VNQ Options History — November 2019

In November 2019, VNQ traded between $90.90 and $94.05. ATM implied volatility averaged 12.1%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.1% (HV 20d: 10.0%). Max pain ranged from $92.00 to $93.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.65.

Notable Days

  • 2019-11-07: Highest Volume — 4,949 contracts
  • 2019-11-05: Largest IV spike — 20.8% change
  • 2019-11-05: Highest IV Rank — 23.7%
  • 2019-11-05: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.36$90.90$94.05$94.05$93.17
Max Pain$92.80$92.00$93.00$93.00$92.00
ATM IV12.1%10.7%13.1%10.7%12.7%
Expected Move3.7%3.1%4.2%3.1%3.6%
HV 20d10.0%6.8%11.6%6.8%11.6%
HV 60d10.5%10.2%11.0%10.4%10.6%
IV Rank17.4%8.9%23.7%8.9%21.2%
IV Percentile24.9%3.2%46.0%3.2%40.5%
Term Structure-0.5%-1.5%2.9%2.9%-1.5%
VWIV12.6%10.8%14.7%12.0%13.5%
Skew 25d2.7%1.8%4.2%3.7%1.8%
Skew 10d5.1%2.6%8.5%8.2%3.2%
Call IV 25d11.2%9.6%13.2%9.6%11.3%
Put IV 25d13.9%12.4%17.4%13.3%13.1%
Bid-Ask Spread %27.8016.0439.2516.0420.12
Gamma HHI0.230.210.260.220.24
Net GEX-67.7M-86.2M-42.5M-56.6M-42.5M
Net DEX217.5M4.5M428.2M161.5M39.4M
Net VEX-2.5M-3.7M-1.3M-2.7M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.132.470.431.70
Total Volume1,654.43944,9491,639394
Total OI280,856.85277,764282,757277,764282,387

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$94.05$93.0010.7%3.1%6.8%8.9%12.0%3.7%2.9%-56.6M161.5M-2.7M0.4316.04N/AN/A1,15048931,399246,365
2019-11-04$93.56$93.0010.9%4.0%7.1%10.0%14.7%4.0%-0.9%-59.8M179.6M-2.7M1.5436.40N/AN/A32249731,946246,681
2019-11-05$92.08$93.0013.1%4.2%9.1%23.7%13.7%4.2%-0.9%-59.3M373.8M-3.5M0.3939.25N/AN/A3,1921,25832,025247,005
2019-11-06$92.31$93.0012.2%4.0%9.1%18.1%13.6%3.9%-0.4%-68.2M305.9M-3.2M0.2638.34N/AN/A1,39836433,497247,433
2019-11-07$91.26$93.0011.9%4.1%9.9%16.6%13.9%3.7%-0.7%-68.9M428.2M-3.7M0.1539.11N/AN/A4,28866134,028247,624
2019-11-08$91.12$93.0011.0%4.0%9.9%11.0%14.0%3.3%-1.1%-71.3M418.3M-3.5M0.1838.85N/AN/A1,20121735,019247,566
2019-11-11$91.35$93.0012.6%3.8%10.0%20.7%13.6%2.8%-0.4%-72.9M386.1M-3.3M0.8234.63N/AN/A82767535,189247,514
2019-11-12$90.90$93.0011.7%3.9%10.0%15.0%12.2%2.7%-1.1%-86.2M395.9M-3.1M0.2033.57N/AN/A1,22924135,513247,244
2019-11-13$91.55$93.0012.9%3.7%10.4%22.1%12.5%2.6%-0.5%-83.1M315.0M-2.9M0.4222.94N/AN/A57024135,283246,904
2019-11-14$91.92$93.0012.4%3.6%10.2%19.4%12.2%2.8%-0.4%-80.4M251.7M-2.6M0.4130.54N/AN/A83534335,509246,939
2019-11-15$92.53$93.0011.6%3.3%10.0%14.2%10.8%2.4%0.6%-73.0M148.7M-2.2M0.5129.17N/AN/A59830735,715246,982
2019-11-18$93.01$93.0012.1%3.5%9.9%17.4%12.2%1.9%-0.7%-64.0M107.6M-2.0M0.3523.86N/AN/A1,39649132,558245,757
2019-11-19$93.41$93.0012.1%3.5%10.1%17.4%11.2%2.2%-0.6%-56.0M51.0M-1.5M2.4723.60N/AN/A5381,33132,544245,914
2019-11-20$93.27$93.0012.3%3.5%10.0%18.7%12.0%2.0%-1.0%-44.7M55.2M-1.6M0.2223.24N/AN/A1,48532532,820247,089
2019-11-21$91.91$93.0012.4%3.5%11.2%19.1%11.9%1.9%-0.2%-85.1M233.5M-2.4M0.5926.55N/AN/A76545232,317247,269
2019-11-22$91.60$93.0012.6%3.6%10.7%20.3%11.9%1.9%-0.6%-84.3M236.0M-2.2M0.1320.40N/AN/A2,59633932,251247,476
2019-11-25$91.91$92.0012.9%3.7%10.8%22.3%12.9%2.0%-1.0%-77.9M187.5M-2.0M1.5817.70N/AN/A18629333,836247,591
2019-11-26$92.94$92.0011.9%3.4%11.6%16.1%11.7%1.9%-0.8%-72.9M70.9M-1.7M0.3920.31N/AN/A79731433,953247,706
2019-11-27$93.44$92.0011.9%3.4%11.5%16.2%12.1%2.0%-1.4%-46.9M4.5M-1.3M0.2821.39N/AN/A37610734,439247,850
2019-11-29$93.17$92.0012.7%3.6%11.6%21.2%13.5%1.8%-1.5%-42.5M39.4M-1.4M1.7020.12N/AN/A14624834,527247,860