VNQ Options History — September 2020

In September 2020, VNQ traded between $76.41 and $83.98. ATM implied volatility averaged 24.0%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.7% (HV 20d: 21.3%). Max pain ranged from $81.00 to $85.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 5.22.

Notable Days

  • 2020-09-30: Highest Volume — 8,648 contracts
  • 2020-09-09: Largest IV drop — 15.2% change
  • 2020-09-08: Highest IV Rank — 22.8%
  • 2020-09-23: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.45$76.41$83.98$81.65$78.58
Max Pain$83.19$81.00$85.00$85.00$81.00
ATM IV24.0%20.9%27.3%20.9%25.6%
Expected Move6.9%6.0%7.7%6.0%7.3%
HV 20d21.3%15.1%28.2%15.1%28.1%
HV 60d20.2%18.3%23.6%23.3%20.6%
IV Rank18.5%14.5%22.8%14.5%20.6%
IV Percentile55.5%48.0%63.1%51.2%56.3%
Term Structure2.4%1.2%3.7%2.1%3.1%
VWIV24.3%20.6%30.5%20.6%27.1%
Skew 25d5.7%4.5%7.4%6.3%4.6%
Skew 10d11.7%8.2%15.8%10.9%9.7%
Call IV 25d22.0%19.1%25.4%19.1%24.3%
Put IV 25d27.7%23.9%31.3%25.4%28.9%
Bid-Ask Spread %17.548.8824.908.8815.50
Gamma HHI0.260.140.770.200.15
Net GEX-12.7M-108.5M25.6M-8.9M-6.0M
Net DEX114.5M-131.1M278.0M168.7M77.1M
Net VEX-1.2M-1.6M-953.7K-1.5M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.220.0955.520.6455.52
Total Volume2,673.7627058,6487058,648
Total OI249,152.143105,721342,149334,778109,238

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$81.65$85.0020.9%6.0%15.1%14.5%20.6%6.3%2.1%-8.9M168.7M-1.5M0.648.88N/AN/A429276147,959186,819
2020-09-02$83.42$85.0021.3%6.1%16.6%15.1%20.9%4.9%2.8%1.1M54.5M-1.5M3.2814.75N/AN/A7842,570148,024186,980
2020-09-03$82.08$85.0023.6%7.2%17.7%18.0%25.9%7.4%2.0%-5.8M146.5M-1.6M0.4020.46N/AN/A1,508609148,419189,221
2020-09-04$82.08$82.0023.8%7.3%17.1%18.2%28.5%7.2%1.5%-6.1M151.2M-1.5M3.0824.90N/AN/A287885149,110189,378
2020-09-08$81.27$82.0027.3%7.5%17.4%22.8%26.7%7.2%1.5%-15.3M226.3M-1.4M0.9418.49N/AN/A512483149,142189,876
2020-09-09$81.81$82.0023.2%6.6%17.0%17.5%24.3%6.5%2.4%-12.0M182.3M-1.3M8.3522.75N/AN/A1811,512149,304190,143
2020-09-10$80.92$82.0023.4%6.7%17.2%17.8%23.3%6.8%2.6%-28.6M251.3M-1.2M1.4321.31N/AN/A636908149,359191,346
2020-09-11$80.27$82.0022.9%6.6%16.8%17.2%23.0%6.8%2.5%-24.2M278.0M-1.2M12.3023.31N/AN/A4825,931149,416191,535
2020-09-14$82.24$82.0021.6%6.2%18.9%15.4%21.0%5.2%3.1%-8.6M117.2M-1.0M1.0619.20N/AN/A1,5611,650149,348191,316
2020-09-15$83.13$82.0021.5%6.2%19.1%15.4%21.2%4.8%3.0%6.9M44.9M-1.0M1.1419.05N/AN/A1,2111,375150,092192,057
2020-09-16$83.98$84.0021.1%6.1%19.3%14.9%21.6%4.5%3.7%25.6M-131.1M-953.7K0.2722.36N/AN/A5,9811,636150,507178,159
2020-09-17$81.83$84.0022.2%6.4%20.4%16.2%24.0%5.8%2.4%-29.6M22.9M-1.0M1.6922.41N/AN/A353597148,309178,874
2020-09-18$80.65$84.0022.8%6.5%20.8%16.9%21.7%5.2%2.0%-108.5M149.1M-986.0K3.1223.10N/AN/A9432,941148,333179,164
2020-09-21$77.81$84.0025.7%7.4%24.4%20.7%25.8%5.3%2.0%-6.7M96.4M-982.7K0.7911.25N/AN/A1,3481,06930,92974,792
2020-09-22$78.92$84.0025.2%7.2%24.9%20.1%23.5%5.6%1.2%-6.8M77.1M-958.6K11.2013.42N/AN/A2552,85731,00375,310
2020-09-23$76.41$84.0026.9%7.7%27.1%22.2%27.6%6.0%1.7%-6.9M121.6M-985.7K2.0212.79N/AN/A30461531,15975,582
2020-09-24$76.83$84.0026.6%7.6%27.1%21.8%22.3%4.8%2.9%-7.3M114.4M-959.0K1.0715.36N/AN/A91898031,27175,971
2020-09-25$77.44$84.0026.8%7.7%26.3%22.0%25.6%5.6%2.6%-6.5M106.4M-1.1M1.0512.30N/AN/A49451831,36176,752
2020-09-28$79.38$83.0025.4%7.3%28.1%20.3%24.6%4.9%2.9%-6.0M68.3M-1.0M0.1412.21N/AN/A1,01213831,42976,511
2020-09-29$78.72$82.0025.8%7.4%28.2%20.8%30.5%5.2%2.6%-6.1M81.2M-1.1M0.0914.56N/AN/A6926032,17676,521
2020-09-30$78.58$81.0025.6%7.3%28.1%20.6%27.1%4.6%3.1%-6.0M77.1M-1.0M55.5215.50N/AN/A1538,49532,73076,508