VNQ Options History — May 2021

In May 2021, VNQ traded between $95.12 and $100.05. ATM implied volatility averaged 15.9%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.0% (HV 20d: 13.9%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.26.

Notable Days

  • 2021-05-14: Highest Volume — 13,127 contracts
  • 2021-05-24: Largest IV drop — 21.8% change
  • 2021-05-12: Highest IV Rank — 27.0%
  • 2021-05-12: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.89$95.12$100.05$98.77$100.05
Max Pain$90.90$90.00$95.00$95.00$91.00
ATM IV15.9%12.5%19.4%14.4%12.5%
Expected Move4.6%3.6%5.6%4.1%3.6%
HV 20d13.9%7.5%16.9%7.5%16.9%
HV 60d13.0%11.3%14.2%11.3%12.7%
IV Rank15.6%4.3%27.0%10.6%4.3%
IV Percentile15.0%2.4%32.1%8.3%2.4%
Term Structure0.7%-0.8%2.0%0.0%1.4%
VWIV17.8%13.9%35.3%14.8%13.9%
Skew 25d4.5%2.2%6.5%2.2%3.0%
Skew 10d10.3%4.9%15.0%5.4%4.9%
Call IV 25d14.5%11.9%17.1%14.0%11.9%
Put IV 25d19.0%14.9%23.5%16.3%14.9%
Bid-Ask Spread %22.926.0150.1125.006.60
Gamma HHI0.140.080.360.120.36
Net GEX2.8M1.3M4.0M4.0M3.7M
Net DEX-99.1M-124.6M-56.2M-122.0M-124.6M
Net VEX-522.3K-589.4K-428.4K-475.7K-428.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.1420.210.140.92
Total Volume1,83638413,1271,602995
Total OI80,92176,77785,33977,07379,730

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$98.77$95.0014.4%4.1%7.5%10.6%14.8%2.2%0.0%4.0M-122.0M-475.7K0.1425.00N/AN/A1,41119123,62453,449
2021-05-04$97.76$95.0015.5%4.5%8.7%14.3%15.9%3.4%1.7%3.2M-101.6M-536.5K3.7345.52N/AN/A4521,68724,04853,525
2021-05-05$96.40$95.0016.8%4.8%10.4%18.5%16.3%3.5%0.2%2.2M-80.2M-567.0K0.9041.52N/AN/A65959024,10955,088
2021-05-06$97.12$90.0016.2%4.9%10.4%16.3%17.3%4.4%0.3%2.7M-92.8M-543.6K0.9413.52N/AN/A60856924,46755,416
2021-05-07$98.23$90.0013.9%4.1%10.9%9.0%16.0%4.6%1.4%3.5M-108.0M-536.0K1.3630.79N/AN/A51970424,65455,712
2021-05-10$98.74$90.0015.5%4.3%11.0%14.1%16.1%4.0%1.0%3.6M-114.8M-523.2K0.3250.11N/AN/A65621324,76055,939
2021-05-11$96.85$90.0017.7%5.0%13.3%21.4%18.1%4.7%0.0%3.2M-91.5M-515.5K1.3138.80N/AN/A40753224,90356,025
2021-05-12$95.12$90.0019.4%5.6%14.9%27.0%20.0%6.5%-0.6%1.4M-56.2M-558.4K1.6119.44N/AN/A7671,23324,97656,399
2021-05-13$96.41$90.0019.1%5.5%14.8%25.9%19.0%6.5%-0.6%1.3M-73.0M-589.4K0.5413.85N/AN/A70337824,95356,991
2021-05-14$97.31$90.0017.9%5.1%15.0%22.1%35.3%4.8%0.3%2.6M-96.0M-530.7K20.2120.39N/AN/A61912,50825,35657,181
2021-05-17$97.37$90.0018.3%5.2%15.0%23.1%19.8%6.1%0.3%2.5M-94.1M-542.3K1.1221.21N/AN/A42347225,55958,770
2021-05-18$97.63$90.0018.2%5.2%14.7%22.9%17.8%5.3%0.3%2.7M-100.2M-552.9K1.8228.74N/AN/A22641125,55259,057
2021-05-19$96.55$90.0018.0%5.2%15.0%22.4%19.2%5.5%0.4%1.6M-78.3M-562.6K0.798.68N/AN/A79963425,61059,350
2021-05-20$98.17$90.0014.6%4.2%16.2%11.3%17.3%4.9%2.0%2.9M-111.3M-528.0K0.769.97N/AN/A57043225,62359,675
2021-05-21$97.88$90.0017.6%5.0%16.2%21.0%15.8%4.8%-0.8%3.2M-108.4M-524.6K0.3328.79N/AN/A72123725,64759,692
2021-05-24$99.27$90.0013.8%3.9%16.9%8.5%14.9%4.2%1.7%2.9M-104.7M-485.3K0.6334.51N/AN/A96060721,90554,872
2021-05-25$99.30$90.0013.8%4.0%16.9%8.6%18.4%4.3%1.7%3.1M-108.8M-463.0K6.207.38N/AN/A2231,38222,18155,226
2021-05-26$99.60$91.0012.9%3.7%16.9%5.5%14.6%4.6%1.5%2.6M-104.8M-497.5K0.276.01N/AN/A1,44439422,31056,319
2021-05-27$99.33$91.0012.8%3.7%16.8%5.4%15.7%3.5%1.8%3.2M-110.0M-486.1K1.397.59N/AN/A16122323,22056,547
2021-05-28$100.05$91.0012.5%3.6%16.9%4.3%13.9%3.0%1.4%3.7M-124.6M-428.4K0.926.60N/AN/A51847723,09656,634