VNQ Options History — August 2009

In August 2009, VNQ traded between $34.97 and $40.12. ATM implied volatility averaged 42.9%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 2.3% (HV 20d: 40.6%). Max pain ranged from $31.00 to $36.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2009-08-11: Highest Volume — 1,252 contracts
  • 2009-08-04: Largest IV spike — 22.0% change
  • 2009-08-11: Highest IV Rank — 30.1%
  • 2009-08-17: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.20$34.97$40.12$34.97$39.27
Max Pain$34.71$31.00$36.00$31.00$36.00
ATM IV42.9%30.8%49.7%30.8%39.9%
Expected Move12.2%8.8%13.9%8.8%11.4%
HV 20d40.6%33.9%44.4%35.6%43.1%
HV 60d43.0%39.8%47.1%47.1%40.0%
IV Rank24.1%13.3%30.1%13.3%21.4%
IV Percentile19.8%1.6%29.4%1.6%13.5%
Term Structure0.7%-2.9%7.4%7.4%1.5%
VWIV43.9%31.4%55.1%31.4%42.0%
Skew 25d5.8%0.5%10.3%5.1%8.0%
Skew 10d11.1%-4.7%20.0%11.5%-4.7%
Call IV 25d40.9%30.6%46.5%30.6%37.6%
Put IV 25d46.7%35.7%54.5%35.7%45.6%
Bid-Ask Spread %62.1549.7777.5255.5655.98
Gamma HHI0.200.110.580.130.29
Net GEX46.1K-258.0K190.6K130.8K79.1K
Net DEX-6.0M-8.5M-3.0M-4.2M-6.2M
Net VEX-23.5K-27.7K-17.4K-17.4K-27.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.163.420.230.58
Total Volume368.048381,25233138
Total OI6,261.0484,0068,0574,0066,065

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$34.97$31.0030.8%8.8%35.6%13.3%31.4%5.1%7.4%130.8K-4.2M-17.4K0.2355.56N/AN/A269622,4851,521
2009-08-04$36.88$31.0037.6%10.8%34.9%19.4%36.8%0.5%1.2%126.4K-6.2M-17.4K2.6573.21N/AN/A2205822,6981,562
2009-08-05$38.29$32.0038.2%10.9%35.1%19.9%40.0%1.2%0.0%72.2K-7.1M-19.1K0.9576.68N/AN/A1721632,8232,084
2009-08-06$38.00$32.0043.0%12.3%33.9%24.1%43.7%1.5%-0.5%65.0K-7.1M-20.7K2.0169.76N/AN/A2254532,9542,234
2009-08-07$40.12$35.0046.4%12.9%36.2%27.2%45.1%1.5%-2.2%26.2K-8.4M-22.2K2.2449.77N/AN/A721613,1192,616
2009-08-10$39.26$35.0048.4%13.6%37.9%29.0%53.0%5.5%-1.8%16.6K-7.5M-23.0K0.9351.10N/AN/A3343123,1422,750
2009-08-11$38.12$35.0049.7%13.8%40.9%30.1%48.0%6.7%-2.9%6.8K-5.8M-25.8K0.7753.76N/AN/A7085443,1353,030
2009-08-12$38.40$35.0048.9%13.4%39.9%29.4%45.7%4.9%0.3%42.7K-6.8M-26.8K0.2264.03N/AN/A5771293,7073,492
2009-08-13$38.60$35.0044.6%12.8%39.9%25.6%46.3%6.3%1.0%138.5K-7.4M-27.7K0.8954.73N/AN/A44394,1993,508
2009-08-14$38.28$35.0044.8%12.8%38.1%25.8%47.0%7.1%1.0%110.8K-6.7M-26.6K1.3258.89N/AN/A1131494,1213,523
2009-08-17$36.24$35.0048.7%13.9%43.6%29.2%54.4%6.3%1.2%13.0K-3.0M-25.7K3.4253.97N/AN/A672294,2253,568
2009-08-18$36.60$35.0048.2%13.8%43.5%28.8%55.1%10.1%-1.6%-30.7K-3.5M-25.4K0.2254.05N/AN/A324714,2333,700
2009-08-19$36.31$35.0047.5%13.6%43.8%28.2%45.5%10.3%-1.0%-13.2K-3.0M-24.5K0.6753.03N/AN/A104704,3863,671
2009-08-20$37.76$36.0044.9%12.9%43.8%25.8%44.3%8.2%-1.4%-258.0K-5.9M-22.5K0.9162.90N/AN/A55504,2843,600
2009-08-21$38.75$36.0042.3%12.1%44.3%23.6%45.8%6.7%2.5%190.6K-8.5M-22.1K0.7974.70N/AN/A72574,3143,640
2009-08-24$38.62$36.0042.4%12.2%44.4%23.7%42.4%6.5%-0.4%20.6K-4.8M-21.5K2.2760.61N/AN/A641452,4932,453
2009-08-25$39.05$36.0041.4%11.9%44.3%22.7%41.1%7.7%1.0%19.0K-5.1M-22.6K0.6971.34N/AN/A48332,5542,587
2009-08-26$39.17$36.0039.9%11.4%43.7%21.4%38.3%5.5%1.5%21.6K-5.2M-22.5K0.1675.55N/AN/A591952,5862,614
2009-08-27$39.55$36.0036.6%10.5%42.6%18.4%37.7%7.8%4.8%87.4K-6.5M-26.6K0.1677.52N/AN/A88143,1742,706
2009-08-28$39.90$36.0036.7%10.5%42.5%18.5%39.3%4.0%3.8%101.8K-7.1M-25.8K1.5857.99N/AN/A721143,2112,715
2009-08-31$39.27$36.0039.9%11.4%43.1%21.4%42.0%8.0%1.5%79.1K-6.2M-27.1K0.5855.98N/AN/A24143,2422,823