VNQ Options History — July 2021

In July 2021, VNQ traded between $102.38 and $106.52. ATM implied volatility averaged 15.0%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 0.0% (HV 20d: 15.0%). Max pain ranged from $102.00 to $105.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2021-07-09: Highest Volume — 2,603 contracts
  • 2021-07-08: Largest IV spike — 24.3% change
  • 2021-07-19: Highest IV Rank — 32.2%
  • 2021-07-19: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.91$102.38$106.52$102.60$106.42
Max Pain$103.43$102.00$105.00$102.00$105.00
ATM IV15.0%12.3%18.8%12.7%15.1%
Expected Move4.3%3.6%5.4%3.6%4.3%
HV 20d15.0%11.0%18.7%11.6%18.0%
HV 60d14.4%13.0%16.0%13.0%15.5%
IV Rank16.1%4.8%32.2%6.4%16.6%
IV Percentile22.1%2.0%45.6%4.8%25.0%
Term Structure1.0%-1.0%2.5%1.5%1.9%
VWIV15.6%11.4%19.2%13.4%14.8%
Skew 25d3.9%3.0%5.3%3.2%3.6%
Skew 10d8.5%6.9%11.2%6.9%7.6%
Call IV 25d13.6%11.0%16.8%11.8%13.6%
Put IV 25d17.5%14.1%22.0%15.0%17.2%
Bid-Ask Spread %15.648.1834.788.1816.01
Gamma HHI0.120.070.170.140.11
Net GEX3.8M173.8K10.2M577.3K2.9M
Net DEX-76.5M-112.3M-43.3M-48.7M-82.3M
Net VEX-496.6K-542.6K-459.8K-540.7K-459.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.263.020.443.02
Total Volume1,245.3813162,6031,1132,278
Total OI47,798.52440,82554,48849,82044,051

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$102.60$102.0012.7%3.6%11.6%6.4%13.4%3.2%1.5%577.3K-48.7M-540.7K0.448.18N/AN/A77433922,12327,697
2021-07-02$102.38$102.0012.4%3.6%11.6%5.1%11.4%3.0%1.7%173.8K-44.0M-535.5K0.539.24N/AN/A1,16561922,41827,924
2021-07-06$103.09$103.0013.7%4.1%11.1%10.4%15.2%4.2%0.1%3.0M-59.4M-523.1K1.7516.74N/AN/A29551723,32628,498
2021-07-07$103.69$103.0012.9%4.1%11.0%7.2%14.6%4.1%0.5%4.2M-69.4M-506.7K0.879.09N/AN/A50744122,74028,529
2021-07-08$103.12$103.0016.1%4.5%11.1%20.1%15.2%4.5%-0.6%2.0M-57.4M-532.5K0.269.77N/AN/A1,44837622,81328,570
2021-07-09$104.81$103.0012.3%4.0%12.5%4.8%14.0%4.0%1.1%7.2M-92.8M-484.3K0.2916.23N/AN/A2,01558823,24128,877
2021-07-12$105.76$103.0014.3%4.1%12.8%12.8%14.9%3.7%1.2%6.9M-106.4M-474.0K0.3214.84N/AN/A1,22939923,56129,223
2021-07-13$104.42$103.0017.1%4.4%13.5%24.4%16.2%4.0%0.1%7.3M-85.1M-493.1K2.1412.42N/AN/A5621,20423,74429,384
2021-07-14$105.31$103.0015.0%4.3%13.6%16.0%15.3%3.6%0.8%8.8M-99.0M-494.7K0.3822.01N/AN/A67025524,09729,911
2021-07-15$105.49$103.0015.2%4.4%13.3%17.0%15.8%3.8%0.7%10.2M-102.7M-502.0K0.5712.71N/AN/A54230824,21929,956
2021-07-16$105.47$103.0015.9%4.6%13.3%19.9%16.0%3.6%0.6%6.0M-112.3M-476.0K0.5712.47N/AN/A1,00657124,43830,050
2021-07-19$102.95$103.0018.8%5.4%15.5%32.2%19.2%5.3%-1.0%649.7K-43.3M-542.6K1.1215.11N/AN/A56863818,68622,139
2021-07-20$106.19$103.0016.9%4.8%18.3%24.0%17.5%4.3%0.9%2.1M-76.4M-476.8K0.3814.15N/AN/A1,13642818,72622,451
2021-07-21$105.95$103.0016.0%4.6%18.3%20.2%16.5%3.9%1.3%2.7M-78.8M-485.0K1.1230.15N/AN/A52358419,35622,726
2021-07-22$104.85$104.0015.7%4.5%18.7%18.8%15.4%4.0%1.0%2.0M-66.4M-488.6K0.6216.09N/AN/A54433619,53123,210
2021-07-23$105.84$104.0014.9%4.3%18.3%15.7%15.1%3.7%1.7%2.2M-71.9M-507.6K0.5312.84N/AN/A34918419,84423,524
2021-07-26$105.72$104.0015.1%4.3%18.2%16.4%15.8%3.7%1.8%2.5M-74.8M-473.9K0.3934.78N/AN/A51920319,84423,524
2021-07-27$106.38$105.0016.3%4.7%18.1%21.5%18.0%4.1%1.2%2.7M-80.3M-479.4K1.4219.73N/AN/A49169919,85023,637
2021-07-28$106.52$105.0014.4%4.1%18.1%13.8%16.8%3.9%2.5%2.7M-77.2M-479.4K2.1416.51N/AN/A16835919,87923,688
2021-07-29$106.19$105.0014.6%4.2%18.1%14.6%15.6%3.4%1.9%2.7M-77.3M-473.1K1.389.44N/AN/A13318319,82223,942
2021-07-30$106.42$105.0015.1%4.3%18.0%16.6%14.8%3.6%1.9%2.9M-82.3M-459.8K3.0216.01N/AN/A5671,71119,89424,157