VNQ Options History — December 2019

In December 2019, VNQ traded between $89.99 and $92.98. ATM implied volatility averaged 11.9%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 0.1% (HV 20d: 11.8%). Max pain ranged from $87.00 to $92.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 10.98.

Notable Days

  • 2019-12-09: Highest Volume — 271,732 contracts
  • 2019-12-11: Largest IV drop — 18.5% change
  • 2019-12-10: Highest IV Rank — 32.6%
  • 2019-12-03: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.66$89.99$92.98$91.90$92.67
Max Pain$89.38$87.00$92.00$92.00$90.00
ATM IV11.9%10.3%14.6%13.8%10.8%
Expected Move3.3%3.0%4.0%3.9%3.1%
HV 20d11.8%10.4%12.8%12.5%11.2%
HV 60d10.6%10.2%11.0%11.0%10.3%
IV Rank16.7%6.7%32.6%27.6%12.8%
IV Percentile27.8%2.0%81.7%67.9%6.3%
Term Structure1.0%-1.7%2.3%-1.3%0.6%
VWIV11.5%10.2%13.9%13.9%11.2%
Skew 25d2.4%1.4%3.5%2.0%3.1%
Skew 10d4.9%2.6%8.8%3.6%7.2%
Call IV 25d10.4%9.5%12.4%12.4%9.8%
Put IV 25d12.8%11.5%14.8%14.4%12.9%
Bid-Ask Spread %15.788.0240.6840.689.97
Gamma HHI0.280.210.340.260.23
Net GEX-66.5M-110.6M-22.3M-83.6M-42.0M
Net DEX242.4M29.5M473.2M201.7M144.5M
Net VEX-2.3M-2.9M-1.3M-2.0M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.980.02214.490.890.31
Total Volume15,168.095132271,732564543
Total OI271,571.143240,564287,537282,555242,808

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$91.90$92.0013.8%3.9%12.5%27.6%13.9%2.0%-1.3%-83.6M201.7M-2.0M0.8940.68N/AN/A29926534,543248,012
2019-12-03$92.23$92.0014.0%4.0%12.5%29.2%13.9%2.4%-1.7%-76.5M144.1M-1.9M1.7030.51N/AN/A21937234,633248,091
2019-12-04$92.74$92.0013.4%3.8%11.3%25.4%12.8%2.4%-1.6%-44.8M62.5M-1.4M0.8425.44N/AN/A38232034,701248,331
2019-12-05$92.66$87.0013.0%3.1%11.2%22.8%12.0%2.0%2.3%-61.2M74.6M-1.3M1.3416.06N/AN/A22329934,796248,483
2019-12-06$92.94$88.0013.2%3.1%10.4%24.5%11.0%1.9%2.3%-65.3M61.0M-1.6M0.8316.41N/AN/A33828234,757248,583
2019-12-09$92.98$88.0013.7%3.1%10.4%27.5%11.6%1.9%2.1%-22.3M29.5M-1.3M214.4913.80N/AN/A1,261270,47134,866248,789
2019-12-10$92.44$88.0014.6%3.3%10.6%32.6%11.4%2.3%1.9%-69.2M155.4M-2.0M1.0114.59N/AN/A28528935,681244,887
2019-12-11$91.47$88.0011.9%3.4%11.2%16.2%12.0%2.2%1.8%-85.1M323.9M-2.6M2.6715.20N/AN/A6961,85936,010245,216
2019-12-12$90.45$88.0011.8%3.4%11.6%15.5%11.2%2.2%1.7%-110.6M384.3M-2.5M0.4217.84N/AN/A3,2971,39136,144246,308
2019-12-13$89.99$88.0011.1%3.2%11.6%11.2%10.7%1.8%1.9%-103.4M473.2M-2.9M0.1815.38N/AN/A4,53880137,787246,886
2019-12-16$91.06$88.0010.3%3.0%12.1%6.7%10.4%1.4%1.7%-94.7M329.9M-2.5M0.3818.52N/AN/A1,31750439,011247,102
2019-12-17$90.08$88.0010.7%3.1%12.4%9.1%10.2%1.5%1.8%-106.8M441.4M-2.8M0.0216.42N/AN/A13,79529140,302247,235
2019-12-18$90.37$90.0011.5%3.3%12.4%13.9%11.2%2.9%1.3%-71.0M422.7M-2.9M1.1612.22N/AN/A2,6523,08336,620247,259
2019-12-19$90.99$90.0011.3%3.2%12.7%12.8%11.8%2.7%1.1%-59.2M358.9M-2.9M0.699.89N/AN/A1,12077435,864246,271
2019-12-20$91.94$90.0010.7%3.1%12.3%8.8%11.2%2.9%1.6%-25.8M261.5M-2.5M0.5110.58N/AN/A1,53979236,002246,329
2019-12-23$91.03$90.0011.3%3.3%12.8%13.0%10.9%2.8%0.4%-61.1M295.5M-2.6M0.0810.97N/AN/A2,25417929,554211,010
2019-12-24$91.35$90.0010.9%3.1%12.8%10.6%10.7%3.0%0.7%-57.0M260.9M-2.5M1.109.80N/AN/A636931,236211,114
2019-12-26$91.58$90.0010.4%3.0%12.1%8.2%10.8%2.3%0.6%-55.3M247.7M-2.5M0.978.02N/AN/A26725931,248211,162
2019-12-27$91.92$90.0010.6%3.0%12.0%9.6%10.5%2.7%0.9%-51.5M213.8M-2.4M0.218.27N/AN/A4699831,294211,332
2019-12-30$92.10$90.0011.0%3.2%12.0%13.1%11.3%3.5%0.5%-50.1M204.1M-2.3M0.7410.83N/AN/A33024531,398211,339
2019-12-31$92.67$90.0010.8%3.1%11.2%12.8%11.2%3.1%0.6%-42.0M144.5M-2.1M0.319.97N/AN/A41612731,433211,375