VNQ Options History — January 2020

In January 2020, VNQ traded between $91.28 and $95.80. ATM implied volatility averaged 11.1%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 1.2% (HV 20d: 12.2%). Max pain ranged from $90.00 to $93.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 54.63.

Notable Days

  • 2020-01-23: Highest Volume — 286,023 contracts
  • 2020-01-24: Largest IV spike — 12.5% change
  • 2020-01-31: Highest IV Rank — 36.6%
  • 2020-01-31: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.72$91.28$95.80$91.38$93.84
Max Pain$92.05$90.00$93.00$90.00$93.00
ATM IV11.1%9.5%13.0%12.3%13.0%
Expected Move3.3%2.7%3.7%3.5%3.7%
HV 20d12.2%11.4%13.4%12.2%11.7%
HV 60d11.5%10.7%12.0%10.7%12.0%
IV Rank17.5%3.0%36.6%24.9%36.6%
IV Percentile17.5%0.4%63.1%33.3%63.1%
Term Structure0.8%0.3%1.1%0.3%0.3%
VWIV11.5%9.5%13.1%11.6%11.9%
Skew 25d3.0%2.2%4.5%3.1%4.5%
Skew 10d7.1%4.6%10.2%5.8%9.0%
Call IV 25d10.1%8.7%11.5%11.0%11.5%
Put IV 25d13.1%10.8%16.0%14.0%16.0%
Bid-Ask Spread %15.0110.8926.7112.5516.15
Gamma HHI0.290.240.580.260.25
Net GEX-37.7M-61.5M74.7M-57.6M-52.5M
Net DEX131.4M-98.0M302.5M270.3M302.5M
Net VEX-1.9M-3.1M-649.0K-2.5M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio54.630.031134.010.870.47
Total Volume14,806.524337286,0231,286832
Total OI233,739.429218,653246,397242,809220,205

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$91.38$90.0012.3%3.5%12.2%24.9%11.6%3.1%0.3%-57.6M270.3M-2.5M0.8712.55N/AN/A68759931,424211,385
2020-01-03$92.26$90.0011.5%3.3%12.6%18.5%11.8%2.4%0.9%-47.0M173.2M-2.1M0.3310.89N/AN/A90930331,653211,501
2020-01-06$92.38$92.0011.9%3.5%12.6%25.5%11.9%3.1%0.8%-47.6M158.1M-2.0M0.0316.96N/AN/A4,32013231,908211,579
2020-01-07$91.28$92.0011.8%3.6%13.2%24.1%12.4%3.1%0.7%-61.5M269.1M-2.3M0.5015.06N/AN/A54126832,100211,629
2020-01-08$91.77$92.0010.7%3.3%13.4%14.6%11.7%2.8%1.0%-58.0M209.9M-2.1M0.5215.70N/AN/A41921832,279211,798
2020-01-09$91.56$92.0010.1%3.3%13.2%8.7%12.0%2.6%0.8%-59.7M215.6M-2.0M0.9215.42N/AN/A34131232,435211,811
2020-01-10$92.35$92.0010.2%3.3%13.0%9.4%11.8%2.6%0.8%-54.5M132.8M-1.8M0.2515.27N/AN/A80119832,635212,002
2020-01-13$93.26$92.0011.3%3.2%12.7%19.6%11.3%2.9%0.9%-43.0M62.9M-1.5M0.6915.59N/AN/A61242132,565212,121
2020-01-14$92.91$92.009.9%3.1%12.6%6.4%11.9%2.8%1.1%-50.9M79.4M-1.5M0.3515.87N/AN/A52318432,582212,097
2020-01-15$93.76$92.0010.3%3.0%12.3%10.7%10.8%2.7%1.1%-39.2M4.9M-1.2M0.1313.31N/AN/A2,31129032,455212,226
2020-01-16$94.41$92.0010.3%3.0%11.6%10.7%11.0%2.8%1.1%8.3M-60.7M-897.4K0.1312.71N/AN/A1,36017633,541212,300
2020-01-17$94.76$92.009.5%2.7%11.6%3.0%9.5%2.2%1.1%74.7M-98.0M-741.3K0.0913.51N/AN/A2,08719434,065212,332
2020-01-21$95.60$92.009.8%2.8%11.7%5.3%10.8%3.0%0.9%-23.9M-45.6M-649.0K0.6411.04N/AN/A34322114,940203,713
2020-01-22$94.83$92.0010.8%3.1%11.9%14.7%10.9%2.6%0.7%-32.0M1.6M-951.8K0.5411.93N/AN/A45224415,088203,811
2020-01-23$95.80$92.0010.3%2.9%11.4%10.2%10.8%3.3%0.7%-27.6M-17.0M-880.3K1134.0114.21N/AN/A252285,77115,231203,945
2020-01-24$95.33$92.0011.6%3.3%11.7%22.5%11.2%3.1%0.7%-42.7M209.7M-2.7M2.3614.81N/AN/A15937515,402204,116
2020-01-27$95.10$93.0012.5%3.6%11.8%31.6%13.1%3.5%0.3%-44.3M243.8M-3.0M3.2414.18N/AN/A24077815,414204,370
2020-01-28$95.44$93.0011.9%3.4%11.8%25.6%11.9%3.5%0.4%-43.0M202.4M-2.7M0.0315.77N/AN/A2,1207115,601204,562
2020-01-29$95.03$93.0011.4%3.3%12.0%20.6%11.2%3.1%0.7%-44.8M214.9M-2.7M0.3017.50N/AN/A2597815,244204,550
2020-01-30$95.01$93.0011.7%3.3%11.9%23.4%12.7%4.4%0.6%-44.9M230.7M-2.8M0.8626.71N/AN/A28824815,316204,597
2020-01-31$93.84$93.0013.0%3.7%11.7%36.6%11.9%4.5%0.3%-52.5M302.5M-3.1M0.4716.15N/AN/A56626615,426204,779