VNQ Options History — January 2021

In January 2021, VNQ traded between $81.91 and $87.13. ATM implied volatility averaged 20.4%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.9% (HV 20d: 17.5%). Max pain ranged from $84.00 to $85.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 2.08.

Notable Days

  • 2021-01-19: Highest Volume — 8,355 contracts
  • 2021-01-27: Largest IV spike — 21.5% change
  • 2021-01-04: Highest IV Rank — 19.3%
  • 2021-01-27: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.19$81.91$87.13$82.49$84.76
Max Pain$84.42$84.00$85.00$84.00$85.00
ATM IV20.4%17.1%24.6%24.6%21.1%
Expected Move5.7%4.9%6.6%6.4%6.0%
HV 20d17.5%16.2%19.5%18.1%19.5%
HV 60d20.1%19.2%20.6%20.6%19.3%
IV Rank13.5%8.9%19.3%19.3%13.9%
IV Percentile23.3%8.7%46.0%46.0%25.8%
Term Structure1.5%0.4%2.2%0.9%2.1%
VWIV21.3%17.5%24.4%23.2%21.8%
Skew 25d4.0%2.8%5.7%5.0%5.7%
Skew 10d8.5%6.1%12.5%10.5%12.5%
Call IV 25d18.5%16.2%20.3%20.1%19.1%
Put IV 25d22.5%19.5%25.8%25.1%24.7%
Bid-Ask Spread %12.776.9533.559.7631.24
Gamma HHI0.110.090.140.090.10
Net GEX-11.6M-20.7M-3.1M-11.0M-13.4M
Net DEX117.8M53.2M177.9M157.2M121.0M
Net VEX-1.2M-1.3M-1.0M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.187.152.002.13
Total Volume2,915.8959368,3552,4491,000
Total OI140,206.316106,736171,201151,016123,431

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$82.49$84.0024.6%6.4%18.1%19.3%23.2%5.0%0.9%-11.0M157.2M-1.3M2.009.76N/AN/A8161,63331,859119,157
2021-01-05$82.51$84.0023.8%6.1%16.9%18.3%23.2%4.9%0.9%-11.1M150.4M-1.3M1.047.69N/AN/A93096732,080119,888
2021-01-06$82.26$84.0022.3%6.1%16.6%16.4%21.1%5.1%1.2%-11.6M158.6M-1.3M1.1310.10N/AN/A61069032,442119,973
2021-01-07$82.26$84.0020.1%6.0%16.6%13.6%22.7%4.4%1.4%-11.7M156.0M-1.3M2.418.59N/AN/A1,2112,92432,530119,460
2021-01-08$83.06$84.0019.4%5.8%17.1%12.6%21.1%4.6%1.5%-12.9M136.6M-1.3M1.229.02N/AN/A66981733,026128,871
2021-01-11$81.91$84.0023.5%6.1%17.6%17.9%21.4%4.0%1.4%-20.7M177.9M-1.3M1.227.29N/AN/A3,6674,46432,789130,069
2021-01-12$82.17$84.0022.7%6.0%17.7%16.8%20.7%3.7%1.4%-20.3M172.9M-1.3M0.367.59N/AN/A2,03474036,149133,982
2021-01-13$83.27$84.0020.1%5.8%18.4%13.6%19.9%3.3%1.7%-9.7M120.6M-1.3M0.1810.23N/AN/A2,17239836,878134,323
2021-01-14$83.81$84.0019.3%5.5%17.5%12.4%19.4%3.1%1.6%-5.8M104.7M-1.2M0.2111.60N/AN/A1,96740635,139134,182
2021-01-15$84.56$84.0018.2%5.2%17.8%11.1%19.9%3.1%1.7%-3.1M76.9M-1.2M1.7713.83N/AN/A1,2182,16134,437134,306
2021-01-19$84.42$84.0018.3%5.2%17.5%11.2%20.9%2.8%1.9%-11.3M101.9M-1.1M5.8711.05N/AN/A1,2177,13812,52794,209
2021-01-20$86.09$85.0017.6%5.0%17.2%10.0%17.8%3.0%1.9%-11.0M83.5M-1.1M1.046.95N/AN/A92295913,380100,151
2021-01-21$85.63$85.0017.3%5.0%17.2%9.1%17.5%3.2%1.9%-11.6M92.5M-1.2M0.948.39N/AN/A67363013,861100,736
2021-01-22$85.78$85.0017.1%4.9%16.9%8.9%22.6%3.5%2.2%-10.6M83.6M-1.1M7.1512.19N/AN/A3842,74514,368101,051
2021-01-25$86.22$85.0019.5%5.6%17.0%11.9%23.6%3.7%1.2%-11.0M79.8M-1.1M4.0212.94N/AN/A5932,38614,604103,077
2021-01-26$87.13$85.0018.9%5.4%16.2%11.1%19.9%3.3%1.5%-9.6M53.2M-1.0M1.679.67N/AN/A35058614,990104,683
2021-01-27$85.17$85.0022.9%6.6%18.3%16.3%24.2%5.5%0.4%-13.0M118.2M-1.2M0.5220.88N/AN/A1,9831,03415,032104,590
2021-01-28$86.12$85.0020.3%5.8%18.5%12.9%24.4%4.6%2.1%-11.6M93.7M-1.2M4.7133.55N/AN/A4041,90416,461105,229
2021-01-29$84.76$85.0021.1%6.0%19.5%13.9%21.8%5.7%2.1%-13.4M121.0M-1.2M2.1331.24N/AN/A31968116,646106,785