VNQ Options History — October 2019 In October 2019, VNQ traded between $91.78 and $95.13. ATM implied volatility averaged 12.5%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 2.2% (HV 20d: 10.4%). Max pain ranged from $92.00 to $93.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 3.90.
Notable Days 2019-10-22 : Highest Volume — 40,891 contracts2019-10-25 : Largest IV spike — 9.8% change2019-10-02 : Highest IV Rank — 34.7%2019-10-02 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $93.60 $91.78 $95.13 $92.38 $94.22 Max Pain $92.48 $92.00 $93.00 $92.00 $93.00 ATM IV 12.5% 10.9% 14.9% 13.9% 11.1% Expected Move 3.6% 3.1% 4.3% 4.0% 3.2% HV 20d 10.4% 7.2% 12.9% 12.5% 7.2% HV 60d 11.9% 10.7% 12.5% 12.4% 10.7% IV Rank 20.2% 10.5% 34.7% 28.6% 11.1% IV Percentile 30.0% 4.4% 67.5% 56.7% 5.6% Term Structure 1.2% 0.4% 2.6% 0.7% 2.6% VWIV 13.0% 11.3% 15.3% 13.5% 11.3% Skew 25d 3.6% 2.6% 5.1% 3.2% 3.8% Skew 10d 8.3% 5.9% 13.8% 7.9% 6.2% Call IV 25d 11.3% 9.4% 13.3% 12.7% 9.5% Put IV 25d 14.8% 12.9% 18.0% 15.8% 13.2% Bid-Ask Spread % 21.92 13.83 31.24 16.30 19.32 Gamma HHI 0.25 0.23 0.29 0.26 0.23 Net GEX -42.3M -56.9M -33.4M -37.4M -56.9M Net DEX 207.8M 40.3M 389.9M 327.2M 129.1M Net VEX -3.3M -4.4M -2.2M -4.1M -2.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.90 0.18 70.24 0.69 0.18 Total Volume 2,833.261 183 40,891 915 1,652 Total OI 262,563.913 253,909 277,647 254,671 277,647
Daily Data (23 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 2019-10-01 $92.38 $92.00 13.9% 4.0% 12.5% 28.6% 13.5% 3.2% 0.7% -37.4M 327.2M -4.1M 0.69 16.30 N/A N/A 541 374 29,918 224,753 2019-10-02 $91.78 $92.00 14.9% 4.3% 12.3% 34.7% 14.6% 4.7% 0.7% -39.8M 389.9M -4.4M 0.44 17.25 N/A N/A 1,468 644 30,242 224,972 2019-10-03 $92.67 $92.00 13.5% 4.2% 12.7% 26.2% 14.4% 5.1% 0.7% -36.8M 312.4M -4.1M 0.18 18.96 N/A N/A 840 151 31,025 225,530 2019-10-04 $93.31 $92.00 12.4% 3.8% 12.9% 19.2% 13.1% 4.0% 1.3% -34.9M 253.5M -3.8M 0.31 22.11 N/A N/A 1,061 325 31,476 225,563 2019-10-07 $93.19 $92.00 13.5% 4.0% 12.8% 25.9% 13.5% 3.7% 0.7% -34.9M 265.9M -3.9M 0.49 25.46 N/A N/A 212 103 31,075 225,576 2019-10-08 $92.92 $92.00 14.4% 4.1% 11.9% 31.5% 15.3% 3.3% 0.4% -35.9M 283.3M -4.0M 0.58 24.86 N/A N/A 296 173 31,071 225,611 2019-10-09 $92.92 $92.00 14.1% 4.0% 11.9% 29.5% 14.0% 3.1% 0.6% -34.8M 284.8M -4.0M 0.83 31.24 N/A N/A 153 127 31,162 225,667 2019-10-10 $93.08 $92.00 13.9% 4.0% 11.7% 28.3% 13.6% 3.5% 0.8% -35.4M 275.5M -3.9M 0.32 26.29 N/A N/A 139 44 31,216 225,764 2019-10-11 $93.15 $92.00 13.6% 3.9% 10.8% 26.9% 14.0% 3.3% 0.4% -33.4M 262.6M -3.8M 0.80 31.19 N/A N/A 1,029 821 31,271 225,783 2019-10-14 $92.92 $93.00 13.1% 3.8% 10.4% 23.9% 14.7% 4.1% 1.0% -35.6M 264.2M -3.7M 1.08 26.23 N/A N/A 237 256 31,197 226,248 2019-10-15 $93.06 $93.00 13.0% 3.7% 9.7% 23.0% 13.2% 3.3% 1.0% -41.5M 234.6M -3.4M 0.42 29.45 N/A N/A 2,079 880 31,332 226,439 2019-10-16 $93.10 $92.00 12.3% 3.5% 9.7% 18.6% 12.8% 3.5% 1.0% -42.1M 236.8M -3.3M 0.65 24.68 N/A N/A 189 123 31,397 227,081 2019-10-17 $93.74 $92.00 11.7% 3.3% 9.8% 14.9% 12.6% 2.6% 1.5% -34.3M 172.5M -3.1M 0.89 25.82 N/A N/A 431 385 31,362 227,118 2019-10-18 $94.51 $92.00 11.1% 3.2% 10.3% 11.3% 11.4% 2.6% 1.8% -38.7M 88.5M -2.6M 0.23 17.31 N/A N/A 1,635 372 31,294 227,174 2019-10-21 $95.13 $93.00 11.5% 3.3% 10.4% 14.1% 12.4% 3.2% 1.2% -42.4M 40.3M -2.2M 0.39 18.00 N/A N/A 841 328 28,590 225,319 2019-10-22 $94.84 $93.00 11.4% 3.3% 9.3% 13.0% 12.9% 3.2% 1.7% -38.7M 53.4M -2.2M 70.24 21.06 N/A N/A 574 40,317 29,266 225,453 2019-10-23 $94.94 $93.00 11.3% 3.2% 9.2% 12.5% 12.4% 4.1% 1.5% -49.7M 108.3M -2.6M 2.20 19.37 N/A N/A 133 292 29,345 245,636 2019-10-24 $94.97 $93.00 10.9% 3.1% 8.9% 10.5% 11.5% 2.9% 1.5% -50.7M 84.9M -2.4M 2.85 18.39 N/A N/A 71 202 29,387 245,890 2019-10-25 $94.03 $93.00 12.0% 3.4% 9.1% 17.0% 12.0% 4.1% 1.3% -53.9M 173.4M -2.9M 2.32 13.94 N/A N/A 203 471 29,537 246,032 2019-10-28 $93.62 $93.00 12.0% 3.4% 9.0% 17.1% 12.6% 3.9% 1.7% -56.1M 202.4M -2.9M 0.99 13.83 N/A N/A 675 665 29,788 246,151 2019-10-29 $93.88 $93.00 11.7% 3.3% 8.0% 15.0% 11.6% 3.3% 1.6% -54.9M 196.9M -3.0M 1.91 16.77 N/A N/A 316 603 30,079 246,208 2019-10-30 $94.42 $93.00 11.2% 3.2% 7.7% 12.1% 12.3% 4.0% 2.3% -53.3M 139.0M -2.7M 0.80 26.43 N/A N/A 1,517 1,217 30,111 246,214 2019-10-31 $94.22 $93.00 11.1% 3.2% 7.2% 11.1% 11.3% 3.8% 2.6% -56.9M 129.1M -2.6M 0.18 19.32 N/A N/A 1,403 249 31,340 246,307
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