VNQ Options History — October 2020

In October 2020, VNQ traded between $76.22 and $83.49. ATM implied volatility averaged 26.5%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 2.6% (HV 20d: 23.9%). Max pain ranged from $81.00 to $81.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 10.22.

Notable Days

  • 2020-10-13: Highest Volume — 55,330 contracts
  • 2020-10-28: Largest IV spike — 14.1% change
  • 2020-10-30: Highest IV Rank — 32.6%
  • 2020-10-30: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.50$76.22$83.49$80.31$76.22
Max Pain$81.00$81.00$81.00$81.00$81.00
ATM IV26.5%20.0%35.0%24.7%35.0%
Expected Move7.9%7.1%10.0%7.1%10.0%
HV 20d23.9%17.6%28.6%28.2%17.6%
HV 60d21.2%20.8%21.7%21.1%21.7%
IV Rank21.7%13.4%32.6%19.4%32.6%
IV Percentile57.9%38.1%76.2%54.8%76.2%
Term Structure-0.0%-3.1%3.4%3.4%-3.1%
VWIV28.1%24.4%35.9%24.6%32.3%
Skew 25d6.8%5.0%8.2%5.0%8.1%
Skew 10d14.0%10.7%16.9%10.7%15.7%
Call IV 25d24.5%21.6%31.0%22.8%31.0%
Put IV 25d31.3%27.8%39.1%27.8%39.1%
Bid-Ask Spread %11.935.8121.9313.5510.23
Gamma HHI0.110.100.220.120.13
Net GEX-10.1M-19.7M-2.7M-7.0M-15.5M
Net DEX109.4M-22.4M268.5M55.7M268.5M
Net VEX-1.5M-2.0M-907.3K-1.0M-2.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.220.1465.090.841.39
Total Volume6,495.04527655,3305691,527
Total OI155,640.364114,996187,713114,996187,713

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$80.31$81.0024.7%7.1%28.2%19.4%24.6%5.0%3.4%-7.0M55.7M-1.0M0.8413.55N/AN/A31025932,78182,215
2020-10-02$81.81$81.0024.9%7.1%28.5%19.7%25.3%5.9%2.3%-5.4M23.4M-1.0M8.0221.93N/AN/A3462,77432,95782,362
2020-10-05$82.28$81.0024.9%7.8%28.6%19.6%29.8%7.9%0.5%-5.0M11.6M-1.0M0.7518.97N/AN/A32324233,11783,686
2020-10-06$81.94$81.0024.6%7.7%28.4%19.3%31.5%8.0%0.7%-5.2M17.3M-1.0M0.8020.10N/AN/A1,3771,09833,31683,710
2020-10-07$82.12$81.0023.9%7.7%28.3%18.5%27.8%7.4%0.7%-5.0M9.5M-1.0M6.7914.37N/AN/A1731,17534,49484,384
2020-10-08$83.16$81.0021.2%7.3%28.3%14.9%25.0%7.1%0.5%-3.4M-17.7M-942.1K1.2016.21N/AN/A41349434,50684,652
2020-10-09$82.94$81.0020.0%7.1%28.2%13.4%26.0%6.3%1.3%-3.5M-14.7M-907.3K58.9714.73N/AN/A17910,55634,63584,724
2020-10-12$83.49$81.0022.2%7.1%27.0%16.2%24.4%6.3%0.6%-2.7M-22.4M-921.2K6.3211.30N/AN/A4232,67234,66986,598
2020-10-13$82.01$81.0023.7%7.2%27.5%18.2%24.7%6.6%0.6%-5.7M14.9M-922.8K61.5912.70N/AN/A88454,44634,35188,985
2020-10-14$81.03$81.0025.4%7.3%27.4%20.3%26.4%6.4%0.7%-14.2M133.2M-1.7M1.1712.09N/AN/A57967834,746142,293
2020-10-15$81.56$81.0025.0%7.2%26.0%19.8%27.1%6.5%0.3%-12.7M114.0M-1.7M1.1817.32N/AN/A37544134,878140,663
2020-10-16$81.06$81.0025.3%7.2%25.6%20.2%26.0%6.1%0.3%-19.7M122.1M-1.6M65.0910.47N/AN/A61439,96734,865140,812
2020-10-19$79.69$81.0026.9%7.7%22.8%22.2%26.2%6.3%0.0%-12.4M171.4M-1.9M0.9910.93N/AN/A2,2282,20932,275145,314
2020-10-20$80.34$81.0026.6%7.6%22.4%21.9%27.9%6.6%0.5%-12.1M157.3M-1.9M4.148.65N/AN/A2511,03833,295147,412
2020-10-21$79.76$81.0027.0%7.7%19.0%22.4%27.7%6.7%-0.5%-12.4M170.6M-1.9M0.147.32N/AN/A2,31932533,484147,406
2020-10-22$79.95$81.0027.0%7.7%19.0%22.4%26.0%6.2%-0.5%-11.9M160.5M-1.9M0.246.60N/AN/A1,52236135,306147,648
2020-10-23$80.33$81.0026.5%7.6%18.9%21.7%25.7%6.2%-0.5%-11.4M147.3M-1.8M0.975.98N/AN/A14013635,286147,912
2020-10-26$78.92$81.0029.8%8.5%18.0%25.9%33.3%7.1%-1.3%-12.8M182.2M-1.9M0.647.23N/AN/A1,20877235,376148,013
2020-10-27$78.30$81.0030.5%8.7%18.0%26.8%30.0%7.0%-2.1%-13.7M203.2M-1.9M0.325.81N/AN/A1,08435235,354148,591
2020-10-28$76.37$81.0034.7%10.0%20.0%32.3%33.4%7.9%-3.1%-14.9M263.5M-2.0M0.557.24N/AN/A1,58086635,508148,867
2020-10-29$77.31$81.0032.9%9.4%18.8%30.0%35.9%8.2%-2.2%-14.5M235.1M-1.9M2.788.67N/AN/A1,1053,07035,691149,238
2020-10-30$76.22$81.0035.0%10.0%17.6%32.6%32.3%8.1%-3.1%-15.5M268.5M-2.0M1.3910.23N/AN/A64088736,332151,381