VNQ Options History — July 2020

In July 2020, VNQ traded between $77.34 and $81.77. ATM implied volatility averaged 28.4%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 4.3% (HV 20d: 24.1%). Max pain ranged from $77.00 to $80.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2020-07-15: Highest Volume — 12,051 contracts
  • 2020-07-13: Largest IV spike — 17.0% change
  • 2020-07-13: Highest IV Rank — 33.3%
  • 2020-07-13: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.06$77.34$81.77$80.53$81.02
Max Pain$78.18$77.00$80.00$77.00$80.00
ATM IV28.4%23.2%35.5%29.2%24.1%
Expected Move8.1%6.6%9.3%8.4%6.9%
HV 20d24.1%17.2%37.5%37.5%17.3%
HV 60d35.3%33.0%41.0%41.0%33.0%
IV Rank24.2%17.5%33.3%25.1%18.6%
IV Percentile65.8%57.5%77.4%69.8%57.5%
Term Structure0.4%-1.3%2.4%2.1%2.0%
VWIV29.8%24.4%36.7%32.0%24.6%
Skew 25d7.0%5.0%8.4%5.5%5.3%
Skew 10d15.0%8.5%18.3%16.6%11.2%
Call IV 25d25.5%21.3%28.8%27.4%21.8%
Put IV 25d32.5%26.7%36.9%33.0%27.1%
Bid-Ask Spread %14.328.9423.4523.4515.66
Gamma HHI0.130.120.150.120.13
Net GEX-7.7M-13.1M-758.7K-758.7K-6.5M
Net DEX271.3M147.5M363.7M152.4M198.5M
Net VEX-3.0M-3.7M-2.4M-3.7M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.153.190.960.19
Total Volume3,305.81871812,0513,8962,014
Total OI322,805.5309,117329,531323,635323,591

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-07-01$80.53$77.0029.2%8.4%37.5%25.1%32.0%5.5%2.1%-758.7K152.4M-3.7M0.9623.45N/AN/A1,9881,908147,360176,275
2020-07-02$80.24$77.0028.5%8.2%37.2%24.2%28.7%5.0%2.4%-1.2M174.6M-3.7M1.5315.33N/AN/A6681,023148,320177,440
2020-07-06$80.07$78.0030.6%8.9%34.4%26.9%32.1%7.8%0.4%-1.8M180.1M-3.5M0.2413.91N/AN/A9,1052,171148,586177,403
2020-07-07$78.60$78.0031.3%9.0%33.3%27.9%33.1%7.8%0.5%-5.1M262.1M-3.4M1.5112.17N/AN/A422637148,955177,528
2020-07-08$78.28$78.0031.8%9.1%33.2%28.4%33.0%7.9%-0.6%-6.7M283.0M-3.3M0.5012.27N/AN/A478240149,051177,855
2020-07-09$77.87$78.0031.9%9.2%32.4%28.6%32.9%8.4%-0.8%-7.4M310.6M-3.2M0.5817.42N/AN/A1,082623149,259177,913
2020-07-10$78.12$78.0030.4%9.0%23.8%26.7%33.6%7.6%-0.3%-7.4M297.7M-3.2M0.2113.85N/AN/A1,571334150,169177,787
2020-07-13$77.34$78.0035.5%9.3%22.1%33.3%33.0%7.8%1.9%-8.4M331.1M-3.1M0.4316.62N/AN/A1,831780151,334177,834
2020-07-14$77.74$78.0034.4%8.9%21.6%31.8%36.7%8.3%-0.7%-9.8M327.9M-3.1M1.2414.88N/AN/A580717150,963177,754
2020-07-15$78.67$78.0029.8%8.5%20.3%26.0%30.2%8.0%-0.3%-7.5M282.5M-3.0M0.1622.37N/AN/A10,3641,687151,266178,265
2020-07-16$77.73$78.0029.5%8.5%20.5%25.6%32.9%8.3%-0.3%-11.2M350.8M-2.9M0.2214.73N/AN/A2,483557150,597178,351
2020-07-17$78.84$78.0027.5%7.9%20.8%23.0%28.3%7.3%0.3%-12.2M304.8M-2.9M0.7212.06N/AN/A1,040744150,908178,577
2020-07-20$77.88$78.0027.1%7.8%20.9%22.5%30.6%7.0%-0.4%-12.6M354.3M-2.6M0.858.94N/AN/A1,4171,200133,879175,238
2020-07-21$77.87$78.0026.8%7.7%20.9%22.1%27.2%7.1%-0.9%-13.1M363.7M-2.6M0.259.64N/AN/A1,087267134,896176,313
2020-07-22$79.01$78.0026.1%7.5%21.6%21.2%27.2%6.6%0.3%-10.9M306.5M-2.6M0.159.28N/AN/A6,373965135,640176,452
2020-07-23$78.69$78.0026.3%7.5%18.5%21.5%28.7%7.3%0.1%-10.3M310.0M-2.7M0.9414.23N/AN/A798754139,954176,761
2020-07-24$78.16$78.0026.8%7.7%18.6%22.1%25.3%7.3%-1.3%-11.7M346.6M-2.6M0.3613.08N/AN/A551198140,438177,003
2020-07-27$78.85$78.0025.5%7.3%18.4%20.4%25.3%6.7%0.5%-10.7M313.2M-2.4M0.4312.62N/AN/A3,8511,649140,602177,117
2020-07-28$80.63$78.0024.7%7.1%19.6%19.4%26.6%6.0%1.2%-6.0M209.0M-2.6M3.1914.09N/AN/A1,2654,035140,812178,182
2020-07-29$81.77$80.0023.2%6.6%19.6%17.5%28.3%5.4%1.8%-2.9M147.5M-2.7M0.8011.93N/AN/A953765141,439180,635
2020-07-30$81.51$80.0024.1%6.9%17.2%18.6%24.4%5.8%1.2%-4.9M161.3M-2.7M0.3316.43N/AN/A1,171382141,829181,190
2020-07-31$81.02$80.0024.1%6.9%17.3%18.6%24.6%5.3%2.0%-6.5M198.5M-2.6M0.1915.66N/AN/A1,686328142,110181,481