VNQ Options History — February 2020

In February 2020, VNQ traded between $86.38 and $99.58. ATM implied volatility averaged 14.7%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.0% (HV 20d: 12.7%). Max pain ranged from $91.00 to $93.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 13.30.

Notable Days

  • 2020-02-06: Highest Volume — 64,812 contracts
  • 2020-02-28: Largest IV spike — 63.5% change
  • 2020-02-27: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.23$86.38$99.58$94.48$86.38
Max Pain$91.32$91.00$93.00$93.00$91.00
ATM IV14.7%10.3%40.1%13.1%40.1%
Expected Move4.3%3.2%11.5%3.8%11.5%
HV 20d12.7%10.1%27.9%11.4%27.9%
HV 60d12.4%11.4%18.8%11.6%18.8%
IV Rank39.8%10.5%100.0%37.2%100.0%
IV Percentile49.7%4.4%100.0%65.5%100.0%
Term Structure-0.5%-9.6%1.0%0.3%-9.6%
VWIV15.5%10.8%41.6%12.8%41.6%
Skew 25d3.9%2.3%14.0%4.0%14.0%
Skew 10d8.5%3.7%31.1%10.6%31.1%
Call IV 25d13.1%9.7%34.6%10.9%34.6%
Put IV 25d17.1%12.5%48.6%14.9%48.6%
Bid-Ask Spread %21.3111.2638.1811.2625.54
Gamma HHI0.330.240.360.240.33
Net GEX-46.2M-59.4M-39.4M-48.5M-51.6M
Net DEX194.9M-4.3M975.9M247.2M975.9M
Net VEX-2.5M-4.5M-1.6M-2.9M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio13.300.15120.600.2810.02
Total Volume7,660.89581164,8121,10819,543
Total OI234,710.526220,582243,870220,582243,870

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$94.48$93.0013.1%3.8%11.4%37.2%12.8%4.0%0.3%-48.5M247.2M-2.9M0.2811.26N/AN/A86724115,699204,883
2020-02-04$95.26$93.0012.3%3.5%11.7%29.6%12.5%3.5%0.5%-49.0M183.2M-2.5M0.1517.21N/AN/A70810316,050205,032
2020-02-05$95.19$93.0011.7%3.3%10.6%23.6%11.2%3.3%0.6%-47.8M166.4M-2.4M0.9411.94N/AN/A48245215,978205,055
2020-02-06$95.66$91.0010.5%3.3%10.6%12.4%16.1%3.1%0.6%-45.4M130.3M-2.2M120.6021.07N/AN/A53364,27916,081205,307
2020-02-07$95.60$91.0010.3%3.3%10.5%10.5%16.0%3.4%0.6%-52.7M194.4M-2.8M99.1426.63N/AN/A32332,02216,288217,220
2020-02-10$96.44$91.0010.8%3.3%10.5%15.2%11.5%3.1%0.5%-50.5M166.6M-2.7M0.7523.65N/AN/A54240716,424219,251
2020-02-11$97.34$91.0010.4%3.3%10.5%11.3%12.3%3.1%0.3%-44.5M72.1M-2.1M1.2019.07N/AN/A47657016,635219,322
2020-02-12$97.87$91.0011.1%3.2%10.3%18.3%11.0%2.3%1.0%-43.1M58.5M-2.1M1.0017.55N/AN/A1,4301,42516,754219,541
2020-02-13$98.33$91.0011.4%3.3%10.1%20.9%10.8%2.9%0.5%-42.4M25.7M-1.7M1.4022.17N/AN/A58281417,283220,555
2020-02-14$99.41$91.0011.9%3.4%10.4%25.7%11.7%2.7%0.9%-39.7M-1.5M-1.6M0.4014.77N/AN/A1,06042617,483221,038
2020-02-18$99.38$91.0012.4%3.6%10.4%31.0%13.7%2.5%0.5%-39.5M-4.3M-1.6M0.2122.97N/AN/A1,43030017,894221,316
2020-02-19$98.26$91.0012.8%3.7%11.2%34.0%12.2%2.6%0.0%-42.5M63.6M-2.0M0.9017.68N/AN/A83274718,445221,424
2020-02-20$99.17$91.0012.3%3.5%11.0%30.1%12.1%2.6%1.0%-39.5M10.8M-1.7M0.6022.14N/AN/A61937318,761221,825
2020-02-21$99.58$91.0012.8%3.7%10.6%34.4%13.8%2.8%0.7%-39.4M3.0M-1.7M0.3420.03N/AN/A1,17840018,919221,981
2020-02-24$98.31$91.0015.0%4.3%11.6%55.9%15.1%2.9%-1.0%-42.6M102.7M-2.3M1.0620.96N/AN/A44447117,073219,377
2020-02-25$95.99$91.0018.0%5.2%14.7%84.4%17.7%4.5%-1.9%-50.8M276.7M-3.2M1.5825.83N/AN/A62698817,231219,507
2020-02-26$95.12$91.0017.8%5.1%15.0%82.1%19.2%4.8%-1.9%-48.4M334.6M-3.5M11.3426.28N/AN/A5115,79517,375219,885
2020-02-27$90.58$91.0024.5%7.0%22.9%100.0%23.6%6.9%-3.1%-59.4M696.9M-4.5M0.8238.18N/AN/A1,9541,60417,525225,213
2020-02-28$86.38$91.0040.1%11.5%27.9%100.0%41.6%14.0%-9.6%-51.6M975.9M-4.5M10.0225.54N/AN/A1,77417,76917,778226,092