VNQ Options History — June 2019 In June 2019, VNQ traded between $86.56 and $91.59. ATM implied volatility averaged 13.3%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 0.4% (HV 20d: 12.9%). Max pain ranged from $83.00 to $90.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 4.23.
Notable Days 2019-06-18 : Highest Volume — 80,495 contracts2019-06-21 : Largest IV spike — 15.0% change2019-06-28 : Highest IV Rank — 36.1%2019-06-28 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $89.00 $86.56 $91.59 $86.80 $87.28 Max Pain $87.75 $83.00 $90.00 $83.00 $88.00 ATM IV 13.3% 11.5% 15.1% 13.6% 15.1% Expected Move 3.8% 3.3% 4.3% 3.9% 4.3% HV 20d 12.9% 11.3% 14.8% 13.1% 14.4% HV 60d 12.7% 12.2% 13.8% 12.3% 13.7% IV Rank 25.4% 14.5% 36.1% 27.2% 36.1% IV Percentile 55.3% 24.2% 73.0% 61.9% 73.0% Term Structure 0.5% -0.1% 1.3% 0.1% 0.4% VWIV 14.0% 12.2% 16.1% 15.3% 15.0% Skew 25d 3.9% 2.9% 4.6% 3.5% 2.9% Skew 10d 8.0% 6.4% 8.9% 6.8% 7.1% Call IV 25d 12.0% 10.7% 14.2% 12.5% 13.9% Put IV 25d 15.9% 14.7% 18.3% 15.9% 16.8% Bid-Ask Spread % 16.02 11.18 22.79 17.97 14.81 Gamma HHI 0.30 0.22 0.45 0.27 0.37 Net GEX -6.9M -17.9M -1.3M -5.4M -13.8M Net DEX -53.2M -144.4M 134.1M -15.3M 84.2M Net VEX -1.1M -1.3M -958.4K -1.2M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.23 0.18 59.66 3.88 1.36 Total Volume 6,524.5 612 80,495 679 2,480 Total OI 96,658.25 80,381 104,252 96,340 88,142
Daily Data (20 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 2019-06-03 $86.80 $83.00 13.6% 3.9% 13.1% 27.2% 15.3% 3.5% 0.1% -5.4M -15.3M -1.2M 3.88 17.97 N/A N/A 139 540 29,581 66,759 2019-06-04 $86.56 $83.00 13.2% 3.8% 13.1% 24.6% 13.4% 3.7% 0.4% -5.9M -7.2M -1.2M 0.63 16.36 N/A N/A 1,309 819 29,718 67,205 2019-06-05 $88.33 $83.00 13.0% 3.7% 12.8% 23.8% 13.3% 3.3% 0.1% -2.0M -81.3M -1.1M 0.34 15.90 N/A N/A 2,008 679 30,768 67,521 2019-06-06 $88.76 $87.00 12.3% 3.6% 12.9% 19.1% 14.8% 3.7% 0.6% -1.3M -94.4M -1.1M 2.48 16.63 N/A N/A 877 2,175 31,472 67,559 2019-06-07 $89.08 $88.00 13.0% 3.7% 12.9% 23.6% 12.5% 3.7% 0.3% -1.6M -104.4M -1.1M 2.78 16.51 N/A N/A 605 1,681 31,666 68,789 2019-06-10 $88.80 $88.00 13.7% 3.8% 12.7% 28.0% 13.3% 4.4% 0.4% -3.0M -91.1M -1.1M 2.15 17.34 N/A N/A 194 418 31,567 69,918 2019-06-11 $88.70 $88.00 13.9% 3.7% 12.7% 29.1% 12.2% 4.6% 0.6% -3.1M -89.3M -1.1M 0.66 16.89 N/A N/A 493 325 31,578 69,793 2019-06-12 $89.30 $88.00 13.3% 3.8% 12.9% 25.5% 13.4% 3.4% 0.2% -2.6M -114.7M -996.4K 1.02 15.09 N/A N/A 907 925 31,618 69,804 2019-06-13 $89.33 $88.00 12.9% 3.7% 12.6% 22.7% 13.1% 4.5% 0.7% -3.1M -115.9M -988.9K 0.77 15.97 N/A N/A 1,149 888 31,693 70,457 2019-06-14 $89.83 $88.00 12.3% 3.5% 12.7% 19.6% 13.3% 4.0% 0.9% -3.3M -125.7M -1.0M 0.95 11.18 N/A N/A 621 589 31,850 70,502 2019-06-17 $90.51 $88.00 12.2% 3.5% 12.8% 18.9% 12.9% 4.3% 1.0% -2.9M -144.4M -958.4K 0.18 12.82 N/A N/A 2,658 466 31,883 70,609 2019-06-18 $90.44 $88.00 13.7% 3.9% 11.4% 27.9% 15.7% 4.4% -0.1% -2.5M -137.9M -1.0M 59.66 11.67 N/A N/A 1,327 79,168 32,786 70,777 2019-06-19 $91.28 $89.00 12.3% 3.5% 11.3% 19.5% 16.1% 4.3% 1.0% -8.2M -125.4M -1.1M 1.81 12.82 N/A N/A 1,397 2,522 33,092 68,907 2019-06-20 $91.59 $89.00 11.5% 3.3% 11.3% 14.5% 13.9% 4.0% 1.3% -7.3M -127.9M -1.1M 1.02 14.50 N/A N/A 1,241 1,269 33,229 70,482 2019-06-21 $90.44 $90.00 13.2% 3.8% 12.5% 24.9% 14.9% 4.6% 0.6% -10.7M -97.5M -1.2M 0.91 17.37 N/A N/A 1,596 1,447 33,472 70,780 2019-06-24 $89.94 $90.00 13.0% 3.7% 12.7% 23.8% 14.0% 3.9% 0.6% -12.2M 31.2M -1.2M 1.46 15.81 N/A N/A 356 518 21,215 59,166 2019-06-25 $89.06 $90.00 13.7% 3.9% 12.8% 28.0% 14.1% 3.2% 0.6% -14.2M 57.6M -1.2M 1.49 19.99 N/A N/A 1,349 2,010 21,295 59,344 2019-06-26 $86.97 $90.00 15.0% 4.3% 14.8% 35.7% 15.4% 4.1% -0.1% -17.9M 134.1M -1.3M 0.84 17.92 N/A N/A 3,054 2,553 22,383 60,988 2019-06-27 $86.99 $89.00 14.9% 4.3% 14.8% 35.1% 13.2% 3.8% 0.2% -16.2M 100.8M -1.3M 0.28 22.79 N/A N/A 6,064 1,674 23,521 61,276 2019-06-28 $87.28 $88.00 15.1% 4.3% 14.4% 36.1% 15.0% 2.9% 0.4% -13.8M 84.2M -1.3M 1.36 14.81 N/A N/A 1,053 1,427 26,472 61,670
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