VNQ Options History — February 2021

In February 2021, VNQ traded between $86.70 and $90.94. ATM implied volatility averaged 17.6%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.9% (HV 20d: 16.7%). Max pain ranged from $85.00 to $87.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.90.

Notable Days

  • 2021-02-02: Highest Volume — 9,368 contracts
  • 2021-02-10: Largest IV spike — 28.8% change
  • 2021-02-01: Highest IV Rank — 12.3%
  • 2021-02-26: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.71$86.70$90.94$86.70$88.26
Max Pain$85.26$85.00$87.00$85.00$87.00
ATM IV17.6%14.3%21.3%19.8%21.3%
Expected Move5.2%4.6%6.1%5.7%6.1%
HV 20d16.7%15.2%20.8%20.8%15.2%
HV 60d16.8%15.6%19.2%19.1%16.4%
IV Rank7.6%2.5%12.3%12.3%9.5%
IV Percentile8.3%1.6%27.8%16.3%27.8%
Term Structure2.1%-1.1%3.6%1.8%-1.1%
VWIV19.9%17.2%25.9%25.9%19.5%
Skew 25d4.6%3.8%5.9%5.7%5.4%
Skew 10d10.6%8.7%12.3%11.5%12.0%
Call IV 25d16.4%14.6%18.6%17.5%18.6%
Put IV 25d21.1%18.6%24.0%23.2%24.0%
Bid-Ask Spread %16.449.5949.9224.4149.92
Gamma HHI0.110.070.390.090.14
Net GEX-4.3M-11.3M11.4M-11.3M-9.8M
Net DEX5.1M-31.0M82.0M82.0M27.3M
Net VEX-971.6K-1.2M-716.1K-1.2M-880.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.185.494.050.32
Total Volume2,838.2117419,3688,024879
Total OI136,573.526118,188146,607123,650131,120

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-02-01$86.70$85.0019.8%5.7%20.8%12.3%25.9%5.7%1.8%-11.3M82.0M-1.2M4.0524.41N/AN/A1,5906,43416,713106,937
2021-02-02$87.45$85.0018.1%5.2%18.1%10.0%21.0%4.4%2.8%-9.0M40.9M-1.0M2.1512.13N/AN/A2,9726,39617,859112,816
2021-02-03$87.24$85.0017.0%4.9%18.2%8.6%18.8%4.3%3.0%-11.3M63.8M-1.2M0.4719.08N/AN/A2,5941,21319,498117,867
2021-02-04$87.76$85.0015.3%5.4%18.1%6.5%19.1%5.0%2.5%-8.4M37.8M-1.1M0.5811.51N/AN/A1,9811,15721,959117,885
2021-02-05$88.01$85.0014.5%5.2%18.0%5.4%19.9%4.9%3.3%-6.3M22.4M-1.2M0.1811.23N/AN/A1,97836423,759118,338
2021-02-08$88.44$85.0015.5%5.4%17.9%6.7%19.7%5.0%2.6%-2.9M-5.4M-985.3K1.3419.36N/AN/A31742423,697118,468
2021-02-09$88.81$85.0014.3%5.1%16.7%5.1%17.2%4.4%3.3%-2.0M-15.6M-969.8K0.459.59N/AN/A52623923,851118,656
2021-02-10$89.26$85.0018.4%5.3%16.7%10.4%19.1%4.9%2.8%-2.6M-18.9M-993.5K2.1711.93N/AN/A1,0752,33224,012118,765
2021-02-11$89.34$85.0018.1%5.2%16.4%9.1%19.9%4.5%3.4%-4.3M-8.4M-1.0M0.5213.41N/AN/A65033924,489119,749
2021-02-12$89.34$85.0017.8%5.1%16.4%8.4%20.1%4.4%3.6%-2.5M-20.6M-972.6K3.6814.50N/AN/A24289024,406119,809
2021-02-16$88.83$85.0018.8%5.4%16.5%9.1%19.7%4.4%3.1%-2.1M-5.7M-991.4K1.5812.65N/AN/A7401,17124,523120,386
2021-02-17$88.69$85.0018.3%5.2%16.5%7.9%19.6%4.2%3.5%-2.2M-7.9M-939.3K0.6911.78N/AN/A46132024,799121,202
2021-02-18$88.42$85.0018.5%5.3%15.3%8.2%18.2%4.3%1.3%92.2K-17.5M-854.2K0.5012.71N/AN/A65432625,071121,252
2021-02-19$89.01$85.0017.5%5.0%15.2%6.8%17.8%3.9%1.6%11.4M-22.3M-946.5K0.5715.07N/AN/A58133325,260121,347
2021-02-22$89.73$85.0017.5%5.0%15.4%6.3%23.8%4.5%0.9%-4.2M-6.0M-846.1K4.759.61N/AN/A8113,85419,76298,426
2021-02-23$90.35$86.0017.0%4.9%15.4%3.7%18.6%3.8%1.1%-3.3M-31.0M-716.1K1.4513.33N/AN/A55480320,314101,601
2021-02-24$90.94$86.0016.1%4.6%15.2%2.5%21.9%4.0%1.1%-3.3M-27.7M-849.0K5.4913.53N/AN/A4892,68321,534102,558
2021-02-25$88.88$86.0019.8%5.7%15.3%7.5%18.9%5.9%-0.1%-7.7M9.7M-864.4K5.1426.62N/AN/A9054,64921,753104,456
2021-02-26$88.26$87.0021.3%6.1%15.2%9.5%19.5%5.4%-1.1%-9.8M27.3M-880.4K0.3249.92N/AN/A66821122,362108,758