VNQ Options History — May 2020

In May 2020, VNQ traded between $68.47 and $77.83. ATM implied volatility averaged 34.1%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 6.3% (HV 20d: 40.4%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 5.01.

Notable Days

  • 2020-05-04: Highest Volume — 46,709 contracts
  • 2020-05-12: Largest IV spike — 23.8% change
  • 2020-05-04: Highest IV Rank — 40.5%
  • 2020-05-14: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.26$68.47$77.83$73.51$77.35
Max Pain$72.45$70.00$75.00$74.00$70.00
ATM IV34.1%26.0%41.1%37.4%31.3%
Expected Move9.6%7.5%11.2%10.7%9.0%
HV 20d40.4%32.4%52.1%52.1%40.0%
HV 60d71.5%70.5%72.9%70.5%71.3%
IV Rank31.4%21.1%40.5%35.6%27.9%
IV Percentile81.8%75.4%86.9%85.7%78.2%
Term Structure0.4%-2.2%2.6%-1.2%-2.0%
VWIV35.4%28.4%46.7%37.7%28.4%
Skew 25d10.2%6.7%13.5%13.4%7.6%
Skew 10d20.1%11.8%26.9%25.2%13.4%
Call IV 25d30.1%25.2%35.4%32.4%25.8%
Put IV 25d40.3%31.8%48.2%45.9%33.4%
Bid-Ask Spread %16.248.4444.0844.0813.36
Gamma HHI0.170.140.230.140.14
Net GEX-11.1M-14.4M-6.7M-14.3M-7.3M
Net DEX465.3M275.8M637.2M631.7M298.0M
Net VEX-2.8M-3.3M-2.4M-2.8M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.010.0563.512.679.55
Total Volume11,277.351,65346,7093,4163,884
Total OI241,670.75198,435278,612221,361278,560

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$73.51$74.0037.4%10.7%52.1%35.6%37.7%13.4%-1.2%-14.3M631.7M-2.8M2.6744.08N/AN/A9322,48432,185189,176
2020-05-04$73.20$75.0041.1%10.6%51.9%40.5%37.9%13.5%-0.3%-14.4M637.2M-2.8M4.7516.02N/AN/A8,12138,58832,236192,892
2020-05-05$73.58$75.0037.5%10.4%45.9%35.9%40.6%12.3%0.1%-11.0M431.1M-2.5M1.0821.26N/AN/A79386037,617160,818
2020-05-06$72.54$75.0036.5%9.8%45.3%34.5%36.4%11.4%0.7%-11.3M460.0M-2.4M4.2416.99N/AN/A7012,97537,690160,764
2020-05-07$73.38$75.0033.1%9.4%42.7%30.1%34.5%11.9%1.4%-11.8M448.8M-2.4M0.3314.04N/AN/A4,0691,34237,836162,908
2020-05-08$74.97$75.0027.7%9.3%36.6%23.3%33.0%10.0%1.9%-11.1M398.4M-2.5M0.0615.26N/AN/A17,4971,06740,146162,607
2020-05-11$74.06$75.0033.1%9.3%34.0%30.1%35.1%9.4%1.4%-9.9M407.0M-2.5M63.5118.72N/AN/A61839,24955,112162,849
2020-05-12$70.62$75.0040.9%10.3%36.1%40.2%35.7%9.5%0.2%-12.9M555.2M-2.7M1.1820.34N/AN/A1,7672,08155,144185,116
2020-05-13$68.72$75.0038.9%11.1%34.6%37.5%46.7%11.6%-1.6%-12.7M594.2M-2.6M5.6014.15N/AN/A1,6659,32955,593185,480
2020-05-14$68.90$75.0039.1%11.2%34.6%37.8%45.2%13.3%-0.1%-13.2M601.5M-2.7M3.1914.38N/AN/A1,6985,42256,527191,908
2020-05-15$68.47$70.0038.1%10.9%32.4%36.6%41.6%12.4%0.8%-13.1M615.7M-2.7M0.2215.66N/AN/A22,7175,07057,200196,048
2020-05-18$73.38$70.0033.4%9.6%40.1%30.5%36.1%9.9%0.7%-11.8M453.2M-3.1M1.138.44N/AN/A4,7985,41259,956190,342
2020-05-19$72.23$70.0035.6%10.2%40.0%33.3%35.5%9.7%-2.2%-11.7M480.8M-3.0M0.1716.79N/AN/A2,55144362,562192,575
2020-05-20$72.41$70.0035.3%10.1%39.7%32.9%31.7%10.0%-1.6%-12.2M482.4M-3.0M0.4713.62N/AN/A1,14253562,510192,551
2020-05-21$72.65$70.0030.2%8.7%39.6%26.5%30.7%9.1%2.6%-11.4M468.4M-3.0M0.0511.59N/AN/A16,14684563,570192,570
2020-05-22$73.44$70.0029.5%8.5%39.8%25.6%29.3%9.1%2.4%-10.1M438.2M-3.1M0.0511.77N/AN/A7,69440174,083192,736
2020-05-26$76.33$70.0030.5%8.7%40.6%26.9%31.9%6.8%-0.2%-8.3M339.1M-3.2M0.7113.41N/AN/A3,1902,25574,599192,743
2020-05-27$77.55$70.0026.4%7.6%40.8%21.5%31.4%6.7%2.5%-7.3M290.2M-3.3M1.0110.69N/AN/A1,8071,83383,870193,724
2020-05-28$77.83$70.0026.0%7.5%40.5%21.1%28.8%6.7%2.5%-6.7M275.8M-3.3M0.2914.20N/AN/A2,77479284,438194,174
2020-05-29$77.35$70.0031.3%9.0%40.0%27.9%28.4%7.6%-2.0%-7.3M298.0M-3.3M9.5513.36N/AN/A3683,51684,388194,172