VNQ Options History — November 2009

In November 2009, VNQ traded between $39.31 and $43.12. ATM implied volatility averaged 34.7%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 2.0% (HV 20d: 36.7%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.98.

Notable Days

  • 2009-11-25: Highest Volume — 240 contracts
  • 2009-11-23: Largest IV drop — 11.8% change
  • 2009-11-04: Highest IV Rank — 9.3%
  • 2009-11-04: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.42$39.31$43.12$39.59$42.20
Max Pain$39.40$39.00$41.00$41.00$39.00
ATM IV34.7%29.6%39.9%39.1%30.9%
Expected Move10.1%8.5%11.4%11.2%8.8%
HV 20d36.7%32.2%40.2%34.2%33.9%
HV 60d37.7%36.0%39.5%38.3%36.8%
IV Rank4.2%0.0%9.3%8.5%1.3%
IV Percentile7.1%0.0%18.7%15.5%1.2%
Term Structure2.1%-1.0%6.6%1.3%3.2%
VWIV34.3%27.6%39.9%39.1%31.3%
Skew 25d6.0%0.2%13.1%2.3%13.1%
Skew 10d11.5%-7.3%28.1%5.4%28.1%
Call IV 25d32.4%24.5%39.8%38.4%24.7%
Put IV 25d38.4%30.7%42.3%40.7%37.9%
Bid-Ask Spread %66.3651.4283.2851.4283.28
Gamma HHI0.180.150.340.160.17
Net GEX247.2K97.6K477.7K126.0K157.8K
Net DEX-6.0M-9.9M-2.7M-2.7M-6.5M
Net VEX-23.4K-29.5K-16.9K-28.3K-16.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.0110.000.700.61
Total Volume95.951124073111
Total OI6,850.15,4117,4696,9735,738

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$39.59$41.0039.1%11.2%34.2%8.5%39.1%2.3%1.3%126.0K-2.7M-28.3K0.7051.42N/AN/A43303,8503,123
2009-11-03$40.17$41.0038.5%11.0%34.7%7.9%37.2%3.8%2.1%140.3K-3.4M-28.9K0.2952.59N/AN/A143413,8773,142
2009-11-04$39.31$41.0039.9%11.4%35.5%9.3%0.0%0.2%1.2%128.3K-3.0M-29.5K0.2858.77N/AN/A102293,9573,175
2009-11-05$40.20$41.0037.8%10.8%35.8%7.2%37.2%4.9%2.3%151.2K-3.4M-28.7K0.1552.84N/AN/A1323,9683,198
2009-11-06$39.54$39.0034.5%10.7%36.0%3.8%39.9%5.5%-0.3%131.7K-2.8M-28.9K1.5766.84N/AN/A30473,9783,198
2009-11-09$41.49$39.0032.9%10.2%40.2%2.2%32.4%9.0%2.7%251.6K-5.9M-25.2K0.1466.57N/AN/A72103,9963,210
2009-11-10$41.18$39.0034.6%10.4%40.0%3.9%38.0%7.0%1.3%241.5K-5.4M-26.6K0.1658.13N/AN/A158264,0353,210
2009-11-11$41.95$39.0033.1%10.1%38.4%2.4%36.3%6.7%1.6%291.4K-7.0M-26.6K1.0754.10N/AN/A58624,0863,214
2009-11-12$41.52$39.0035.7%10.2%38.4%5.0%34.5%5.9%0.1%281.7K-6.4M-26.4K0.2558.59N/AN/A60154,1103,259
2009-11-13$42.08$39.0035.0%10.0%37.4%4.5%28.4%8.5%3.4%314.0K-7.0M-25.2K10.0073.08N/AN/A1104,1233,274
2009-11-16$43.10$39.0034.5%9.9%37.6%4.0%33.5%3.5%2.6%429.7K-9.7M-21.6K0.5771.10N/AN/A60344,1223,274
2009-11-17$42.35$39.0035.3%10.1%37.5%4.8%35.2%3.5%3.1%410.4K-8.8M-21.3K0.2569.74N/AN/A44114,1523,276
2009-11-18$43.12$39.0034.3%9.8%37.5%3.7%34.2%8.0%6.6%466.2K-9.9M-20.3K0.2469.27N/AN/A41104,1803,285
2009-11-19$42.13$39.0035.2%10.1%37.7%4.7%35.5%8.1%1.2%463.0K-7.6M-20.8K0.3767.37N/AN/A41154,1833,286
2009-11-20$41.83$39.0036.8%10.5%37.5%6.3%39.0%5.8%0.3%477.7K-6.9M-20.1K0.8565.79N/AN/A34294,0173,142
2009-11-23$42.36$39.0032.4%9.3%37.7%1.7%29.2%7.5%2.5%97.6K-6.5M-17.6K0.0177.96N/AN/A19312,7752,636
2009-11-24$41.73$39.0030.7%8.8%37.7%0.0%31.7%4.7%4.3%122.0K-5.8M-18.6K0.6874.34N/AN/A40272,9222,637
2009-11-25$41.90$39.0029.6%8.5%33.8%0.0%27.6%6.3%3.4%134.5K-6.2M-18.1K0.2281.35N/AN/A197432,9572,664
2009-11-27$40.68$39.0033.0%9.5%32.2%3.5%30.8%5.2%-1.0%126.8K-4.6M-19.1K1.1274.14N/AN/A17193,0712,702
2009-11-30$42.20$39.0030.9%8.8%33.9%1.3%31.3%13.1%3.2%157.8K-6.5M-16.9K0.6183.28N/AN/A69423,0362,702