VNQ Options History — August 2019 In August 2019, VNQ traded between $87.72 and $92.34. ATM implied volatility averaged 15.2%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.7% (HV 20d: 13.5%). Max pain ranged from $88.00 to $89.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 2.71.
Notable Days 2019-08-14 : Highest Volume — 21,896 contracts2019-08-05 : Largest IV spike — 39.9% change2019-08-05 : Highest IV Rank — 63.6%2019-08-14 : Largest Expected Move — 4.9%Monthly Statistics Metric Avg Min Max Open Close Price $90.65 $87.72 $92.34 $89.08 $92.34 Max Pain $88.09 $88.00 $89.00 $88.00 $89.00 ATM IV 15.2% 12.7% 19.6% 14.5% 13.2% Expected Move 4.2% 3.7% 4.9% 4.2% 3.8% HV 20d 13.5% 10.1% 14.6% 10.1% 14.4% HV 60d 13.4% 12.4% 13.9% 12.4% 13.0% IV Rank 36.5% 21.4% 63.6% 32.7% 24.0% IV Percentile 67.2% 39.7% 92.9% 69.4% 44.4% Term Structure 0.0% -1.3% 0.9% -0.1% 0.8% VWIV 15.7% 13.6% 18.0% 15.8% 16.7% Skew 25d 4.2% 2.9% 5.0% 3.1% 3.6% Skew 10d 9.6% 6.9% 11.0% 8.7% 9.2% Call IV 25d 13.1% 11.6% 15.2% 13.6% 11.7% Put IV 25d 17.3% 15.4% 19.8% 16.7% 15.4% Bid-Ask Spread % 21.27 16.82 29.77 18.83 16.82 Gamma HHI 0.25 0.19 0.34 0.29 0.21 Net GEX -6.3M -13.4M -955.0K -7.8M -4.6M Net DEX -44.4M -105.8M 60.4M -8.7M -94.9M Net VEX -1.3M -1.6M -1.2M -1.3M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.71 0.15 12.31 1.33 6.60 Total Volume 2,296.409 300 21,896 1,191 2,127 Total OI 115,556.364 101,155 127,489 101,155 126,795
Daily Data (22 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 2019-08-01 $89.08 $88.00 14.5% 4.2% 10.1% 32.7% 15.8% 3.1% -0.1% -7.8M -8.7M -1.3M 1.33 18.83 N/A N/A 512 679 38,115 63,040 2019-08-02 $89.53 $88.00 14.0% 4.0% 10.1% 29.8% 13.6% 2.9% -0.1% -5.9M -25.5M -1.3M 1.10 18.81 N/A N/A 848 933 38,237 63,367 2019-08-05 $87.72 $88.00 19.6% 4.8% 12.3% 63.6% 16.9% 4.6% -1.3% -13.4M 60.4M -1.3M 0.36 23.95 N/A N/A 2,584 922 38,447 63,962 2019-08-06 $88.51 $88.00 17.6% 4.6% 12.6% 51.4% 16.8% 4.8% -1.0% -9.7M 18.6M -1.4M 4.32 29.77 N/A N/A 137 592 39,923 63,800 2019-08-07 $89.74 $88.00 17.0% 4.5% 13.5% 47.5% 16.2% 4.6% -1.0% -5.1M -41.1M -1.3M 1.80 27.43 N/A N/A 817 1,468 39,958 64,092 2019-08-08 $90.91 $88.00 14.3% 4.0% 13.4% 31.7% 14.7% 4.3% -0.0% -955.0K -86.3M -1.2M 0.59 22.92 N/A N/A 626 370 39,963 65,213 2019-08-09 $90.84 $88.00 13.9% 4.1% 13.4% 28.7% 14.1% 4.3% 0.3% -1.0M -82.7M -1.3M 8.86 19.44 N/A N/A 207 1,833 39,960 65,417 2019-08-12 $90.60 $88.00 17.2% 4.3% 13.5% 48.9% 16.0% 4.6% -0.3% -2.0M -61.7M -1.3M 3.29 19.36 N/A N/A 371 1,219 40,017 66,885 2019-08-13 $90.65 $88.00 16.6% 4.1% 13.4% 45.6% 15.3% 3.9% 0.5% -991.7K -78.3M -1.2M 0.57 23.33 N/A N/A 361 207 40,027 67,946 2019-08-14 $89.45 $88.00 17.3% 4.9% 14.3% 49.3% 18.0% 4.8% -1.2% -6.9M -3.0M -1.3M 12.31 18.52 N/A N/A 1,645 20,251 40,136 68,010 2019-08-15 $90.17 $88.00 16.4% 4.7% 14.6% 44.3% 16.6% 5.0% -0.2% -7.8M 6.4M -1.6M 0.78 23.40 N/A N/A 335 262 39,185 88,121 2019-08-16 $91.26 $88.00 14.9% 4.3% 13.8% 35.1% 14.5% 4.2% 0.4% -3.2M -65.6M -1.5M 0.15 17.29 N/A N/A 2,061 303 39,309 88,180 2019-08-19 $91.97 $88.00 13.3% 3.8% 13.8% 25.2% 15.6% 3.8% 0.6% -6.6M -67.5M -1.4M 0.79 20.54 N/A N/A 800 630 36,378 85,790 2019-08-20 $91.28 $88.00 13.5% 3.9% 13.9% 26.2% 13.7% 3.8% 0.7% -8.7M -46.7M -1.4M 1.04 20.03 N/A N/A 147 153 36,609 86,020 2019-08-21 $91.53 $88.00 12.7% 3.7% 13.9% 21.4% 17.4% 4.8% 0.9% -8.1M -47.7M -1.4M 2.79 20.97 N/A N/A 110 307 36,643 86,076 2019-08-22 $91.88 $88.00 13.3% 3.8% 13.6% 24.6% 14.6% 4.0% 0.9% -6.8M -71.4M -1.4M 0.65 21.64 N/A N/A 208 136 36,687 86,307 2019-08-23 $90.78 $88.00 15.4% 4.4% 14.5% 37.6% 16.6% 4.3% -0.1% -11.2M -21.9M -1.5M 2.53 25.98 N/A N/A 337 853 36,765 86,371 2019-08-26 $91.13 $88.00 15.3% 4.4% 14.5% 37.1% 16.8% 4.2% -0.1% -9.3M -43.7M -1.4M 0.32 21.52 N/A N/A 706 228 36,923 86,966 2019-08-27 $91.31 $88.00 15.2% 4.4% 14.3% 36.5% 17.0% 4.3% 0.3% -7.9M -62.3M -1.3M 8.54 18.02 N/A N/A 230 1,965 37,127 86,919 2019-08-28 $91.47 $88.00 15.3% 4.4% 14.3% 36.9% 15.7% 3.9% -0.2% -8.4M -46.7M -1.4M 0.23 19.45 N/A N/A 1,292 294 37,241 88,425 2019-08-29 $92.05 $89.00 13.3% 3.8% 14.4% 24.6% 13.9% 3.5% 0.2% -1.9M -105.8M -1.2M 0.60 19.89 N/A N/A 284 171 38,218 88,670 2019-08-30 $92.34 $89.00 13.2% 3.8% 14.4% 24.0% 16.7% 3.6% 0.8% -4.6M -94.9M -1.3M 6.60 16.82 N/A N/A 280 1,847 38,121 88,674
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