VNQ Options History — April 2020

In April 2020, VNQ traded between $64.04 and $78.74. ATM implied volatility averaged 44.4%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 37.2% (HV 20d: 81.6%). Max pain ranged from $64.00 to $74.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 7.72.

Notable Days

  • 2020-04-21: Highest Volume — 67,520 contracts
  • 2020-04-06: Largest IV drop — 22.6% change
  • 2020-04-01: Highest IV Rank — 66.7%
  • 2020-04-01: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.00$64.04$78.74$64.34$75.92
Max Pain$69.67$64.00$74.00$70.00$74.00
ATM IV44.4%32.1%61.5%61.5%34.2%
Expected Move12.5%9.2%17.6%17.6%9.8%
HV 20d81.6%50.1%108.3%103.2%50.1%
HV 60d68.2%63.8%70.3%63.8%70.3%
IV Rank44.7%28.9%66.7%66.7%31.5%
IV Percentile90.4%84.1%96.8%96.8%84.5%
Term Structure-3.0%-6.7%2.2%-6.7%1.2%
VWIV46.0%33.2%69.9%69.9%36.4%
Skew 25d14.1%8.1%19.8%19.8%11.1%
Skew 10d28.7%19.9%40.4%35.2%22.5%
Call IV 25d37.6%27.2%53.1%53.1%29.7%
Put IV 25d51.7%37.4%73.0%73.0%40.8%
Bid-Ask Spread %23.6614.6878.7778.7735.68
Gamma HHI0.150.130.170.130.13
Net GEX-9.8M-15.3M-5.5M-5.5M-15.3M
Net DEX478.6M363.1M575.6M509.0M575.6M
Net VEX-1.9M-2.9M-989.0K-1.0M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.720.5369.333.590.53
Total Volume9,9001,14167,5208,4192,765
Total OI170,715.667143,243219,494143,243219,494

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-04-01$64.34$70.0061.5%17.6%103.2%66.7%69.9%19.8%-6.7%-5.5M509.0M-1.0M3.5978.77N/AN/A1,8346,58521,748121,495
2020-04-02$64.67$64.0057.6%14.8%103.5%61.7%57.7%19.6%-4.4%-5.7M512.6M-1.0M16.5414.68N/AN/A4327,14422,232125,608
2020-04-03$64.04$64.0055.6%14.8%103.5%59.2%51.7%17.5%-6.2%-5.8M513.0M-989.0K6.1415.30N/AN/A5603,43822,432126,226
2020-04-06$68.81$65.0043.0%12.0%107.0%43.1%44.8%13.8%-4.1%-6.8M491.2M-1.2M2.3616.02N/AN/A1,4503,42222,445127,100
2020-04-07$70.80$65.0046.5%12.2%107.7%47.3%44.1%15.0%-2.3%-7.4M473.5M-1.4M4.1416.22N/AN/A2,2659,37823,069128,622
2020-04-08$73.89$65.0040.5%11.6%108.3%39.6%46.8%14.6%-3.5%-9.2M445.7M-1.7M1.2916.69N/AN/A1,7402,25323,848135,246
2020-04-09$78.74$69.0042.2%12.1%103.8%41.8%44.2%8.1%-6.0%-10.5M363.1M-2.1M0.6721.83N/AN/A4,6773,11524,415136,736
2020-04-13$75.67$69.0044.9%12.9%102.4%45.3%45.5%15.6%-3.8%-9.4M405.9M-1.9M3.3622.16N/AN/A7822,62826,643138,050
2020-04-14$77.73$70.0041.7%11.9%87.8%41.1%41.1%12.6%-4.9%-10.2M375.4M-2.0M1.8720.28N/AN/A1,3492,52526,749139,173
2020-04-15$74.62$70.0045.2%13.0%89.3%45.7%45.3%15.3%-3.3%-9.0M423.6M-1.9M2.6116.74N/AN/A1,5093,93227,684139,938
2020-04-16$73.78$70.0046.3%13.3%77.2%47.1%45.9%15.3%-4.6%-8.9M440.3M-1.8M3.5116.09N/AN/A3301,15827,582142,002
2020-04-17$75.98$70.0044.1%12.6%76.8%44.2%46.7%14.4%-2.1%-9.7M403.1M-2.0M1.6821.06N/AN/A9771,64527,801141,936
2020-04-20$73.52$71.0047.0%13.5%75.6%47.9%52.3%15.0%-4.5%-9.0M453.1M-1.8M4.7317.59N/AN/A4852,29422,846125,087
2020-04-21$72.20$71.0050.8%14.6%69.0%52.9%55.0%15.5%-2.0%-8.3M459.5M-1.7M69.3320.29N/AN/A96066,56023,086125,278
2020-04-22$73.26$71.0046.0%13.2%63.5%46.7%48.5%14.0%-3.8%-12.0M549.5M-2.6M1.7818.33N/AN/A41173023,517167,729
2020-04-23$72.82$71.0043.5%12.5%57.7%43.5%46.5%14.5%-3.4%-12.1M563.2M-2.5M2.7221.47N/AN/A5771,57223,596167,971
2020-04-24$73.08$72.0040.2%11.5%56.8%39.3%39.3%12.6%-2.2%-12.3M566.3M-2.5M1.3518.54N/AN/A1,7042,30323,859168,055
2020-04-27$75.42$74.0035.5%10.2%57.3%33.3%37.0%10.8%-0.1%-13.2M532.8M-2.6M1.3520.97N/AN/A2,2623,04525,499169,662
2020-04-28$76.27$74.0034.4%9.9%57.3%31.9%33.2%10.5%1.2%-13.1M511.7M-2.6M1.5126.65N/AN/A2,5433,84327,270170,899
2020-04-29$77.37$74.0032.1%9.2%56.1%28.9%34.9%10.2%2.2%-13.2M482.1M-2.6M31.0841.49N/AN/A1,58149,13729,350173,051
2020-04-30$75.92$74.0034.2%9.8%50.1%31.5%36.4%11.1%1.2%-15.3M575.6M-2.9M0.5335.68N/AN/A1,80995630,520188,974