VNQ Options History — November 2020

In November 2020, VNQ traded between $78.12 and $86.37. ATM implied volatility averaged 23.7%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 1.3% (HV 20d: 25.1%). Max pain ranged from $81.00 to $84.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 3.43.

Notable Days

  • 2020-11-16: Highest Volume — 22,956 contracts
  • 2020-11-04: Largest IV drop — 17.3% change
  • 2020-11-02: Highest IV Rank — 32.3%
  • 2020-11-02: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.53$78.12$86.37$78.12$84.10
Max Pain$82.90$81.00$84.00$81.00$84.00
ATM IV23.7%20.5%34.8%34.8%21.8%
Expected Move6.7%5.9%10.0%10.0%6.3%
HV 20d25.1%20.1%27.9%20.1%23.4%
HV 60d23.9%22.2%24.8%22.2%23.9%
IV Rank18.2%14.0%32.3%32.3%15.7%
IV Percentile41.5%27.4%75.8%75.8%34.9%
Term Structure-0.4%-3.9%1.3%-3.9%-0.6%
VWIV24.0%20.4%34.1%34.1%22.5%
Skew 25d5.2%2.8%8.3%8.3%2.8%
Skew 10d11.1%6.1%16.8%16.8%6.1%
Call IV 25d21.4%18.7%31.1%31.1%20.8%
Put IV 25d26.6%22.5%39.4%39.4%23.6%
Bid-Ask Spread %19.538.2756.2544.119.94
Gamma HHI0.100.080.110.110.09
Net GEX-7.1M-14.0M-823.1K-14.0M-8.9M
Net DEX42.4M-59.7M212.4M212.4M38.1M
Net VEX-1.5M-1.8M-1.3M-1.8M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.430.2232.960.691.10
Total Volume3,995.1553822,9565381,423
Total OI201,802.5188,442221,450188,442208,696

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$78.12$81.0034.8%10.0%20.1%32.3%34.1%8.3%-3.9%-14.0M212.4M-1.8M0.6944.11N/AN/A31921936,096152,346
2020-11-03$80.27$81.0032.3%9.3%22.6%29.1%32.4%6.9%-2.2%-12.2M152.8M-1.7M0.3311.42N/AN/A87428736,096152,346
2020-11-04$80.28$81.0026.7%7.7%22.6%22.0%29.3%5.0%-0.6%-11.7M137.3M-1.7M2.5156.25N/AN/A17443736,852152,493
2020-11-05$80.51$82.0025.6%7.2%22.1%20.5%26.7%7.5%-0.7%-11.0M131.9M-1.7M2.1624.57N/AN/A25454836,911152,539
2020-11-06$80.10$82.0024.0%6.9%22.1%18.5%24.2%6.3%-0.3%-12.5M136.4M-1.6M1.4218.87N/AN/A26938136,987152,528
2020-11-09$83.43$82.0025.6%6.6%26.7%20.5%24.1%5.0%-0.6%-6.7M26.4M-1.4M2.3949.24N/AN/A3,8699,24336,993152,737
2020-11-10$83.83$82.0024.1%6.5%25.9%18.7%23.1%5.5%-0.6%-6.8M19.7M-1.4M0.3421.09N/AN/A2,64390738,323155,292
2020-11-11$83.94$83.0022.4%6.4%25.4%16.5%21.7%5.4%-0.4%-5.1M10.9M-1.4M0.6416.03N/AN/A1,9881,26640,413155,883
2020-11-12$82.84$83.0023.6%6.8%25.9%18.1%22.9%5.3%-0.1%-7.3M50.7M-1.5M3.5816.25N/AN/A4831,73040,798156,917
2020-11-13$85.47$83.0022.5%6.4%27.9%16.6%21.6%5.6%-0.5%-2.9M-30.0M-1.3M0.2218.65N/AN/A3,49875440,827158,237
2020-11-16$86.12$83.0021.9%6.3%26.9%15.8%24.0%5.4%-0.3%-823.1K-59.7M-1.3M32.9613.13N/AN/A67622,28043,242158,506
2020-11-17$86.37$83.0021.8%6.3%26.9%15.7%22.5%5.7%-0.1%-2.4M-38.3M-1.5M1.2013.54N/AN/A2,4192,90543,335172,178
2020-11-18$85.12$84.0021.5%6.2%27.4%15.3%21.6%5.3%0.3%-2.4M-3.4M-1.5M0.7412.21N/AN/A1,6191,20444,638172,487
2020-11-19$84.99$84.0021.7%6.2%27.4%15.5%21.5%5.1%0.2%-4.5M5.9M-1.5M0.7513.53N/AN/A4,0343,04044,482173,054
2020-11-20$84.81$84.0020.9%6.0%27.5%14.6%22.9%4.9%1.3%-5.3M11.3M-1.5M1.678.91N/AN/A44574346,360175,090
2020-11-23$84.91$84.0021.1%6.0%26.4%14.8%20.4%4.4%-0.4%-7.2M22.1M-1.4M0.4213.90N/AN/A1,04944341,007167,042
2020-11-24$85.33$84.0021.3%6.1%26.1%15.1%21.4%3.6%-0.0%-6.4M2.9M-1.4M5.9010.85N/AN/A7374,35141,613167,190
2020-11-25$85.26$84.0020.5%5.9%23.8%14.0%20.9%3.9%0.5%-6.6M2.7M-1.3M1.228.27N/AN/A47958341,574165,935
2020-11-27$84.78$84.0020.9%6.0%24.0%14.5%23.2%3.0%0.4%-7.5M17.8M-1.3M8.379.79N/AN/A1421,18841,847166,160
2020-11-30$84.10$84.0021.8%6.3%23.4%15.7%22.5%2.8%-0.6%-8.9M38.1M-1.3M1.109.94N/AN/A67974441,905166,791