VNQ Options History — April 2021

In April 2021, VNQ traded between $92.98 and $99.03. ATM implied volatility averaged 13.2%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 3.7% (HV 20d: 9.5%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2021-04-13: Highest Volume — 3,828 contracts
  • 2021-04-14: Largest IV spike — 15.7% change
  • 2021-04-30: Highest IV Rank — 11.1%
  • 2021-04-05: Largest Expected Move — 4.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.01$92.98$99.03$92.98$99.03
Max Pain$92.90$90.00$95.00$90.00$95.00
ATM IV13.2%11.2%14.6%11.8%14.6%
Expected Move3.9%3.4%4.2%3.4%4.2%
HV 20d9.5%7.3%12.0%12.0%7.3%
HV 60d13.5%11.3%14.7%14.7%11.3%
IV Rank5.4%0.0%11.1%0.0%11.1%
IV Percentile3.1%0.0%9.1%0.0%9.1%
Term Structure1.2%-0.1%3.2%3.2%0.3%
VWIV14.6%13.3%15.9%13.3%14.8%
Skew 25d2.9%2.1%3.8%2.5%2.1%
Skew 10d7.0%4.8%10.6%9.0%5.1%
Call IV 25d12.9%11.2%13.9%11.2%13.9%
Put IV 25d15.9%13.8%17.5%13.8%15.9%
Bid-Ask Spread %20.277.6452.8914.5611.51
Gamma HHI0.130.090.290.120.11
Net GEX5.2M1.9M12.2M1.9M3.9M
Net DEX-102.6M-134.1M-64.5M-64.5M-125.8M
Net VEX-468.2K-534.8K-418.7K-513.4K-478.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.244.090.940.87
Total Volume1,438.0954403,8281,011932
Total OI78,275.8169,24885,77479,68776,593

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$92.98$90.0011.8%3.4%12.0%0.0%13.3%2.5%3.2%1.9M-64.5M-513.4K0.9414.56N/AN/A52149021,14058,547
2021-04-05$93.59$90.0013.3%4.2%11.7%3.3%15.0%3.8%0.9%4.0M-75.4M-534.8K0.2441.05N/AN/A86720621,50158,796
2021-04-06$94.06$90.0012.4%4.1%11.4%1.4%15.8%3.5%1.1%7.2M-95.7M-461.5K1.1718.83N/AN/A30235222,29458,914
2021-04-07$94.27$92.0012.3%4.0%11.3%1.2%15.9%3.5%1.1%6.5M-96.9M-455.2K4.0918.69N/AN/A3251,33022,45959,027
2021-04-08$93.91$92.0011.3%3.9%11.4%0.0%13.9%3.6%1.5%6.5M-89.2M-478.0K0.2925.44N/AN/A60517622,62660,124
2021-04-09$93.87$92.0011.2%3.9%11.0%0.0%14.2%3.4%1.2%5.3M-83.7M-521.3K1.3614.55N/AN/A37050522,98560,212
2021-04-12$94.19$92.0012.8%4.0%10.1%4.0%13.8%3.5%1.1%8.4M-97.1M-456.3K0.4414.54N/AN/A70831523,19560,610
2021-04-13$94.69$92.0012.1%3.9%9.1%2.4%13.6%3.3%1.2%8.9M-107.0M-469.3K0.5334.25N/AN/A2,5041,32423,67660,722
2021-04-14$94.33$93.0014.0%4.0%9.3%7.2%14.6%3.5%1.0%12.2M-106.0M-455.0K0.5222.49N/AN/A77640524,41461,303
2021-04-15$95.69$93.0013.3%3.8%10.4%5.5%15.1%2.4%1.0%7.7M-123.1M-432.8K0.6929.09N/AN/A84858323,83761,374
2021-04-16$96.31$93.0013.1%3.8%9.3%4.8%14.1%3.0%1.2%5.0M-134.1M-426.9K0.5919.80N/AN/A78746724,05761,717
2021-04-19$96.22$93.0013.6%3.9%9.0%6.2%15.4%2.9%1.0%3.6M-91.1M-424.4K1.1818.66N/AN/A34040219,63749,611
2021-04-20$97.09$93.0014.4%4.1%9.2%8.2%14.8%2.8%0.9%3.6M-100.1M-418.7K0.3715.52N/AN/A2,70698819,90649,764
2021-04-21$97.74$94.0013.5%3.9%8.7%5.9%14.4%2.7%1.8%3.6M-106.8M-454.4K0.5710.69N/AN/A78845021,13150,594
2021-04-22$97.51$94.0014.0%4.0%9.0%8.2%15.0%3.3%1.7%3.8M-104.7M-451.1K0.3015.10N/AN/A1,13633821,22050,848
2021-04-23$97.81$94.0013.9%4.0%8.9%8.6%14.5%2.2%1.7%4.0M-109.9M-448.8K1.2711.55N/AN/A49863321,62751,011
2021-04-26$98.09$94.0014.3%4.1%7.6%10.1%14.9%2.3%-0.1%3.2M-105.4M-478.2K0.7252.89N/AN/A62945421,75351,482
2021-04-27$98.06$95.0013.9%4.0%7.7%8.9%14.5%2.8%0.1%2.7M-104.4M-508.1K0.587.64N/AN/A2,0551,19922,09851,713
2021-04-28$97.99$95.0013.7%3.9%7.6%8.3%14.2%2.4%2.5%3.5M-109.3M-504.2K0.6819.18N/AN/A26217823,14952,228
2021-04-29$98.69$95.0013.4%3.9%7.6%7.4%14.0%2.3%0.8%4.3M-123.5M-460.9K1.469.62N/AN/A58985723,26452,633
2021-04-30$99.03$95.0014.6%4.2%7.3%11.1%14.8%2.1%0.3%3.9M-125.8M-478.9K0.8711.51N/AN/A49943323,42953,164