VNQ Options History — September 2009

In September 2009, VNQ traded between $36.42 and $44.28. ATM implied volatility averaged 41.6%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 2.2% (HV 20d: 39.4%). Max pain ranged from $36.00 to $41.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.98.

Notable Days

  • 2009-09-21: Highest Volume — 610 contracts
  • 2009-09-04: Largest IV drop — 14.8% change
  • 2009-09-01: Highest IV Rank — 25.2%
  • 2009-09-01: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.90$36.42$44.28$37.17$41.45
Max Pain$38.67$36.00$41.00$36.00$41.00
ATM IV41.6%36.8%44.2%44.2%43.0%
Expected Move12.0%11.2%12.7%12.7%12.3%
HV 20d39.4%33.9%44.5%44.4%39.3%
HV 60d40.4%38.8%41.8%41.5%39.7%
IV Rank22.9%18.7%25.2%25.2%24.1%
IV Percentile16.5%8.3%21.8%21.8%20.2%
Term Structure1.0%-1.3%3.0%0.2%1.1%
VWIV43.0%37.0%47.9%47.0%43.3%
Skew 25d6.4%2.1%10.9%4.1%2.1%
Skew 10d10.1%-4.8%31.8%5.0%12.6%
Call IV 25d39.8%36.2%43.0%43.0%41.8%
Put IV 25d46.1%43.4%48.9%47.1%43.9%
Bid-Ask Spread %41.9417.1578.3178.3155.75
Gamma HHI0.220.080.450.220.08
Net GEX30.0K-25.4K102.5K63.1K-9.1K
Net DEX-6.4M-12.9M-2.6M-3.9M-3.6M
Net VEX-24.8K-28.8K-18.3K-26.8K-27.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.009.683.650.67
Total Volume242.1930610432200
Total OI6,116.7623,9087,6256,1015,035

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$37.17$36.0044.2%12.7%44.4%25.2%47.0%4.1%0.2%63.1K-3.9M-26.8K3.6578.31N/AN/A933393,2542,847
2009-09-02$36.42$36.0043.7%12.5%42.7%24.8%43.9%7.8%0.8%41.0K-2.6M-28.1K2.6568.65N/AN/A37983,3313,144
2009-09-03$37.15$36.0043.2%12.4%43.4%24.4%41.1%8.8%1.4%44.5K-2.9M-28.0K0.9454.20N/AN/A89843,3423,218
2009-09-04$37.58$38.0036.8%12.6%38.5%18.7%43.1%6.2%0.6%46.1K-3.7M-28.2K0.1722.87N/AN/A5293,4223,301
2009-09-08$38.89$38.0040.9%12.4%40.0%22.3%42.3%6.7%0.3%76.5K-5.8M-26.6K0.2117.15N/AN/A312663,4103,308
2009-09-09$39.65$38.0044.0%11.9%39.1%25.0%43.6%4.3%-1.3%87.5K-7.2M-26.4K1.4223.04N/AN/A26373,4783,334
2009-09-10$40.24$38.0041.5%11.9%39.3%22.8%43.0%5.5%1.3%102.5K-8.3M-25.0K1.4226.31N/AN/A1161653,4903,344
2009-09-11$40.17$38.0039.8%11.4%39.3%21.4%42.4%3.7%1.3%85.5K-8.5M-25.1K9.6825.74N/AN/A343293,5543,498
2009-09-14$41.36$38.0041.3%11.8%40.3%22.6%41.3%5.7%2.1%42.4K-10.0M-23.1K0.1133.56N/AN/A2733,5663,809
2009-09-15$42.02$38.0040.4%11.6%33.9%21.8%46.5%6.9%3.0%53.1K-11.7M-20.6K2.1546.45N/AN/A551183,5773,810
2009-09-16$43.73$38.0039.9%11.4%35.8%21.4%42.8%4.5%1.8%34.6K-12.9M-18.6K0.4338.79N/AN/A107463,5793,892
2009-09-17$43.54$39.0041.8%12.0%35.6%23.1%47.9%6.2%-0.7%30.3K-12.7M-18.3K1.8555.01N/AN/A1071983,5453,915
2009-09-18$43.60$40.0040.2%11.5%33.9%21.7%43.5%10.9%0.9%8.9K-12.3M-20.5K0.2235.84N/AN/A172373,5414,084
2009-09-21$42.92$40.0043.0%12.3%34.0%24.2%43.6%8.5%0.1%11.4K-4.7M-21.4K5.3530.76N/AN/A965141,9052,003
2009-09-22$44.28$40.0041.3%11.8%35.1%22.7%41.4%8.8%0.2%-9.4K-4.8M-23.4K0.1731.65N/AN/A122211,9962,490
2009-09-23$42.68$40.0042.6%12.2%38.3%23.8%44.7%4.7%2.2%-2.0K-4.6M-24.1K1.1252.34N/AN/A2132392,1052,497
2009-09-24$40.72$40.0042.9%12.3%42.4%24.1%42.5%5.8%0.0%-19.0K-2.8M-27.2K1.2934.71N/AN/A1261622,1242,599
2009-09-25$40.85$40.0042.0%12.1%42.3%23.3%41.7%9.1%1.8%-25.4K-2.6M-28.8K6.6244.35N/AN/A523442,1992,793
2009-09-28$42.54$40.0038.9%11.2%44.5%20.5%37.0%10.1%1.9%-18.5K-4.0M-25.6K0.0050.16N/AN/A5402,2412,795
2009-09-29$41.85$40.0041.6%11.9%44.5%22.9%40.6%3.8%2.6%-12.9K-3.9M-27.2K1.4055.16N/AN/A781092,2822,795
2009-09-30$41.45$41.0043.0%12.3%39.3%24.1%43.3%2.1%1.1%-9.1K-3.6M-27.0K0.6755.75N/AN/A120802,4012,634