VNQ Options History — August 2020

In August 2020, VNQ traded between $79.97 and $82.58. ATM implied volatility averaged 21.7%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.0% (HV 20d: 16.7%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2020-08-03: Highest Volume — 15,556 contracts
  • 2020-08-04: Largest IV drop — 9.6% change
  • 2020-08-03: Highest IV Rank — 20.6%
  • 2020-08-03: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.42$79.97$82.58$80.35$81.92
Max Pain$84.29$80.00$85.00$80.00$85.00
ATM IV21.7%19.7%25.6%25.6%21.3%
Expected Move6.3%5.6%7.3%7.3%6.1%
HV 20d16.7%14.9%17.6%17.6%15.9%
HV 60d28.1%23.9%33.0%33.0%23.9%
IV Rank15.6%13.0%20.6%20.6%15.0%
IV Percentile53.7%50.4%59.1%59.1%52.0%
Term Structure2.8%1.1%5.2%1.1%1.5%
VWIV22.8%19.3%27.6%26.0%21.9%
Skew 25d6.2%4.8%7.2%5.8%5.8%
Skew 10d11.9%9.4%14.1%11.2%10.4%
Call IV 25d19.7%17.5%22.9%22.9%19.1%
Put IV 25d25.8%23.1%28.7%28.7%24.9%
Bid-Ask Spread %12.928.9619.3213.069.63
Gamma HHI0.160.130.200.140.20
Net GEX-8.4M-17.0M559.4K-8.0M-8.0M
Net DEX188.0M98.0M294.4M231.6M159.9M
Net VEX-2.0M-2.5M-1.5M-2.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.235.195.190.23
Total Volume2,425.1979715,55615,5561,096
Total OI335,189.714324,900340,504324,900334,242

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$80.35$80.0025.6%7.3%17.6%20.6%26.0%5.8%1.1%-8.0M231.6M-2.5M5.1913.06N/AN/A2,51413,042143,407181,493
2020-08-04$81.59$80.0023.2%6.6%16.9%17.5%23.9%5.0%1.7%-5.3M167.4M-2.5M0.4811.57N/AN/A1,217581145,331186,342
2020-08-05$81.03$80.0022.7%6.5%17.0%16.8%25.2%4.8%2.4%-6.5M199.6M-2.5M0.3516.10N/AN/A925320146,202186,688
2020-08-06$81.26$85.0022.6%7.0%16.8%16.8%24.2%7.0%3.1%-7.3M185.4M-2.4M0.2519.32N/AN/A1,108273146,696186,833
2020-08-07$82.35$85.0021.4%6.8%17.3%15.2%19.3%7.2%4.3%-1.1M107.3M-2.4M2.0217.63N/AN/A1,1102,246147,621186,862
2020-08-10$82.58$85.0021.5%6.6%16.6%15.4%22.8%7.1%4.6%559.4K98.0M-2.4M0.3515.00N/AN/A1,804624148,063188,597
2020-08-11$81.56$85.0022.5%6.8%17.5%16.7%24.9%7.1%3.3%-3.3M158.4M-2.3M0.6915.93N/AN/A824566148,593188,826
2020-08-12$82.16$85.0023.6%6.8%17.3%18.1%24.0%6.4%3.0%-2.5M122.1M-2.2M0.3217.96N/AN/A730233148,763189,135
2020-08-13$81.06$85.0022.9%6.6%17.4%17.1%22.5%6.7%3.3%-9.3M228.1M-2.1M0.5012.10N/AN/A531266149,211189,256
2020-08-14$81.08$85.0022.5%6.4%16.8%16.6%27.6%6.7%3.8%-7.5M209.8M-2.2M0.6912.58N/AN/A1,091751149,254189,425
2020-08-17$81.76$85.0021.4%6.1%16.2%15.2%26.1%6.9%4.5%-6.8M164.9M-2.0M1.989.83N/AN/A414819149,172189,935
2020-08-18$81.51$85.0020.4%5.8%16.3%13.9%22.3%6.0%5.2%-10.0M189.7M-1.9M1.5911.10N/AN/A486773149,193190,327
2020-08-19$79.97$85.0021.7%6.2%17.3%15.6%21.2%5.6%4.8%-15.9M294.4M-1.9M0.2510.48N/AN/A1,741433149,503190,467
2020-08-20$80.81$85.0021.0%6.0%17.5%14.7%20.9%5.9%1.8%-14.0M254.1M-1.7M1.1615.95N/AN/A510591149,204190,674
2020-08-21$80.73$85.0020.4%5.8%17.3%13.9%21.3%5.6%2.3%-14.9M252.5M-1.7M0.2911.27N/AN/A2,369689149,442191,062
2020-08-24$81.30$85.0020.5%5.9%17.2%14.0%20.3%6.2%1.9%-12.6M211.9M-1.6M1.579.65N/AN/A1,8212,852145,226185,229
2020-08-25$81.52$85.0019.7%5.6%15.4%13.0%20.2%6.4%1.5%-13.1M202.5M-1.6M0.718.96N/AN/A808574146,230184,860
2020-08-26$80.72$85.0020.2%5.8%14.9%13.7%21.3%6.2%1.8%-17.0M245.3M-1.6M1.6910.80N/AN/A8431,424146,891184,846
2020-08-27$82.19$85.0020.6%5.9%16.3%14.1%20.8%5.6%1.9%-4.8M141.5M-1.6M0.4511.04N/AN/A648290146,939185,273
2020-08-28$82.38$85.0020.4%5.9%16.1%13.9%21.2%5.3%1.8%-8.3M123.8M-1.5M2.1711.42N/AN/A313679147,389186,282
2020-08-31$81.92$85.0021.3%6.1%15.9%15.0%21.9%5.8%1.5%-8.0M159.9M-1.5M0.239.63N/AN/A889207147,463186,779