VNQ Options History — June 2021

In June 2021, VNQ traded between $101.58 and $105.41. ATM implied volatility averaged 13.7%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.1% (HV 20d: 13.6%). Max pain ranged from $91.00 to $102.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2021-06-03: Highest Volume — 6,679 contracts
  • 2021-06-03: Largest IV spike — 32.9% change
  • 2021-06-03: Highest IV Rank — 18.8%
  • 2021-06-09: Largest Expected Move — 4.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.44$101.58$105.41$101.58$101.92
Max Pain$100.95$91.00$102.00$91.00$102.00
ATM IV13.7%12.4%16.9%14.9%13.2%
Expected Move3.9%3.6%4.3%4.3%3.8%
HV 20d13.6%11.4%17.7%17.7%11.4%
HV 60d12.7%12.2%13.0%12.8%13.0%
IV Rank8.8%4.4%18.8%12.3%8.5%
IV Percentile8.3%2.0%20.2%12.7%7.1%
Term Structure1.4%-0.4%2.1%-0.4%1.6%
VWIV14.2%12.4%16.2%15.3%13.1%
Skew 25d3.1%2.4%3.7%3.6%3.1%
Skew 10d6.2%4.4%7.9%7.9%6.8%
Call IV 25d12.8%11.6%14.3%12.9%12.3%
Put IV 25d15.9%14.3%17.7%16.5%15.4%
Bid-Ask Spread %15.994.5540.346.909.43
Gamma HHI0.130.100.260.260.13
Net GEX1.1M-1.7M3.2M3.0M-1.5M
Net DEX-116.1M-172.6M-30.9M-132.6M-30.9M
Net VEX-503.1K-584.9K-388.6K-430.1K-565.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.193.840.610.67
Total Volume2,369.4096596,6792,175659
Total OI75,063.59146,92496,73680,16449,546

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$101.58$91.0014.9%4.3%17.7%12.3%15.3%3.6%-0.4%3.0M-132.6M-430.1K0.616.90N/AN/A1,35182423,04257,122
2021-06-02$102.78$92.0012.8%3.7%17.5%5.2%15.2%2.9%1.4%3.2M-149.4M-388.6K0.234.55N/AN/A1,82342423,53157,423
2021-06-03$102.48$100.0016.9%4.2%16.5%18.8%16.1%3.7%2.1%3.1M-141.2M-444.9K3.8419.96N/AN/A1,3815,29824,11857,686
2021-06-04$102.70$102.0012.7%4.0%16.4%4.9%15.0%3.5%1.1%15.5K-133.0M-483.3K2.0820.06N/AN/A8561,77925,20562,804
2021-06-07$103.90$102.0013.9%4.2%16.4%8.8%15.3%3.6%0.8%418.7K-142.0M-517.6K0.1922.67N/AN/A2,49447625,35264,441
2021-06-08$104.62$102.0015.0%4.2%16.5%12.6%16.2%3.2%0.9%1.8M-161.1M-475.3K0.3014.70N/AN/A1,59247926,25764,641
2021-06-09$104.88$102.0015.1%4.3%14.2%13.0%15.4%3.5%0.7%2.0M-163.3M-502.6K1.4412.16N/AN/A1,8472,65727,12764,710
2021-06-10$105.41$102.0014.1%4.0%11.6%9.6%14.0%2.8%1.7%2.5M-172.4M-482.0K0.5415.21N/AN/A1,51681427,56265,303
2021-06-11$104.83$102.0013.5%3.9%11.8%7.5%14.2%2.5%2.0%2.2M-163.1M-491.1K0.3520.63N/AN/A1,37148327,94965,751
2021-06-14$105.31$102.0014.0%4.0%11.6%9.2%14.2%2.6%1.5%2.7M-172.6M-476.0K0.6515.27N/AN/A50832928,68365,885
2021-06-15$104.52$102.0013.8%4.0%12.3%9.0%14.4%2.6%1.5%2.4M-161.5M-480.4K1.3813.65N/AN/A53073328,85966,116
2021-06-16$103.81$102.0013.9%4.0%12.8%9.6%13.5%3.3%1.1%1.6M-146.6M-528.2K0.3440.34N/AN/A88730129,08866,352
2021-06-17$103.56$102.0012.4%3.6%11.9%4.4%14.5%2.8%1.9%1.6M-143.1M-498.1K1.4921.66N/AN/A1,0581,58029,14666,456
2021-06-18$102.42$102.0014.0%4.0%11.9%10.3%13.3%3.5%1.6%-1.7M-122.4M-523.5K0.8217.27N/AN/A1,10490829,06267,674
2021-06-21$103.94$102.0013.5%3.9%12.5%9.0%13.5%2.8%1.6%547.8K-88.4M-484.3K0.7718.41N/AN/A68152321,81625,108
2021-06-22$103.67$102.0012.6%3.6%12.0%5.5%13.3%2.6%1.8%916.8K-82.6M-497.3K1.6414.76N/AN/A42970422,00025,450
2021-06-23$103.45$102.0012.5%3.6%12.0%5.3%12.7%2.4%1.6%298.7K-80.2M-492.3K0.4815.37N/AN/A3,3391,61522,22225,958
2021-06-24$102.19$102.0013.5%3.9%13.0%8.9%13.6%3.4%1.2%-863.1K-40.8M-580.7K0.7210.06N/AN/A50736320,95026,347
2021-06-25$102.94$102.0012.6%3.6%13.1%5.7%13.0%3.1%1.5%263.5K-53.4M-584.9K0.3421.97N/AN/A64421621,19526,551
2021-06-28$102.38$102.0013.1%3.8%13.2%7.7%12.4%3.0%1.4%-797.3K-36.3M-565.0K0.649.06N/AN/A1,10470521,06726,681
2021-06-29$102.30$102.0013.4%3.8%12.1%8.8%13.3%3.1%1.5%-389.4K-37.8M-575.6K0.517.76N/AN/A3,4561,77921,86027,303
2021-06-30$101.92$102.0013.2%3.8%11.4%8.5%13.1%3.1%1.6%-1.5M-30.9M-565.6K0.679.43N/AN/A39426521,97927,567