VNQ Options History — April 2019

In April 2019, VNQ traded between $84.41 and $87.95. ATM implied volatility averaged 12.1%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 1.2% (HV 20d: 10.9%). Max pain ranged from $84.00 to $86.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2019-04-16: Highest Volume — 3,105 contracts
  • 2019-04-08: Largest IV spike — 28.4% change
  • 2019-04-22: Highest IV Rank — 30.0%
  • 2019-04-22: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.62$84.41$87.95$86.66$86.78
Max Pain$85.52$84.00$86.00$84.00$86.00
ATM IV12.1%9.2%14.1%12.1%12.1%
Expected Move3.6%3.2%4.0%3.6%3.5%
HV 20d10.9%8.9%14.3%9.5%14.3%
HV 60d9.9%8.9%10.9%9.9%10.9%
IV Rank17.8%0.7%30.0%17.9%18.3%
IV Percentile39.2%0.8%69.0%37.3%42.5%
Term Structure0.3%-0.5%0.9%0.5%-0.1%
VWIV12.9%11.9%14.4%12.5%13.7%
Skew 25d3.7%3.1%4.2%3.7%3.3%
Skew 10d9.0%6.5%11.2%11.2%9.5%
Call IV 25d10.8%10.0%11.9%10.9%10.8%
Put IV 25d14.5%13.5%16.2%14.6%14.1%
Bid-Ask Spread %18.1214.4720.9318.3918.40
Gamma HHI0.340.260.430.350.33
Net GEX-4.6M-10.1M-596.0K-5.2M-4.2M
Net DEX-53.6M-100.4M13.3M-45.2M-70.0M
Net VEX-908.9K-1.0M-770.1K-1.0M-770.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.193.963.962.06
Total Volume1,195.9525023,1051,106636
Total OI84,222.90575,48189,68885,88277,217

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-04-01$86.66$84.0012.1%3.6%9.5%17.9%12.5%3.7%0.5%-5.2M-45.2M-1.0M3.9618.39N/AN/A22388324,74261,140
2019-04-02$87.38$85.0011.6%3.6%9.8%14.8%12.6%3.7%0.8%-4.0M-66.0M-969.3K1.8519.68N/AN/A17832924,96861,826
2019-04-03$87.33$85.0011.4%3.7%9.7%13.7%14.4%4.2%0.2%-3.6M-68.9M-959.7K3.6217.32N/AN/A2761,00025,07861,865
2019-04-04$87.01$85.0011.5%3.6%9.6%14.4%12.8%4.1%0.2%-4.0M-60.1M-960.2K1.0120.93N/AN/A38538725,11662,484
2019-04-05$87.63$85.009.2%3.3%9.8%0.7%12.5%4.2%0.8%-2.8M-78.1M-919.5K0.9019.66N/AN/A46642025,13362,629
2019-04-08$87.30$85.0011.8%3.5%8.9%16.5%12.3%3.9%0.7%-2.7M-70.9M-929.2K0.8514.47N/AN/A27123125,31862,640
2019-04-09$86.87$85.0010.7%3.5%8.9%9.8%13.9%3.5%0.8%-3.2M-60.6M-931.2K2.7916.44N/AN/A16345525,49762,753
2019-04-10$87.51$85.0011.4%3.3%9.1%13.9%13.8%3.8%0.8%-1.8M-82.1M-888.0K1.4619.42N/AN/A20730325,54362,794
2019-04-11$87.56$85.0011.3%3.2%9.1%13.0%12.8%3.8%0.9%-1.8M-79.5M-910.4K1.0220.33N/AN/A44545425,58562,832
2019-04-12$87.95$86.0011.8%3.4%9.1%16.3%12.2%3.5%0.5%-596.0K-100.4M-806.4K0.6018.70N/AN/A62037125,45862,927
2019-04-15$87.51$86.0011.8%3.4%8.9%16.3%12.4%3.6%0.5%-708.5K-82.7M-845.3K1.2617.23N/AN/A27234425,66262,878
2019-04-16$85.59$86.0012.7%3.6%12.2%21.5%11.9%3.5%0.5%-6.9M-21.5M-959.6K0.2018.72N/AN/A2,59151425,77663,138
2019-04-17$85.06$86.0013.9%4.0%12.2%28.8%12.7%3.9%-0.0%-9.3M-5.1M-975.1K0.8520.56N/AN/A1,10994825,60363,250
2019-04-18$85.49$86.0013.5%3.9%10.8%26.4%13.5%3.7%-0.1%-7.3M-24.2M-949.1K1.1216.63N/AN/A1,2181,36825,99463,694
2019-04-22$84.41$86.0014.1%4.0%11.5%30.0%13.7%4.2%-0.5%-10.1M13.3M-970.0K0.8020.11N/AN/A1,07686123,68151,800
2019-04-23$85.51$86.0012.4%3.5%12.6%19.7%13.6%3.9%-0.1%-7.3M-26.7M-904.8K0.9619.69N/AN/A58556424,14252,044
2019-04-24$86.41$86.0012.7%3.6%13.0%21.6%12.4%3.4%0.0%-5.4M-48.6M-866.5K0.4214.63N/AN/A95640624,31852,254
2019-04-25$86.31$86.0012.9%3.7%13.0%22.9%13.3%3.4%-0.2%-5.7M-46.4M-866.3K1.0715.00N/AN/A78884524,29752,336
2019-04-26$86.83$86.0011.5%3.3%13.2%14.7%12.9%3.4%0.3%-4.3M-60.7M-824.6K0.9117.78N/AN/A70464324,41852,646
2019-04-29$85.88$86.0013.0%3.7%13.7%23.5%12.0%3.1%-0.2%-6.3M-40.7M-869.6K0.1916.51N/AN/A5239724,47752,728
2019-04-30$86.78$86.0012.1%3.5%14.3%18.3%13.7%3.3%-0.1%-4.2M-70.0M-770.1K2.0618.40N/AN/A20842824,44152,776