VNQ Options History — December 2020

In December 2020, VNQ traded between $83.59 and $86.49. ATM implied volatility averaged 19.4%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.7% (HV 20d: 16.7%). Max pain ranged from $80.00 to $84.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 9.14.

Notable Days

  • 2020-12-31: Highest Volume — 82,781 contracts
  • 2020-12-21: Largest IV spike — 12.1% change
  • 2020-12-21: Highest IV Rank — 15.0%
  • 2020-12-21: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.83$83.59$86.49$85.13$84.72
Max Pain$81.91$80.00$84.00$84.00$84.00
ATM IV19.4%17.6%21.3%21.1%18.8%
Expected Move5.6%5.0%6.1%6.0%5.4%
HV 20d16.7%12.1%22.4%22.4%15.7%
HV 60d21.9%19.8%24.1%24.0%19.8%
IV Rank12.7%10.3%15.0%14.8%11.9%
IV Percentile21.8%16.3%29.8%28.6%17.1%
Term Structure1.4%-0.2%2.6%-0.2%0.8%
VWIV20.3%17.7%23.6%21.3%19.7%
Skew 25d3.1%-1.0%5.1%2.3%2.6%
Skew 10d6.2%-0.4%9.4%5.6%6.1%
Call IV 25d18.4%17.1%20.4%20.1%18.3%
Put IV 25d21.6%16.9%23.4%22.3%20.9%
Bid-Ask Spread %10.585.4216.508.328.15
Gamma HHI0.100.070.200.100.07
Net GEX-3.9M-13.2M17.1M-4.3M-5.6M
Net DEX1.8M-105.0M96.5M-13.9M74.1M
Net VEX-1.0M-1.3M-640.4K-1.3M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.140.07144.740.82144.74
Total Volume6,998.536982,78171282,781
Total OI210,398.727160,163242,869229,091170,891

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$85.13$84.0021.1%6.0%22.4%14.8%21.3%2.3%-0.2%-4.3M-13.9M-1.3M0.828.32N/AN/A39232051,854177,237
2020-12-02$84.44$84.0020.5%5.9%21.1%14.1%23.6%2.5%0.5%-7.1M15.5M-1.3M10.186.54N/AN/A2532,57651,974177,433
2020-12-03$85.06$80.0020.0%5.8%21.2%13.4%20.2%5.1%1.3%-3.6M-13.1M-1.3M1.0811.77N/AN/A17719252,054179,238
2020-12-04$86.42$80.0018.8%5.6%21.7%11.8%19.3%4.3%1.4%2.4M-76.2M-1.1M1.3412.89N/AN/A9871,31952,113179,387
2020-12-07$85.49$80.0020.1%5.8%22.1%13.5%19.6%4.8%1.0%352.2K-55.7M-977.1K0.2313.45N/AN/A2,17048952,655178,990
2020-12-08$85.30$80.0019.0%5.4%17.1%12.1%20.5%4.4%1.9%-1.5M-32.8M-1.1M0.1512.16N/AN/A1,28619453,710179,055
2020-12-09$84.92$80.0019.1%5.5%17.1%12.2%22.2%4.1%2.0%-4.7M-14.0M-1.1M2.1010.80N/AN/A1,9944,19153,769179,113
2020-12-10$84.49$80.0019.0%5.5%17.3%12.1%20.2%4.2%2.5%-8.6M1.6M-1.0M0.5810.36N/AN/A40323454,036182,709
2020-12-11$84.34$80.0019.3%5.5%16.5%12.5%20.0%4.3%2.3%-9.2M16.0M-1.1M2.1311.73N/AN/A38682254,182182,783
2020-12-14$84.08$80.0020.0%5.7%12.1%13.4%19.3%3.9%1.5%-13.2M23.4M-1.0M0.3110.72N/AN/A3,5931,12254,217182,836
2020-12-15$85.49$82.0019.3%5.5%13.3%12.5%18.3%3.5%2.5%3.3M-53.5M-937.0K0.1210.76N/AN/A2,61031257,347183,536
2020-12-16$85.78$82.0018.6%5.3%13.3%11.6%20.6%3.5%2.6%7.0M-74.2M-891.7K0.7716.50N/AN/A3,4332,62858,684183,659
2020-12-17$86.49$82.0018.7%5.4%12.5%11.7%18.7%3.7%1.5%17.1M-105.0M-846.6K0.4613.06N/AN/A1,68877157,635185,234
2020-12-18$84.62$82.0018.9%5.4%14.8%12.1%19.7%3.3%1.6%-10.3M-17.6M-857.5K1.229.35N/AN/A1,0051,22257,978184,409
2020-12-21$84.19$82.0021.3%6.1%14.9%15.0%20.7%2.3%0.6%-8.5M26.8M-921.0K24.6014.67N/AN/A70017,21833,230126,933
2020-12-22$84.94$82.0019.9%5.7%15.3%13.2%19.9%1.7%0.7%-7.3M8.3M-905.5K0.077.62N/AN/A1,66210833,529131,604
2020-12-23$84.88$82.0017.6%5.0%15.2%10.3%17.7%-1.0%2.5%-3.2M-19.4M-640.4K2.7810.60N/AN/A1,1493,19834,204131,660
2020-12-24$83.59$84.0018.0%5.1%16.1%10.8%21.2%2.9%1.7%-7.6M96.5M-1.2M1.835.42N/AN/A9231,69030,676134,640
2020-12-28$84.22$84.0019.5%5.6%16.3%12.8%22.0%2.1%0.6%-6.5M81.1M-1.1M2.937.72N/AN/A8822,58330,528135,997
2020-12-29$83.78$84.0020.1%5.8%16.1%13.5%20.5%2.6%0.4%-7.9M88.5M-1.1M0.369.61N/AN/A86330730,811137,271
2020-12-30$83.83$84.0020.1%5.8%15.4%13.6%20.5%2.3%0.4%-7.4M82.9M-1.1M2.4010.56N/AN/A9212,21331,458137,513
2020-12-31$84.72$84.0018.8%5.4%15.7%11.9%19.7%2.6%0.8%-5.6M74.1M-1.1M144.748.15N/AN/A56882,21331,578139,313