VNQ Options History — October 2009

In October 2009, VNQ traded between $38.54 and $42.22. ATM implied volatility averaged 38.4%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 0.1% (HV 20d: 38.5%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 5.27.

Notable Days

  • 2009-10-09: Highest Volume — 725 contracts
  • 2009-10-12: Largest IV spike — 15.4% change
  • 2009-10-01: Highest IV Rank — 27.1%
  • 2009-10-05: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.63$38.54$42.22$39.59$39.60
Max Pain$41.27$41.00$42.00$42.00$41.00
ATM IV38.4%33.3%46.3%46.3%37.1%
Expected Move11.3%9.6%13.8%13.3%10.6%
HV 20d38.5%31.8%43.0%42.4%35.7%
HV 60d40.0%39.2%40.9%40.9%39.9%
IV Rank8.3%2.6%27.1%27.1%6.5%
IV Percentile11.0%2.4%26.2%26.2%10.7%
Term Structure1.0%-2.4%4.2%-0.4%2.4%
VWIV38.9%32.2%46.5%43.4%37.6%
Skew 25d3.7%-0.4%6.1%-0.4%1.9%
Skew 10d7.0%-3.6%29.3%1.9%7.6%
Call IV 25d37.4%31.0%45.4%44.9%36.5%
Put IV 25d41.1%35.0%47.7%44.5%38.5%
Bid-Ask Spread %36.5616.9168.2068.2054.26
Gamma HHI0.130.080.170.080.15
Net GEX56.8K-54.4K160.7K-8.8K124.6K
Net DEX-3.8M-5.9M-922.1K-2.4M-2.6M
Net VEX-30.9K-33.2K-27.4K-27.4K-30.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.270.0293.008.310.85
Total Volume233.9093172563385
Total OI6,472.55,1476,9895,1476,929

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$39.59$42.0046.3%13.3%42.4%27.1%43.4%-0.4%-0.4%-8.8K-2.4M-27.4K8.3168.20N/AN/A685652,5062,641
2009-10-02$39.31$42.0045.1%12.9%42.2%14.6%46.5%1.9%0.4%-54.4K-922.1K-31.1K0.2063.27N/AN/A5221072,5513,133
2009-10-05$40.39$42.0045.3%13.8%43.0%14.9%42.3%5.4%-1.0%-38.9K-2.3M-33.2K0.3222.61N/AN/A127402,8743,217
2009-10-06$40.28$42.0043.9%13.3%41.4%13.4%44.3%5.7%-2.4%-37.1K-2.5M-32.4K0.6426.21N/AN/A109702,9523,224
2009-10-07$40.25$42.0044.1%13.2%40.9%13.6%45.1%6.0%-1.5%-38.0K-2.4M-32.4K0.5521.89N/AN/A38213,0383,206
2009-10-08$41.02$42.0039.4%12.1%41.1%8.8%41.5%5.9%1.0%-28.5K-3.6M-32.1K0.8122.46N/AN/A103833,0463,227
2009-10-09$41.37$41.0035.4%11.9%41.2%4.7%39.9%5.2%0.1%-21.7K-4.1M-30.9K0.5720.76N/AN/A4632623,1353,172
2009-10-12$41.31$41.0040.9%12.0%39.9%10.3%42.4%4.7%-0.2%16.0K-4.8M-32.0K93.0023.30N/AN/A1933,4453,228
2009-10-13$40.73$41.0039.5%11.9%39.7%8.9%41.7%4.7%-0.2%-20.1K-3.7M-31.8K0.9724.28N/AN/A35343,4453,251
2009-10-14$42.22$41.0038.9%11.6%39.2%8.3%40.8%4.9%-1.2%41.9K-5.9M-30.7K0.5226.66N/AN/A129673,4643,263
2009-10-15$41.86$41.0038.9%11.1%39.3%8.3%39.2%4.1%1.8%67.3K-5.7M-31.1K0.7916.91N/AN/A100793,5753,310
2009-10-16$40.76$41.0039.0%11.2%40.2%8.4%39.6%4.7%2.2%3.1K-4.2M-31.0K1.8628.63N/AN/A981823,6433,346
2009-10-19$41.64$41.0035.9%10.3%40.8%5.2%34.6%5.0%1.6%134.3K-5.4M-29.7K1.6632.46N/AN/A1662753,3082,658
2009-10-20$40.87$41.0035.1%10.1%39.3%4.4%35.5%1.7%1.2%126.5K-4.3M-31.3K1.7332.75N/AN/A1031783,4162,851
2009-10-21$40.35$41.0035.2%10.1%37.6%4.5%35.1%1.0%4.2%116.2K-4.2M-30.7K0.4740.52N/AN/A190893,4923,001
2009-10-22$41.41$41.0033.5%9.6%35.0%2.8%32.2%1.6%2.6%160.7K-5.1M-30.4K1.2935.48N/AN/A48623,6013,033
2009-10-23$40.92$41.0033.3%9.6%35.3%2.6%33.6%2.6%2.9%148.1K-4.6M-31.4K0.3235.97N/AN/A113363,6433,072
2009-10-26$40.82$41.0034.1%9.8%31.9%3.3%33.2%4.3%1.8%157.7K-4.9M-30.8K0.0244.88N/AN/A16333,7053,097
2009-10-27$40.23$41.0034.8%10.0%31.8%4.1%34.5%3.8%1.8%152.0K-4.0M-30.9K0.4151.03N/AN/A2293,8003,097
2009-10-28$38.54$41.0036.0%10.3%34.9%5.3%35.4%0.0%2.4%100.7K-1.6M-29.3K0.1955.66N/AN/A94183,8053,097
2009-10-29$40.30$41.0034.4%9.9%35.2%3.7%36.4%6.1%2.6%148.8K-3.5M-29.3K0.4356.03N/AN/A67293,7863,112
2009-10-30$39.60$41.0037.1%10.6%35.7%6.5%37.6%1.9%2.4%124.6K-2.6M-30.5K0.8554.26N/AN/A46393,8253,104