VNQ Options History — May 2019

In May 2019, VNQ traded between $85.73 and $88.06. ATM implied volatility averaged 13.1%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 0.9% (HV 20d: 14.0%). Max pain ranged from $83.00 to $86.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 12.99.

Notable Days

  • 2019-05-30: Highest Volume — 82,467 contracts
  • 2019-05-13: Largest IV spike — 37.0% change
  • 2019-05-13: Highest IV Rank — 53.2%
  • 2019-05-13: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.05$85.73$88.06$86.94$87.12
Max Pain$83.41$83.00$86.00$86.00$83.00
ATM IV13.1%11.0%17.9%12.3%13.4%
Expected Move3.6%3.1%4.2%3.5%3.9%
HV 20d14.0%12.5%15.8%13.9%13.3%
HV 60d11.6%10.7%12.3%10.8%12.3%
IV Rank24.0%11.3%53.2%19.5%26.2%
IV Percentile51.0%19.0%88.9%46.8%61.1%
Term Structure0.2%-0.6%1.0%0.1%0.1%
VWIV14.0%11.9%19.0%12.5%13.4%
Skew 25d3.8%3.0%4.7%3.5%3.2%
Skew 10d8.7%5.4%11.3%8.8%9.4%
Call IV 25d11.1%9.7%12.8%10.8%11.9%
Put IV 25d14.9%12.9%17.6%14.3%15.1%
Bid-Ask Spread %20.7613.7132.4917.8314.16
Gamma HHI0.280.180.400.330.26
Net GEX-3.2M-8.4M3.2M-4.4M-4.9M
Net DEX-76.0M-127.3M-23.8M-63.7M-28.6M
Net VEX-755.7K-1.3M-595.2K-800.2K-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.990.09188.580.171.20
Total Volume6,224.40935782,4671,6141,539
Total OI84,254.18277,51496,06577,51496,065

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-05-01$86.94$86.0012.3%3.5%13.9%19.5%12.5%3.5%0.1%-4.4M-63.7M-800.2K0.1717.83N/AN/A1,37723724,44453,070
2019-05-02$87.02$86.0012.5%3.6%14.0%20.4%13.2%3.9%0.1%-3.7M-72.3M-796.1K0.3717.26N/AN/A1,26346925,20553,146
2019-05-03$87.69$86.0011.0%3.1%14.2%11.3%12.0%3.8%1.0%-2.7M-83.9M-765.2K1.0917.06N/AN/A1,1621,26225,20653,277
2019-05-06$87.51$83.0012.0%3.4%13.9%17.3%12.2%3.6%0.7%-2.7M-84.9M-743.5K5.2128.38N/AN/A2201,14625,24854,304
2019-05-07$85.73$83.0015.5%4.0%15.7%38.8%17.0%4.4%-0.3%-8.4M-23.8M-833.8K3.7228.00N/AN/A4451,65425,32654,884
2019-05-08$86.02$83.0015.4%4.0%15.7%38.1%17.1%4.0%-0.1%-7.4M-38.7M-814.7K2.0332.49N/AN/A5671,15225,23355,481
2019-05-09$86.02$83.0015.7%4.2%15.4%40.1%15.6%4.3%-0.5%-7.9M-36.7M-816.7K2.1032.10N/AN/A27257125,32655,403
2019-05-10$86.76$83.0013.1%3.7%15.8%24.0%15.5%4.2%0.0%-5.0M-64.1M-774.3K5.1631.99N/AN/A5829925,97455,427
2019-05-13$86.69$83.0017.9%4.2%15.7%53.2%15.4%4.7%-0.6%-5.7M-54.5M-768.0K0.2919.67N/AN/A78622825,97455,427
2019-05-14$87.02$83.0014.9%3.8%15.7%35.2%17.9%3.7%-0.3%-3.5M-73.2M-747.9K10.3220.49N/AN/A7697,93926,20355,324
2019-05-15$87.74$83.0012.4%3.5%13.6%19.7%12.1%3.9%0.6%-782.2K-110.8M-622.9K0.2119.97N/AN/A87218526,24660,441
2019-05-16$88.06$83.0011.6%3.3%13.3%15.1%12.4%3.4%1.0%-364.5K-110.5M-673.8K0.5522.12N/AN/A53329226,72360,500
2019-05-17$87.83$83.0011.6%3.3%13.4%14.9%12.0%3.4%1.0%3.2M-119.6M-595.2K0.3713.71N/AN/A1,63660626,81860,497
2019-05-20$86.56$83.0012.6%3.6%13.6%20.9%13.7%4.2%-0.3%-4.1M-72.8M-697.9K1.9618.46N/AN/A18536325,24057,307
2019-05-21$87.41$83.0012.2%3.5%13.3%18.5%12.7%3.8%0.2%-2.1M-86.7M-664.2K1.0321.14N/AN/A46647925,29857,483
2019-05-22$87.51$83.0011.2%3.2%12.9%12.5%12.9%3.5%0.4%-1.7M-92.8M-658.6K0.4716.83N/AN/A79537525,45157,673
2019-05-23$87.62$83.0011.4%3.3%12.8%13.9%13.3%4.0%0.5%-790.6K-100.5M-642.3K0.0919.58N/AN/A5,59750326,01457,775
2019-05-24$88.06$83.0011.2%3.2%12.8%12.8%11.9%3.0%0.6%2.4M-127.3M-662.4K1.3615.14N/AN/A40354929,03257,888
2019-05-28$87.30$83.0012.6%3.6%12.5%21.1%13.1%3.2%-0.2%2.2M-116.0M-628.3K46.9017.23N/AN/A1758,20829,07557,868
2019-05-29$86.16$83.0013.8%4.0%12.9%28.5%13.4%3.7%-0.3%-6.7M-49.5M-842.8K12.6314.73N/AN/A6488,18529,10565,842
2019-05-30$86.33$83.0013.4%3.8%12.9%26.1%19.0%3.4%0.1%-5.4M-60.0M-814.9K188.5818.35N/AN/A43582,03229,24566,124
2019-05-31$87.12$83.0013.4%3.9%13.3%26.2%13.4%3.2%0.1%-4.9M-28.6M-1.3M1.2014.16N/AN/A69984029,45166,614