VNQ Options History — January 2019 In January 2019, VNQ traded between $72.77 and $83.15. ATM implied volatility averaged 15.9%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 6.6% (HV 20d: 22.5%). Max pain ranged from $74.00 to $80.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 37.56.
Notable Days 2019-01-03 : Highest Volume — 221,810 contracts2019-01-04 : Largest IV drop — 12.2% change2019-01-02 : Highest IV Rank — 76.2%2019-01-02 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $78.27 $72.77 $83.15 $72.77 $83.15 Max Pain $75.05 $74.00 $80.00 $79.00 $80.00 ATM IV 15.9% 12.5% 21.7% 21.7% 14.4% Expected Move 4.5% 3.6% 6.2% 6.2% 4.2% HV 20d 22.5% 9.6% 28.0% 26.4% 9.6% HV 60d 19.9% 18.9% 20.9% 20.8% 18.9% IV Rank 41.0% 20.5% 76.2% 76.2% 32.1% IV Percentile 65.2% 40.5% 96.4% 96.4% 56.0% Term Structure -0.0% -1.1% 0.7% -1.1% -0.6% VWIV 16.5% 13.4% 21.6% 21.6% 18.1% Skew 25d 4.1% 3.4% 4.7% 4.3% 4.7% Skew 10d 9.1% 7.6% 12.5% 7.7% 10.2% Call IV 25d 14.0% 11.6% 20.4% 20.4% 12.2% Put IV 25d 18.1% 15.0% 24.7% 24.7% 16.9% Bid-Ask Spread % 24.61 18.48 33.65 20.19 33.65 Gamma HHI 0.27 0.15 0.42 0.42 0.15 Net GEX -43.1M -83.6M -17.2M -71.9M -17.2M Net DEX 212.1M -100.3M 751.4M 751.4M -5.0M Net VEX -1.5M -2.2M -1.1M -1.9M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 37.56 0.31 256.67 0.69 13.64 Total Volume 51,013.667 612 221,810 777 33,494 Total OI 313,269.286 232,224 391,295 232,224 301,441
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-01-02 $72.77 $79.00 21.7% 6.2% 26.4% 76.2% 21.6% 4.3% -1.1% -71.9M 751.4M -1.9M 0.69 20.19 N/A N/A 459 318 35,820 196,404 2019-01-03 $73.58 $74.00 21.6% 5.9% 26.9% 75.5% 20.6% 4.4% -0.9% -69.9M 700.4M -1.9M 17.03 21.15 N/A N/A 12,303 209,507 35,979 201,251 2019-01-04 $74.51 $74.00 19.0% 5.4% 27.6% 59.6% 20.7% 4.5% -0.6% -68.7M 570.4M -2.2M 29.48 25.91 N/A N/A 6,805 200,583 42,670 295,459 2019-01-07 $75.44 $74.00 19.9% 5.3% 26.5% 65.1% 19.0% 4.3% -0.3% -61.2M 471.1M -2.0M 0.96 30.89 N/A N/A 312 300 43,678 298,034 2019-01-08 $76.62 $74.00 18.3% 4.9% 27.5% 55.3% 18.9% 4.6% -0.3% -49.9M 339.1M -1.8M 1.04 27.08 N/A N/A 544 565 43,739 298,077 2019-01-09 $76.47 $74.00 17.3% 5.0% 27.4% 49.7% 16.1% 4.5% -0.4% -45.8M 344.8M -1.6M 0.73 33.32 N/A N/A 786 577 43,718 298,275 2019-01-10 $77.45 $74.00 16.9% 4.9% 28.0% 47.3% 16.3% 4.3% -0.1% -39.9M 243.2M -1.5M 29.50 28.08 N/A N/A 3,070 90,578 43,751 298,354 2019-01-11 $77.77 $74.00 15.4% 4.4% 27.7% 38.3% 15.2% 4.6% 0.5% -37.9M 229.1M -1.6M 17.89 23.96 N/A N/A 2,846 50,906 45,772 292,173 2019-01-14 $77.35 $74.00 15.8% 4.5% 27.6% 40.6% 16.8% 3.9% 0.1% -35.8M 238.2M -1.4M 2.45 24.87 N/A N/A 427 1,046 45,909 292,085 2019-01-15 $78.19 $74.00 15.3% 4.4% 27.9% 37.7% 15.6% 4.0% 0.0% -43.2M 178.8M -1.4M 256.67 19.54 N/A N/A 463 118,839 45,955 292,209 2019-01-16 $78.81 $74.00 13.9% 4.0% 24.6% 29.2% 13.6% 4.1% 0.5% -67.3M 124.9M -1.5M 77.13 19.62 N/A N/A 854 65,866 45,959 344,949 2019-01-17 $79.05 $74.00 13.9% 4.0% 24.3% 29.0% 14.1% 3.8% 0.5% -83.6M 63.6M -1.4M 78.00 25.04 N/A N/A 843 65,758 46,470 344,740 2019-01-18 $79.34 $74.00 13.6% 3.9% 23.9% 27.0% 13.4% 3.7% 0.7% -64.8M -100.3M -1.1M 64.77 18.48 N/A N/A 1,017 65,867 46,550 344,745 2019-01-22 $78.81 $75.00 14.6% 4.2% 23.2% 33.1% 14.8% 4.1% 0.0% -24.0M 83.2M -1.3M 0.31 20.93 N/A N/A 1,232 379 19,622 229,941 2019-01-23 $79.10 $75.00 14.7% 4.2% 22.8% 33.7% 15.5% 3.8% -0.3% -23.3M 82.6M -1.3M 99.06 20.18 N/A N/A 383 37,940 20,803 230,117 2019-01-24 $79.49 $75.00 14.3% 4.1% 16.0% 31.4% 15.3% 3.8% 0.1% -23.2M 64.4M -1.2M 1.55 22.94 N/A N/A 334 518 21,051 245,312 2019-01-25 $80.33 $75.00 13.2% 3.8% 13.5% 24.9% 13.5% 3.4% 0.4% -17.4M 28.3M -1.1M 22.07 27.73 N/A N/A 2,071 45,700 21,211 245,408 2019-01-28 $81.12 $75.00 13.3% 3.8% 13.5% 25.2% 15.0% 3.6% 0.6% -19.5M 19.9M -1.1M 67.57 22.21 N/A N/A 273 18,447 22,412 260,538 2019-01-29 $81.74 $76.00 12.5% 3.6% 13.5% 20.5% 14.5% 3.6% 0.7% -20.1M 13.6M -1.2M 0.63 18.91 N/A N/A 1,441 913 22,811 275,419 2019-01-30 $82.51 $78.00 13.9% 4.0% 13.6% 28.7% 17.1% 4.0% 0.2% -19.6M 11.9M -1.3M 7.63 32.10 N/A N/A 3,097 23,626 23,884 275,960 2019-01-31 $83.15 $80.00 14.4% 4.2% 9.6% 32.1% 18.1% 4.7% -0.6% -17.2M -5.0M -1.2M 13.64 33.65 N/A N/A 2,288 31,206 25,312 276,129
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