VNQ Options History — March 2021 In March 2021, VNQ traded between $85.91 and $92.67. ATM implied volatility averaged 17.6%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.1% (HV 20d: 14.6%). Max pain ranged from $87.00 to $90.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.24.
Notable Days 2021-03-17 : Highest Volume — 7,443 contracts2021-03-04 : Largest IV spike — 13.9% change2021-03-08 : Highest IV Rank — 11.5%2021-03-04 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $90.26 $85.91 $92.67 $88.52 $92.19 Max Pain $89.61 $87.00 $90.00 $87.00 $90.00 ATM IV 17.6% 14.1% 22.8% 19.6% 14.1% Expected Move 5.0% 4.0% 6.1% 5.6% 4.0% HV 20d 14.6% 11.9% 16.5% 13.8% 13.4% HV 60d 16.1% 14.6% 16.7% 16.3% 14.6% IV Rank 4.7% 0.0% 11.5% 7.1% 0.0% IV Percentile 9.4% 0.0% 39.3% 15.1% 0.0% Term Structure 1.5% -0.6% 2.6% -0.3% 1.7% VWIV 18.0% 15.2% 22.1% 19.2% 15.2% Skew 25d 4.3% 2.6% 6.3% 4.4% 3.4% Skew 10d 9.3% 6.8% 12.9% 11.9% 7.8% Call IV 25d 16.0% 12.7% 19.1% 18.3% 12.7% Put IV 25d 20.3% 16.1% 25.4% 22.7% 16.1% Bid-Ask Spread % 26.67 11.51 52.43 52.43 18.20 Gamma HHI 0.15 0.11 0.17 0.15 0.13 Net GEX -4.6M -15.2M 2.2M -8.4M 122.3K Net DEX -12.8M -71.3M 93.3M 23.8M -49.4M Net VEX -731.7K -951.3K -545.4K -901.5K -565.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.24 0.15 11.83 0.67 0.95 Total Volume 2,100.957 459 7,443 865 924 Total OI 114,437.609 71,912 141,334 131,508 79,482
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-03-01 $88.52 $87.00 19.6% 5.6% 13.8% 7.1% 19.2% 4.4% -0.3% -8.4M 23.8M -901.5K 0.67 52.43 N/A N/A 519 346 22,697 108,811 2021-03-02 $87.76 $87.00 19.1% 5.5% 12.0% 6.5% 22.1% 4.2% -0.1% -11.1M 45.1M -949.5K 0.59 28.04 N/A N/A 1,090 642 22,894 109,016 2021-03-03 $87.09 $87.00 19.9% 5.7% 11.9% 7.6% 19.5% 4.6% -0.6% -13.7M 66.4M -951.3K 1.80 17.88 N/A N/A 164 295 22,626 109,444 2021-03-04 $85.91 $90.00 22.6% 6.1% 12.8% 11.3% 22.1% 6.3% 1.1% -15.2M 93.3M -951.2K 1.61 25.12 N/A N/A 586 943 22,672 109,649 2021-03-05 $86.92 $90.00 20.9% 5.8% 13.4% 8.9% 20.4% 5.7% 1.6% -13.3M 69.3M -937.8K 0.47 27.40 N/A N/A 2,705 1,277 22,581 109,914 2021-03-08 $87.88 $90.00 22.8% 5.9% 14.0% 11.5% 20.7% 5.9% 0.8% -10.0M 36.0M -785.9K 0.15 24.80 N/A N/A 2,714 416 21,374 109,878 2021-03-09 $88.34 $90.00 20.9% 5.6% 14.0% 9.0% 20.4% 5.0% 1.5% -8.3M 19.9M -863.9K 0.41 19.00 N/A N/A 593 245 23,512 109,971 2021-03-10 $89.12 $90.00 18.3% 5.2% 14.3% 5.4% 18.2% 4.7% 1.7% -6.2M -13.0M -734.8K 1.73 21.58 N/A N/A 235 407 23,558 110,047 2021-03-11 $90.12 $90.00 17.7% 5.1% 14.7% 4.6% 18.2% 4.5% 2.3% -3.9M -30.1M -742.1K 0.71 19.91 N/A N/A 817 577 23,579 110,322 2021-03-12 $91.35 $90.00 17.4% 5.0% 15.4% 4.2% 18.3% 4.0% 2.6% -952.7K -50.8M -669.6K 2.38 26.15 N/A N/A 236 561 22,685 110,335 2021-03-15 $92.65 $90.00 16.6% 4.8% 16.1% 3.2% 17.4% 3.6% 2.4% 244.3K -70.0M -650.8K 0.34 32.35 N/A N/A 2,071 700 22,807 110,661 2021-03-16 $92.67 $90.00 16.7% 4.8% 15.8% 3.2% 17.0% 3.7% 2.6% 1.5K -69.4M -690.6K 0.23 42.38 N/A N/A 5,145 1,194 23,827 111,066 2021-03-17 $92.52 $90.00 16.3% 4.7% 15.8% 2.7% 18.0% 3.7% 2.4% 2.2M -71.3M -660.3K 0.35 46.77 N/A N/A 5,508 1,935 27,830 111,990 2021-03-18 $91.48 $90.00 18.1% 5.2% 16.5% 5.2% 17.2% 4.7% 0.8% 825.4K -61.7M -610.4K 0.48 48.61 N/A N/A 1,417 684 29,148 112,150 2021-03-19 $91.08 $90.00 17.0% 4.9% 16.5% 4.3% 15.7% 4.5% 1.2% -1.9M -44.3M -698.6K 0.33 28.95 N/A N/A 1,209 400 29,054 112,280 2021-03-22 $91.01 $90.00 15.7% 4.5% 16.3% 2.2% 16.5% 3.3% 2.4% -320.5K -34.9M -545.4K 0.88 20.74 N/A N/A 472 417 18,995 52,917 2021-03-23 $90.56 $90.00 15.3% 4.4% 16.2% 1.6% 17.4% 4.0% 2.2% -2.0M -17.4M -645.2K 11.83 21.55 N/A N/A 455 5,382 19,211 53,000 2021-03-24 $90.85 $90.00 15.5% 4.4% 16.1% 2.1% 15.7% 3.7% 1.7% -6.1M -8.2M -669.3K 0.90 38.57 N/A N/A 421 377 19,345 58,228 2021-03-25 $90.87 $90.00 15.5% 4.4% 13.7% 2.2% 15.5% 4.2% 1.7% -3.8M -13.4M -656.4K 0.56 13.26 N/A N/A 1,000 559 19,338 58,490 2021-03-26 $92.33 $90.00 15.4% 4.4% 14.3% 2.2% 15.8% 3.9% 1.3% -1.4M -39.4M -659.0K 0.17 11.62 N/A N/A 800 135 19,993 58,580 2021-03-29 $92.51 $90.00 15.1% 4.3% 14.3% 1.7% 16.7% 2.6% 2.5% -1.7M -39.0M -649.0K 0.91 16.57 N/A N/A 508 461 20,298 58,554 2021-03-30 $92.26 $90.00 15.3% 4.4% 13.8% 2.1% 16.9% 4.5% 1.3% -1.0M -36.4M -640.1K 0.16 11.51 N/A N/A 671 109 20,595 58,661 2021-03-31 $92.19 $90.00 14.1% 4.0% 13.4% 0.0% 15.2% 3.4% 1.7% 122.3K -49.4M -565.6K 0.95 18.20 N/A N/A 474 450 20,918 58,564
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