VNQ Options History — February 2019

In February 2019, VNQ traded between $82.76 and $85.13. ATM implied volatility averaged 13.5%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 4.2% (HV 20d: 9.3%). Max pain ranged from $83.00 to $83.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 11.38.

Notable Days

  • 2019-02-01: Highest Volume — 237,852 contracts
  • 2019-02-06: Largest IV spike — 15.5% change
  • 2019-02-01: Highest IV Rank — 32.8%
  • 2019-02-01: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.17$82.76$85.13$82.76$84.15
Max Pain$83.00$83.00$83.00$83.00$83.00
ATM IV13.5%12.4%14.5%14.5%12.9%
Expected Move3.9%3.6%4.2%4.2%3.7%
HV 20d9.3%8.7%10.2%10.2%8.7%
HV 60d18.7%18.5%18.9%18.8%18.6%
IV Rank26.3%19.8%32.8%32.8%23.1%
IV Percentile49.6%37.7%57.1%56.3%46.8%
Term Structure0.2%-0.6%0.8%0.2%0.1%
VWIV15.7%12.8%27.1%27.1%13.0%
Skew 25d4.1%3.1%4.7%4.5%3.1%
Skew 10d9.9%7.4%11.8%10.8%10.5%
Call IV 25d11.9%10.9%13.4%13.4%11.6%
Put IV 25d16.1%14.8%17.8%17.8%14.8%
Bid-Ask Spread %19.7915.0330.8030.8018.55
Gamma HHI0.210.160.260.160.21
Net GEX-27.2M-41.0M-17.3M-27.2M-23.4M
Net DEX25.9M-33.4M128.6M60.9M650.6K
Net VEX-1.4M-2.0M-1.1M-1.5M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.380.29163.26163.260.62
Total Volume15,579.895383237,852237,8521,590
Total OI384,347.474313,154394,991313,154386,455

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-02-01$82.76$83.0014.5%4.2%10.2%32.8%27.1%4.5%0.2%-27.2M60.9M-1.5M163.2630.80N/AN/A1,448236,40425,444287,710
2019-02-04$83.23$83.0014.1%4.2%9.9%30.4%15.5%4.5%0.0%-41.0M128.6M-2.0M1.1021.71N/AN/A46951525,628362,864
2019-02-05$83.81$83.0012.6%4.0%9.6%20.8%15.2%4.2%0.2%-34.2M74.0M-1.7M0.7522.10N/AN/A55041025,913363,075
2019-02-06$83.37$83.0014.5%4.2%9.5%32.6%15.9%4.2%0.2%-36.7M91.9M-1.8M1.1520.77N/AN/A17820526,113363,173
2019-02-07$84.13$83.0014.1%4.1%9.4%30.5%17.3%4.7%0.1%-34.3M73.9M-1.8M0.7417.93N/AN/A54840626,191363,184
2019-02-08$83.99$83.0014.2%4.1%9.1%31.0%15.2%4.0%0.4%-32.7M59.3M-1.7M0.2920.53N/AN/A2,03858226,509363,207
2019-02-11$84.34$83.0014.3%4.1%9.1%31.2%14.8%4.0%0.0%-23.6M23.6K-1.4M0.9520.35N/AN/A42740527,700363,449
2019-02-12$83.77$83.0014.0%4.0%9.3%29.6%15.0%4.0%0.2%-29.2M36.3M-1.5M0.8919.68N/AN/A44639927,841363,699
2019-02-13$84.28$83.0013.6%3.9%9.0%27.3%14.6%4.2%0.5%-26.8M19.8M-1.5M1.2019.14N/AN/A41149327,924363,723
2019-02-14$84.78$83.0012.9%3.7%8.9%23.1%19.6%4.2%0.3%-23.6M-4.5M-1.4M26.2215.13N/AN/A83621,91628,049363,825
2019-02-15$84.94$83.0012.5%3.6%8.9%20.5%20.6%3.9%0.8%-22.1M-22.7M-1.3M8.8015.03N/AN/A1,79515,79028,582366,409
2019-02-19$85.13$83.0012.7%3.6%9.0%21.9%13.3%3.7%0.8%-17.3M-33.4M-1.2M1.1319.49N/AN/A28031526,895359,518
2019-02-20$84.55$83.0012.7%3.6%9.0%21.4%13.5%4.6%0.3%-22.4M-8.4M-1.2M1.2725.29N/AN/A38949427,072359,583
2019-02-21$84.51$83.0012.7%3.6%9.1%21.8%13.7%4.5%0.6%-26.6M9.0M-1.2M0.7715.56N/AN/A57143724,148359,660
2019-02-22$85.06$83.0012.4%3.6%9.1%19.8%12.8%3.9%0.5%-19.1M-20.9M-1.1M1.3424.71N/AN/A7731,03424,196359,726
2019-02-25$84.49$83.0014.0%4.0%9.4%29.4%13.8%4.3%-0.2%-22.7M-1.6M-1.1M2.0515.47N/AN/A16433624,501360,343
2019-02-26$84.19$83.0013.7%3.9%9.2%27.5%13.7%4.3%-0.6%-25.0M-766.0K-1.1M1.1017.82N/AN/A32735924,542360,599
2019-02-27$83.84$83.0013.3%3.8%9.2%25.5%14.0%4.0%-0.0%-28.7M29.3M-1.1M2.6215.87N/AN/A6291,64924,451360,701
2019-02-28$84.15$83.0012.9%3.7%8.7%23.1%13.0%3.1%0.1%-23.4M650.6K-1.1M0.6218.55N/AN/A98360724,630361,825