VNQ Options History — March 2019

In March 2019, VNQ traded between $83.77 and $86.98. ATM implied volatility averaged 11.7%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 2.8% (HV 20d: 9.0%). Max pain ranged from $82.00 to $84.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 8.69.

Notable Days

  • 2019-03-20: Highest Volume — 105,190 contracts
  • 2019-03-22: Largest IV spike — 26.3% change
  • 2019-03-04: Highest IV Rank — 29.1%
  • 2019-03-04: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.45$83.77$86.98$83.77$86.77
Max Pain$83.29$82.00$84.00$83.00$84.00
ATM IV11.7%9.7%13.9%12.9%11.2%
Expected Move3.5%3.0%4.0%3.7%3.4%
HV 20d9.0%7.3%10.3%8.6%9.5%
HV 60d15.4%10.1%18.6%18.6%10.1%
IV Rank15.8%3.7%29.1%22.9%12.5%
IV Percentile28.9%2.0%57.9%46.0%21.4%
Term Structure0.7%0.0%1.2%0.0%0.7%
VWIV13.2%11.1%17.1%13.7%12.2%
Skew 25d4.1%3.3%4.7%4.5%3.3%
Skew 10d8.5%6.8%9.6%7.6%7.7%
Call IV 25d10.4%8.8%11.8%11.4%10.2%
Put IV 25d14.5%12.6%16.5%15.8%13.5%
Bid-Ask Spread %25.1014.3358.7418.8218.55
Gamma HHI0.270.150.390.220.34
Net GEX-9.8M-28.1M2.4M-28.0M-4.3M
Net DEX-48.3M-112.4M32.7M32.7M-63.5M
Net VEX-909.9K-1.1M-653.5K-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.690.14132.660.991.04
Total Volume7,332497105,1901,3681,559
Total OI245,895.8185,313389,565386,85486,612

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$83.77$83.0012.9%3.7%8.6%22.9%13.7%4.5%0.0%-28.0M32.7M-1.1M0.9918.82N/AN/A68868024,935361,919
2019-03-04$84.12$83.0013.9%4.0%8.5%29.1%13.7%4.7%0.6%-23.7M5.4M-1.0M0.8820.14N/AN/A26423325,123362,063
2019-03-05$84.41$83.0013.1%3.8%8.3%24.3%13.7%4.6%0.2%-19.5M-17.1M-964.6K0.7214.33N/AN/A43231325,203362,205
2019-03-06$84.13$83.0012.7%3.6%8.1%21.8%16.3%4.5%0.8%-20.7M-14.4M-947.7K14.2516.73N/AN/A73210,43225,245362,243
2019-03-07$83.81$84.0013.3%3.8%8.0%25.2%17.1%3.8%1.1%-26.4M9.2M-948.4K10.4322.58N/AN/A4344,52725,376360,293
2019-03-08$83.77$84.0013.2%3.8%7.3%25.0%15.0%4.7%0.8%-28.1M18.4M-993.8K1.4758.74N/AN/A9341,37125,323360,275
2019-03-11$84.99$82.0012.7%3.5%8.9%21.4%14.0%4.0%0.8%-9.5M-73.0M-739.5K2.2926.53N/AN/A8241,89125,733360,252
2019-03-12$85.56$82.0010.9%3.3%9.1%10.6%12.5%4.6%0.8%-5.3M-88.5M-748.6K1.0130.60N/AN/A83183625,937360,997
2019-03-13$85.92$82.0010.8%3.3%8.7%10.3%12.5%4.0%0.8%-2.5M-98.3M-726.5K0.1423.43N/AN/A2,46534025,912361,517
2019-03-14$85.95$82.0010.4%3.2%8.5%7.9%11.5%4.1%0.7%127.7K-101.3M-706.6K0.4126.77N/AN/A1,38456726,339361,472
2019-03-15$85.74$83.009.7%3.0%8.4%3.7%11.1%4.0%1.1%2.4M-112.4M-699.6K0.1925.43N/AN/A2,28543227,693361,872
2019-03-18$85.16$83.0011.2%3.4%8.8%12.7%12.4%3.6%1.0%-1.9M-68.6M-726.7K0.6128.21N/AN/A47929124,37576,102
2019-03-19$84.88$83.0010.6%3.3%8.8%8.9%12.1%4.4%1.0%-2.1M-66.4M-740.9K1.1527.69N/AN/A65675624,61776,291
2019-03-20$85.38$84.0011.2%3.4%8.7%12.7%12.0%3.7%0.9%2.2M-86.3M-653.5K132.6634.23N/AN/A787104,40324,93176,891
2019-03-21$86.76$84.009.8%3.1%10.3%4.1%11.6%3.9%1.2%-6.4M-54.5M-1.0M4.3521.29N/AN/A7253,15125,14960,164
2019-03-22$86.34$84.0012.3%3.6%10.3%19.6%12.6%3.6%0.4%-7.5M-38.3M-1.1M3.0226.44N/AN/A6852,06625,31060,293
2019-03-25$86.33$84.0012.5%3.7%9.9%20.7%12.7%4.1%0.6%-7.6M-35.3M-1.1M2.5521.62N/AN/A14336425,50060,576
2019-03-26$86.81$84.0011.0%3.4%9.9%11.6%13.6%3.6%0.7%-6.6M-45.4M-1.1M2.5625.52N/AN/A3921,00325,60860,587
2019-03-27$86.98$84.0011.6%3.5%9.7%15.3%13.8%4.2%0.4%-6.3M-49.7M-1.1M0.7920.40N/AN/A1,12789325,72460,634
2019-03-28$86.92$84.0011.1%3.4%9.7%11.9%13.6%3.9%1.0%-4.5M-66.7M-986.5K0.8919.00N/AN/A84675125,70860,813
2019-03-29$86.77$84.0011.2%3.4%9.5%12.5%12.2%3.3%0.7%-4.3M-63.5M-1.0M1.0418.55N/AN/A76379625,77760,835