VNQ Options History — December 2009

In December 2009, VNQ traded between $42.82 and $46.14. ATM implied volatility averaged 27.7%, placing in the 1.5% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 0.5% (HV 20d: 28.2%). Max pain ranged from $39.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.23.

Notable Days

  • 2009-12-03: Highest Volume — 246 contracts
  • 2009-12-07: Largest IV spike — 12.3% change
  • 2009-12-10: Highest IV Rank — 4.2%
  • 2009-12-08: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.27$42.82$46.14$42.82$44.74
Max Pain$43.09$39.00$44.00$39.00$44.00
ATM IV27.7%22.3%32.1%29.7%26.2%
Expected Move8.1%6.4%9.6%8.5%7.5%
HV 20d28.2%20.1%34.3%34.1%20.7%
HV 60d34.1%29.9%36.9%36.9%30.2%
IV Rank1.5%0.0%4.2%0.1%3.8%
IV Percentile1.3%0.0%4.8%0.4%2.8%
Term Structure3.6%1.4%6.9%1.4%2.1%
VWIV29.2%22.5%35.0%30.2%27.0%
Skew 25d4.4%-1.8%13.0%13.0%0.4%
Skew 10d10.2%-5.5%24.4%23.5%-3.4%
Call IV 25d26.6%19.6%33.6%21.3%26.9%
Put IV 25d31.1%21.0%39.5%34.4%27.3%
Bid-Ask Spread %48.7323.2789.7188.4764.02
Gamma HHI0.210.140.440.160.22
Net GEX179.2K22.7K339.7K174.7K44.2K
Net DEX-7.0M-11.4M-1.7M-7.7M-1.7M
Net VEX-12.8K-16.3K-10.2K-16.0K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.230.0326.670.5326.67
Total Volume115.6367246107166
Total OI4,669.6821,6706,4715,8212,046

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$42.82$39.0029.7%8.5%34.1%0.1%30.2%13.0%1.4%174.7K-7.7M-16.0K0.5388.47N/AN/A70373,0832,738
2009-12-02$43.52$39.0028.1%8.0%34.2%0.0%27.0%3.6%3.0%183.2K-9.0M-15.3K0.1188.48N/AN/A91103,1512,755
2009-12-03$43.03$39.0029.9%8.6%33.4%1.9%29.7%0.4%2.7%204.0K-8.8M-15.2K6.6989.71N/AN/A322143,2162,757
2009-12-04$44.30$44.0028.4%9.2%33.9%0.4%34.4%7.2%3.5%196.3K-10.2M-14.9K0.3123.27N/AN/A120373,2422,919
2009-12-07$43.37$44.0031.9%9.3%34.3%4.0%35.0%4.6%3.8%212.4K-8.9M-15.9K0.2324.23N/AN/A138323,3092,954
2009-12-08$43.12$44.0030.6%9.6%30.4%2.7%29.8%3.8%2.2%251.0K-8.9M-16.3K1.8625.30N/AN/A7133,4252,975
2009-12-09$43.03$44.0030.2%9.4%30.2%2.2%33.0%8.7%3.3%270.7K-8.7M-15.8K0.5224.26N/AN/A67353,4242,988
2009-12-10$42.86$44.0032.1%9.2%29.7%4.2%33.7%6.2%3.5%287.5K-8.3M-15.4K5.2527.12N/AN/A8423,4412,993
2009-12-11$43.55$44.0029.4%8.4%29.8%1.3%0.0%8.7%4.8%339.7K-9.9M-12.8K0.6827.75N/AN/A22153,4373,018
2009-12-14$44.34$44.0030.4%8.7%30.1%2.4%32.5%5.9%6.9%311.2K-11.3M-11.9K0.2631.32N/AN/A82213,4383,033
2009-12-15$43.90$44.0030.4%8.7%29.3%2.4%0.0%4.9%4.5%308.6K-10.7M-11.8K0.4027.78N/AN/A523,4183,045
2009-12-16$44.22$44.0029.3%8.4%28.5%1.3%31.7%5.0%4.3%276.4K-11.4M-10.6K0.0329.92N/AN/A13443,4183,045
2009-12-17$43.95$43.0029.4%8.4%28.0%1.4%31.1%5.2%3.3%314.8K-10.8M-11.1K0.3428.26N/AN/A68233,3993,049
2009-12-18$44.24$43.0028.3%8.1%26.6%0.3%27.9%4.7%3.8%260.8K-11.3M-11.0K0.1634.78N/AN/A172273,3943,033
2009-12-21$44.84$43.0025.9%7.4%26.6%0.0%25.2%5.4%2.6%29.0K-2.0M-10.4K0.0838.34N/AN/A877893777
2009-12-22$45.31$43.0022.7%6.5%26.5%0.0%25.9%-1.8%4.6%43.6K-2.3M-10.8K0.0455.62N/AN/A1375965781
2009-12-23$45.85$43.0022.4%6.4%25.7%0.0%22.5%5.2%5.1%63.5K-2.9M-10.2K1.7276.86N/AN/A50861,031782
2009-12-24$45.92$44.0022.6%6.5%25.7%0.1%23.2%1.2%2.5%22.7K-2.0M-10.5K0.1656.08N/AN/A8313855868
2009-12-28$46.14$44.0022.3%6.4%22.4%0.0%0.0%3.2%4.5%44.6K-2.3M-10.2K0.1966.67N/AN/A12624930869
2009-12-29$45.45$44.0024.9%7.1%20.5%2.6%25.0%2.3%3.3%47.3K-2.2M-10.9K1.3171.14N/AN/A7497975879
2009-12-30$45.52$44.0024.2%6.9%20.1%1.8%0.0%-0.2%3.6%55.4K-2.1M-11.7K1.5472.64N/AN/A24371,026959
2009-12-31$44.74$44.0026.2%7.5%20.7%3.8%27.0%0.4%2.1%44.2K-1.7M-12.3K26.6764.02N/AN/A61601,050996