VNQ Options History — July 2019

In July 2019, VNQ traded between $87.26 and $90.74. ATM implied volatility averaged 12.8%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded below realized volatility by 1.5% (HV 20d: 14.3%). Max pain ranged from $87.00 to $88.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.03.

Notable Days

  • 2019-07-10: Highest Volume — 10,964 contracts
  • 2019-07-02: Largest IV drop — 12.5% change
  • 2019-07-31: Highest IV Rank — 32.3%
  • 2019-07-31: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.91$87.26$90.74$87.26$89.19
Max Pain$87.86$87.00$88.00$88.00$88.00
ATM IV12.8%11.4%14.4%13.2%14.4%
Expected Move3.7%3.3%4.1%3.8%4.1%
HV 20d14.3%11.1%15.5%14.4%11.1%
HV 60d13.6%13.1%14.5%13.7%13.2%
IV Rank22.2%13.9%32.3%24.6%32.3%
IV Percentile46.3%22.6%68.7%54.0%68.7%
Term Structure0.3%-0.6%1.2%0.7%-0.6%
VWIV13.1%12.0%14.6%14.1%13.9%
Skew 25d3.2%2.4%3.8%3.1%3.4%
Skew 10d7.4%5.1%11.5%7.1%11.5%
Call IV 25d11.5%10.7%12.8%11.7%12.8%
Put IV 25d14.7%13.3%16.1%14.9%16.1%
Bid-Ask Spread %19.1213.0430.8417.1917.84
Gamma HHI0.300.230.380.380.29
Net GEX-6.9M-16.1M2.0M-15.1M-8.0M
Net DEX2.2M-61.7M90.3M90.3M-20.1M
Net VEX-1.3M-1.4M-1.1M-1.3M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.043.131.371.55
Total Volume2,631.27358310,9641,5521,846
Total OI97,554.86488,080104,82888,080101,103

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$87.26$88.0013.2%3.8%14.4%24.6%14.1%3.1%0.7%-15.1M90.3M-1.3M1.3717.19N/AN/A65689626,47861,602
2019-07-02$88.76$88.0011.5%3.3%15.5%14.7%12.2%3.4%1.2%-9.1M22.2M-1.2M0.8014.79N/AN/A2,1361,70126,69461,420
2019-07-03$89.87$88.0011.4%3.3%14.4%13.9%12.0%2.6%0.9%-3.9M-23.7M-1.2M1.5715.21N/AN/A1,3352,09328,08262,389
2019-07-05$89.35$87.0012.6%3.8%14.5%21.0%13.1%3.0%0.4%-5.3M-5.9M-1.2M0.8820.41N/AN/A1,2081,06328,41762,576
2019-07-08$89.77$87.0012.8%3.7%14.6%22.0%12.7%3.5%-0.0%-3.4M-22.5M-1.2M0.4418.30N/AN/A40617728,65262,746
2019-07-09$90.22$87.0012.8%3.7%14.6%22.2%13.5%3.7%0.2%-1.7M-41.8M-1.1M0.5320.59N/AN/A42622728,64562,797
2019-07-10$90.74$88.0011.9%3.4%14.7%17.2%13.7%3.6%0.2%-355.7K-61.7M-1.1M0.0423.89N/AN/A10,55540928,73862,859
2019-07-11$89.56$88.0012.7%3.6%15.4%21.6%13.5%3.2%0.1%1.1M-33.9M-1.4M1.7221.07N/AN/A8401,44738,70863,007
2019-07-12$89.44$88.0012.9%3.7%15.4%22.8%14.6%3.2%0.1%1.4M-28.3M-1.3M1.5718.28N/AN/A8371,31139,07963,432
2019-07-15$89.37$88.0013.3%3.8%15.2%25.2%12.5%3.2%-0.1%1.5M-29.8M-1.3M0.2216.68N/AN/A90820039,01963,551
2019-07-16$89.20$88.0012.7%3.6%14.9%21.8%12.3%3.2%0.3%2.0M-25.1M-1.3M0.2415.61N/AN/A97623239,80163,601
2019-07-17$89.05$88.0013.1%3.8%15.0%24.1%13.1%3.2%-0.2%-1.7M-3.6M-1.3M0.8815.64N/AN/A1,12999439,85463,583
2019-07-18$88.97$88.0013.0%3.7%14.5%23.3%12.6%3.5%0.1%-5.2M2.6M-1.3M0.7025.86N/AN/A97468340,01464,119
2019-07-19$87.60$88.0013.0%3.7%15.2%23.7%13.2%2.9%0.3%-15.5M60.4M-1.3M0.9821.81N/AN/A1,2051,17840,57364,255
2019-07-22$87.31$88.0013.1%3.7%14.7%24.0%12.9%3.8%0.8%-16.1M63.4M-1.3M0.1630.84N/AN/A3,74561734,67960,594
2019-07-23$88.24$88.0012.6%3.6%15.3%21.2%13.1%3.3%0.5%-12.0M25.1M-1.3M2.2515.96N/AN/A7961,79536,59961,066
2019-07-24$88.38$88.0012.7%3.6%14.9%21.4%13.8%3.1%0.4%-12.0M21.0M-1.3M3.1318.33N/AN/A5641,76536,74062,318
2019-07-25$87.85$88.0012.7%3.6%12.3%21.8%12.0%2.7%0.7%-14.5M42.7M-1.3M1.5421.14N/AN/A1,1931,84236,79062,359
2019-07-26$88.19$88.0012.3%3.5%12.4%19.4%13.2%2.8%0.7%-13.3M29.2M-1.3M1.0320.08N/AN/A2,0462,11636,39662,461
2019-07-29$88.51$88.0012.5%3.6%12.4%20.5%13.0%2.4%-0.1%-11.4M6.0M-1.3M0.3013.04N/AN/A68220737,59962,617
2019-07-30$89.13$88.0013.9%4.0%12.6%29.2%12.8%3.2%-0.5%-8.4M-18.0M-1.3M0.8418.02N/AN/A1,3471,12537,76962,426
2019-07-31$89.19$88.0014.4%4.1%11.1%32.3%13.9%3.4%-0.6%-8.0M-20.1M-1.3M1.5517.84N/AN/A7241,12238,07463,029