VNQ Options History — June 2020

In June 2020, VNQ traded between $76.37 and $86.52. ATM implied volatility averaged 34.3%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 6.0% (HV 20d: 40.2%). Max pain ranged from $70.00 to $77.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.74.

Notable Days

  • 2020-06-09: Highest Volume — 85,218 contracts
  • 2020-06-11: Largest IV spike — 31.5% change
  • 2020-06-12: Highest IV Rank — 41.4%
  • 2020-06-12: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.71$76.37$86.52$79.31$78.34
Max Pain$75.36$70.00$77.00$70.00$77.00
ATM IV34.3%26.2%41.8%29.1%33.5%
Expected Move9.8%7.6%12.0%8.3%9.6%
HV 20d40.2%37.7%45.0%38.8%38.6%
HV 60d55.8%43.1%71.4%71.4%43.1%
IV Rank31.6%21.3%41.4%25.1%30.7%
IV Percentile79.3%73.8%87.3%76.2%75.4%
Term Structure-0.8%-4.8%1.2%0.9%1.2%
VWIV34.1%24.6%42.2%30.5%32.8%
Skew 25d7.1%4.9%10.5%5.9%6.8%
Skew 10d13.9%9.9%21.4%14.3%14.4%
Call IV 25d31.4%23.6%37.9%27.6%30.5%
Put IV 25d38.5%30.2%48.3%33.5%37.3%
Bid-Ask Spread %22.0712.0437.7112.0437.71
Gamma HHI0.130.110.130.130.12
Net GEX-3.5M-7.1M5.7M-6.4M-5.1M
Net DEX163.0M-105.3M348.3M229.8M282.1M
Net VEX-3.5M-3.8M-3.2M-3.4M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.0117.092.620.34
Total Volume17,214.0451,29985,2182,67110,926
Total OI303,115.273282,050352,907282,050314,459

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$79.31$70.0029.1%8.3%38.8%25.1%30.5%5.9%0.9%-6.4M229.8M-3.4M2.6212.04N/AN/A7371,93484,597197,453
2020-06-02$79.47$70.0028.9%8.3%38.7%24.9%30.7%7.6%0.9%-6.5M226.4M-3.4M1.2312.61N/AN/A9,87612,10684,994198,897
2020-06-03$82.49$70.0028.1%8.0%40.4%23.7%27.7%4.9%0.2%-2.2M82.5M-3.6M0.6914.61N/AN/A2,5231,72994,470201,459
2020-06-04$81.37$75.0027.3%7.9%40.4%22.8%26.6%6.7%1.2%-3.9M147.8M-3.5M0.3418.08N/AN/A7,8132,67794,489202,486
2020-06-05$84.44$75.0026.2%7.6%41.9%21.3%24.6%6.6%1.0%-1.6M-3.6M-3.4M0.0426.73N/AN/A22,83992993,814202,650
2020-06-08$86.52$75.0029.1%8.0%42.0%25.1%25.7%6.5%-1.8%-587.9K-105.3M-3.2M0.2027.30N/AN/A4,46388493,617202,866
2020-06-09$85.35$75.0031.6%8.3%42.1%28.3%27.7%6.8%-1.4%-1.3M-42.8M-3.3M17.0925.34N/AN/A4,71180,50794,124203,098
2020-06-10$83.38$76.0030.6%8.8%38.7%27.0%31.8%7.0%-0.9%-3.3M58.4M-3.3M1.5430.30N/AN/A2,3033,55597,044190,133
2020-06-11$78.34$76.0040.2%11.5%44.5%39.3%40.9%8.2%-4.8%-7.1M283.3M-3.3M0.8521.29N/AN/A2,5712,19197,903192,722
2020-06-12$80.31$76.0041.8%12.0%45.0%41.4%42.2%10.5%-3.7%-5.1M199.7M-3.5M1.0617.92N/AN/A1,3001,37598,687193,374
2020-06-15$81.31$76.0040.8%11.7%44.7%40.0%37.7%10.5%-4.3%-4.4M155.5M-3.4M1.9322.32N/AN/A1,8323,54498,808193,604
2020-06-16$83.15$76.0039.8%11.4%39.0%38.7%35.9%8.2%-3.7%-2.9M72.4M-3.4M0.0732.46N/AN/A8,13853598,966195,502
2020-06-17$82.38$76.0039.0%11.2%38.6%37.7%41.0%8.1%-3.3%-3.0M95.4M-3.4M0.0219.88N/AN/A79,7291,589104,317195,632
2020-06-18$81.13$76.0038.2%11.0%39.3%36.7%39.2%7.0%-1.9%1.9M90.3M-3.8M0.0915.33N/AN/A3,677329153,074196,611
2020-06-19$80.38$77.0036.3%10.4%39.7%34.3%37.7%6.3%-0.8%5.7M118.4M-3.8M0.2721.36N/AN/A1,382368156,142196,765
2020-06-22$79.94$77.0034.4%9.9%39.8%31.8%35.2%5.7%0.2%-3.5M203.3M-3.6M0.0123.86N/AN/A76,558558140,816165,061
2020-06-23$79.88$77.0032.3%9.3%37.7%29.2%33.3%5.1%0.4%-3.6M204.2M-3.5M0.2019.29N/AN/A7,5771,526137,282165,411
2020-06-24$77.45$77.0036.9%10.6%39.1%35.0%37.4%6.3%0.7%-5.9M307.2M-3.5M3.0121.56N/AN/A1,3023,919137,806165,683
2020-06-25$77.05$77.0035.8%10.3%39.1%33.6%37.3%7.3%1.1%-5.9M312.6M-3.5M5.5824.62N/AN/A7083,949138,382168,613
2020-06-26$76.37$77.0036.9%10.6%39.1%35.1%36.6%7.6%1.0%-6.6M348.3M-3.5M0.2416.17N/AN/A1,810431138,699174,289
2020-06-29$77.28$77.0036.5%10.5%38.3%34.5%37.0%7.3%-0.5%-6.2M319.6M-3.5M0.8824.73N/AN/A692607139,277174,460
2020-06-30$78.34$77.0033.5%9.6%38.6%30.7%32.8%6.8%1.2%-5.1M282.1M-3.6M0.3437.71N/AN/A8,1442,782139,660174,799