VNQ Options History — September 2019

In September 2019, VNQ traded between $91.66 and $93.83. ATM implied volatility averaged 12.5%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 0.9% (HV 20d: 11.5%). Max pain ranged from $89.00 to $92.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 13.77.

Notable Days

  • 2019-09-17: Highest Volume — 181,302 contracts
  • 2019-09-24: Largest IV spike — 27.7% change
  • 2019-09-10: Highest IV Rank — 30.9%
  • 2019-09-05: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.00$91.66$93.83$93.12$93.41
Max Pain$91.45$89.00$92.00$89.00$92.00
ATM IV12.5%9.8%14.3%13.2%13.0%
Expected Move3.6%2.8%4.0%3.8%3.7%
HV 20d11.5%10.3%12.2%12.0%12.2%
HV 60d13.0%12.2%13.6%13.1%12.2%
IV Rank19.8%3.4%30.9%24.4%23.0%
IV Percentile31.4%1.2%61.9%45.6%37.7%
Term Structure1.3%-0.2%2.9%0.4%0.9%
VWIV13.1%9.9%16.5%16.5%12.5%
Skew 25d3.6%1.6%4.6%4.0%3.3%
Skew 10d7.9%3.8%9.9%9.4%6.6%
Call IV 25d11.3%9.6%12.5%11.9%11.5%
Put IV 25d15.0%11.5%17.1%15.9%14.8%
Bid-Ask Spread %24.8414.3141.9416.2716.00
Gamma HHI0.250.160.320.180.25
Net GEX-17.9M-51.7M5.1M-268.0K-34.7M
Net DEX19.8M-159.7M299.6M-130.7M260.6M
Net VEX-2.3M-4.2M-1.1M-1.2M-3.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.770.14224.780.220.65
Total Volume12,321.2205181,3022,039364
Total OI195,810.05128,409314,326128,441254,457

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$93.12$89.0013.2%3.8%12.0%24.4%16.5%4.0%0.4%-268.0K-130.7M-1.2M0.2216.27N/AN/A1,67036938,24190,200
2019-09-04$93.83$89.0012.8%3.7%11.9%22.0%13.2%3.7%-0.2%2.1M-159.7M-1.1M38.6414.31N/AN/A1,08842,03638,05790,352
2019-09-05$93.26$92.0013.3%4.0%11.6%24.8%14.7%4.2%1.0%1.4M-132.6M-1.2M0.3638.00N/AN/A1,27846638,43992,117
2019-09-06$93.45$92.0012.7%3.9%10.8%20.9%12.2%4.4%1.0%1.1M-134.7M-1.2M0.7636.03N/AN/A15912138,50192,199
2019-09-09$93.01$92.0013.4%3.9%11.0%25.1%14.5%4.4%1.2%456.5K-121.7M-1.2M0.3033.21N/AN/A84325738,62392,216
2019-09-10$91.80$92.0014.3%4.0%12.1%30.9%14.6%4.6%1.1%-3.1M-81.2M-1.2M0.7132.71N/AN/A84260239,21792,237
2019-09-11$92.15$92.0013.3%3.8%12.1%24.7%14.2%4.3%1.3%1.1M-101.5M-1.2M1.6341.94N/AN/A20934139,44192,399
2019-09-12$92.74$92.0012.6%3.6%11.0%20.4%13.7%4.4%1.7%3.2M-123.5M-1.2M0.5536.49N/AN/A25914239,42892,531
2019-09-13$91.66$92.0013.3%3.8%11.8%24.7%13.8%4.3%1.1%458.3K-81.0M-1.2M0.2925.71N/AN/A1,60045839,54592,599
2019-09-16$92.44$91.0013.4%3.9%11.4%25.7%14.1%4.2%1.0%5.1M-122.3M-1.2M0.4423.19N/AN/A51022339,78192,910
2019-09-17$93.41$91.0012.0%3.4%11.6%16.9%14.2%3.8%2.3%4.9M-153.7M-1.1M224.7824.93N/AN/A803180,49939,37692,951
2019-09-18$93.10$91.0011.1%3.2%11.3%11.3%11.3%2.5%2.6%-48.8M122.0M-3.4M0.4530.17N/AN/A1,05347839,678273,163
2019-09-19$93.52$91.009.8%2.8%11.4%3.4%9.9%2.0%2.9%-51.7M53.6M-3.0M0.1422.20N/AN/A2,44933539,071273,490
2019-09-20$93.49$91.0010.5%3.0%11.3%7.8%10.6%2.1%2.8%-50.5M61.7M-3.1M0.3020.00N/AN/A1,69750640,715273,611
2019-09-23$93.76$92.0010.1%2.9%10.3%5.4%10.4%1.6%1.4%-47.2M140.4M-3.1M1.5015.35N/AN/A1,1011,65232,733222,868
2019-09-24$92.56$92.0012.9%3.7%11.4%22.4%13.4%3.4%0.9%-37.9M299.6M-4.2M1.3616.78N/AN/A38452331,670224,258
2019-09-25$92.92$92.0012.4%3.6%11.5%19.5%12.4%3.7%1.1%-34.9M281.0M-4.2M0.3421.32N/AN/A1535231,900224,411
2019-09-26$93.62$92.0012.1%3.5%11.7%17.7%13.0%3.2%1.2%-32.9M236.0M-4.1M0.9216.55N/AN/A19217731,934224,429
2019-09-27$92.83$92.0013.2%3.8%12.0%24.1%13.2%4.4%0.9%-36.7M284.3M-4.2M1.0115.64N/AN/A26526831,911224,542
2019-09-30$93.41$92.0013.0%3.7%12.2%23.0%12.5%3.3%0.9%-34.7M260.6M-3.9M0.6516.00N/AN/A22114329,776224,681