33.61 $31.00 34.9% 10.0% 40.3% 16.9% 34.8% 3.7% 3.2% 84.6K -2.6M -16.6K 1.21 48.13 N/A N/A 76 92 2,074 1,364 2009-07-29 $33.19 $31.00 34.9% 10.0% 40.7% 17.0% 35.7% 6.7% 4.0% 87.8K -2.5M -16.9K 0.32 56.60 N/A N/A 123 39 2,127 1,431 2009-07-30 $34.38 $31.00 32.8% 9.4% 42.0% 15.1% 33.1% 2.8% 5.4% 97.9K -3.5M -17.3K 0.29 74.79 N/A N/A 221 64 2,240 1,456 2009-07-31 $34.35 $31.00 33.2% 9.5% 36.0% 15.5% 32.2% 3.9% 6.2% 118.2K -3.7M -17.9K 0.24 63.47 N/A N/A 129 31 2,409 1,490
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