VNQ Options History — March 2020 In March 2020, VNQ traded between $56.27 and $93.92. ATM implied volatility averaged 56.5%, placing in the 78.6% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 12.9% (HV 20d: 69.4%). Max pain ranged from $70.00 to $91.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 19.37.
Notable Days 2020-03-06 : Highest Volume — 287,705 contracts2020-03-16 : Largest IV spike — 46.5% change2020-03-06 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 25.1%Monthly Statistics Metric Avg Min Max Open Close Price $74.76 $56.27 $93.92 $90.27 $68.81 Max Pain $83.55 $70.00 $91.00 $91.00 $70.00 ATM IV 56.5% 26.1% 87.6% 30.5% 49.4% Expected Move 15.6% 7.5% 25.1% 8.7% 14.2% HV 20d 69.4% 32.6% 104.7% 32.6% 102.8% HV 60d 42.7% 21.0% 62.5% 21.0% 62.5% IV Rank 78.6% 51.2% 100.0% 68.9% 51.2% IV Percentile 98.5% 94.0% 100.0% 99.6% 94.0% Term Structure -9.1% -19.7% -3.4% -5.7% -3.9% VWIV 59.3% 27.7% 83.6% 34.8% 58.1% Skew 25d 21.4% 10.2% 32.1% 10.2% 20.1% Skew 10d 42.7% 20.8% 63.2% 23.1% 39.9% Call IV 25d 45.0% 22.4% 68.5% 26.4% 43.5% Put IV 25d 66.4% 33.9% 100.6% 36.6% 63.6% Bid-Ask Spread % 55.31 26.10 89.24 26.10 82.38 Gamma HHI 0.19 0.12 0.30 0.30 0.16 Net GEX -21.5M -55.6M -3.1M -55.6M -6.9M Net DEX 673.1M 462.4M 1.18B 745.8M 492.4M Net VEX -2.7M -5.3M -644.2K -4.6M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 19.37 1.07 239.15 1.99 2.52 Total Volume 24,166.682 1,529 287,705 1,529 4,366 Total OI 187,590.409 124,591 259,287 251,246 141,622
Daily Data (22 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 2020-03-02 $90.27 $91.00 30.5% 8.7% 32.6% 68.9% 34.8% 10.2% -5.7% -55.6M 745.8M -4.6M 1.99 26.10 N/A N/A 512 1,017 17,712 233,534 2020-03-03 $91.39 $91.00 32.2% 9.2% 32.9% 74.4% 40.6% 14.3% -5.7% -54.5M 696.6M -4.5M 5.55 43.94 N/A N/A 495 2,747 17,723 234,228 2020-03-04 $93.92 $91.00 26.1% 7.5% 34.3% 54.9% 29.7% 11.5% -4.2% -48.1M 531.1M -4.2M 1.65 41.27 N/A N/A 680 1,122 17,694 236,633 2020-03-05 $91.67 $91.00 35.6% 8.0% 35.3% 85.6% 27.7% 11.6% -3.4% -48.8M 686.0M -4.5M 1.75 33.30 N/A N/A 568 996 18,101 237,604 2020-03-06 $89.83 $91.00 42.9% 9.5% 35.8% 100.0% 37.0% 16.5% -5.0% -48.5M 813.8M -4.7M 239.15 34.10 N/A N/A 1,198 286,507 18,278 238,005 2020-03-09 $84.86 $91.00 61.2% 12.4% 40.5% 100.0% 43.6% 21.5% -7.7% -37.1M 912.2M -5.3M 30.22 35.29 N/A N/A 547 16,532 18,614 237,897 2020-03-10 $85.42 $91.00 52.4% 12.0% 40.4% 83.2% 45.3% 20.1% -6.6% -36.3M 863.0M -5.3M 1.07 29.28 N/A N/A 1,900 2,041 18,650 237,501 2020-03-11 $81.48 $90.00 49.0% 14.0% 42.5% 76.5% 51.2% 20.4% -9.7% -33.7M 1.01B -5.1M 1.78 33.32 N/A N/A 932 1,663 19,384 238,665 2020-03-12 $73.21 $90.00 61.8% 17.7% 54.5% 100.0% 55.5% 22.9% -13.0% -22.9M 1.18B -4.2M 87.89 33.41 N/A N/A 1,298 114,087 19,887 239,400 2020-03-13 $77.94 $86.00 52.5% 15.0% 60.8% 82.3% 56.7% 23.2% -8.4% -14.6M 601.7M -2.3M 3.92 31.44 N/A N/A 976 3,823 20,478 126,387 2020-03-16 $67.51 $86.00 76.9% 22.0% 76.0% 100.0% 81.5% 27.7% -18.0% -7.8M 659.2M -1.7M 8.91 38.25 N/A N/A 705 6,285 20,691 128,867 2020-03-17 $68.99 $86.00 69.8% 20.0% 77.1% 89.6% 77.2% 25.4% -15.4% -7.9M 679.3M -1.7M 1.53 32.02 N/A N/A 1,125 1,719 21,048 130,944 2020-03-18 $61.34 $86.00 87.6% 25.1% 84.7% 100.0% 83.6% 32.1% -19.7% -4.8M 661.1M -1.2M 2.04 81.60 N/A N/A 981 2,006 21,398 129,079 2020-03-19 $63.81 $86.00 70.6% 20.2% 86.9% 78.3% 79.3% 28.9% -12.0% -5.7M 655.3M -1.4M 3.82 86.55 N/A N/A 608 2,320 21,729 128,065 2020-03-20 $60.86 $86.00 67.3% 19.3% 86.8% 74.1% 71.6% 22.4% -10.7% -4.6M 666.5M -977.1K 2.01 89.24 N/A N/A 2,213 4,456 21,945 127,957 2020-03-23 $56.27 $80.00 75.4% 21.6% 88.7% 84.4% 76.1% 27.5% -9.2% -3.1M 541.6M -644.2K 14.56 79.15 N/A N/A 1,951 28,400 15,222 109,689 2020-03-24 $61.28 $75.00 60.7% 17.4% 97.4% 65.6% 70.0% 20.5% -8.6% -3.8M 511.0M -668.4K 7.42 82.03 N/A N/A 966 7,169 16,515 108,076 2020-03-25 $66.42 $70.00 68.1% 19.5% 104.0% 75.0% 67.9% 22.9% -12.8% -6.0M 488.1M -1.2M 1.13 83.81 N/A N/A 3,739 4,208 17,035 111,525 2020-03-26 $68.49 $70.00 60.3% 17.3% 104.7% 65.1% 74.5% 24.9% -7.2% -6.9M 478.4M -1.3M 1.82 83.26 N/A N/A 2,830 5,160 18,183 114,199 2020-03-27 $70.10 $70.00 57.4% 16.5% 104.7% 61.5% 77.2% 23.0% -6.7% -7.4M 462.4M -1.5M 2.58 82.57 N/A N/A 2,116 5,461 20,269 116,764 2020-03-30 $70.81 $70.00 55.1% 15.8% 103.0% 58.5% 66.4% 22.5% -7.7% -7.8M 474.7M -1.5M 2.71 54.41 N/A N/A 873 2,369 20,551 119,241 2020-03-31 $68.81 $70.00 49.4% 14.2% 102.8% 51.2% 58.1% 20.1% -3.9% -6.9M 492.4M -1.3M 2.52 82.38 N/A N/A 1,240 3,126 21,185 120,437
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