VNQ Options History — August 2021

In August 2021, VNQ traded between $105.31 and $108.45. ATM implied volatility averaged 14.2%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.3% (HV 20d: 12.9%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.31.

Notable Days

  • 2021-08-11: Highest Volume — 11,776 contracts
  • 2021-08-30: Largest IV drop — 24.4% change
  • 2021-08-19: Highest IV Rank — 24.8%
  • 2021-08-19: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.42$105.31$108.45$106.09$108.45
Max Pain$104.32$100.00$105.00$105.00$105.00
ATM IV14.2%10.3%17.1%15.5%10.8%
Expected Move4.3%2.9%4.9%4.5%3.1%
HV 20d12.9%8.3%18.0%18.0%9.5%
HV 60d14.0%13.1%15.4%15.4%13.2%
IV Rank13.2%0.0%24.8%18.3%2.2%
IV Percentile21.4%0.0%42.1%29.8%0.4%
Term Structure0.9%-2.1%3.8%1.4%3.0%
VWIV15.9%12.6%22.1%16.0%12.6%
Skew 25d4.3%3.1%5.8%3.5%4.1%
Skew 10d9.4%6.5%14.3%7.9%11.0%
Call IV 25d13.0%10.6%14.5%13.7%10.7%
Put IV 25d17.3%14.2%20.2%17.2%14.8%
Bid-Ask Spread %24.275.8158.8140.385.81
Gamma HHI0.150.100.340.100.19
Net GEX1.2M-2.4M7.1M2.6M1.6M
Net DEX-71.4M-93.0M-54.8M-75.0M-93.0M
Net VEX-473.7K-549.0K-408.6K-475.5K-408.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.310.3311.631.640.73
Total Volume1,852.72742711,7762,0611,440
Total OI54,114.13644,17162,73444,17158,978

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$106.09$105.0015.5%4.5%18.0%18.3%16.0%3.5%1.4%2.6M-75.0M-475.5K1.6440.38N/AN/A7801,28119,92324,248
2021-08-03$106.12$105.0014.1%4.1%17.9%12.5%15.3%3.4%2.5%2.1M-72.1M-477.1K0.918.52N/AN/A24221920,04924,752
2021-08-04$105.81$105.0013.9%4.0%17.9%11.4%14.3%3.1%2.8%2.0M-69.9M-448.1K1.2043.89N/AN/A19423320,41024,645
2021-08-05$106.92$100.0012.4%4.6%18.0%5.2%22.1%4.7%0.4%3.0M-88.1M-428.2K9.4747.96N/AN/A1991,88420,48624,713
2021-08-06$106.83$100.0012.0%4.5%17.2%3.6%17.8%4.3%0.5%2.8M-83.1M-434.7K7.549.63N/AN/A1731,30420,49524,776
2021-08-09$106.52$100.0012.0%4.6%17.0%3.6%18.5%4.7%0.4%2.9M-81.9M-425.3K0.7917.05N/AN/A56845120,51025,148
2021-08-10$105.31$105.0013.6%4.6%16.9%10.1%17.6%4.4%1.2%1.4M-60.9M-449.7K11.6312.23N/AN/A2863,32520,56925,454
2021-08-11$105.98$105.0015.6%4.5%16.7%18.7%16.0%4.4%0.8%2.8M-73.2M-432.0K7.4658.81N/AN/A1,39210,38421,05325,556
2021-08-12$106.13$105.0015.5%4.4%16.7%18.2%19.7%4.5%0.6%2.4M-71.5M-443.2K1.9417.90N/AN/A1,6043,11621,07628,513
2021-08-13$106.76$105.0015.1%4.3%16.8%16.6%14.4%4.3%0.7%2.3M-82.0M-463.2K0.4115.30N/AN/A51921221,17838,746
2021-08-16$106.56$105.0015.6%4.5%14.1%18.5%15.2%4.3%0.4%1.6M-76.2M-489.4K0.3630.53N/AN/A48917521,52840,408
2021-08-17$106.23$105.0015.9%4.6%9.0%20.0%16.0%5.2%0.2%680.1K-62.3M-538.9K0.5620.57N/AN/A1,41978821,58440,458
2021-08-18$105.58$105.0015.8%4.5%9.3%19.3%16.5%4.6%0.9%32.1K-54.8M-548.6K1.0833.42N/AN/A52256321,73740,525
2021-08-19$105.87$105.0017.1%4.9%8.5%24.8%16.4%5.8%-2.1%-293.3K-56.3M-549.0K0.4722.11N/AN/A73634421,48040,656
2021-08-20$106.84$105.0015.8%4.5%8.4%19.6%15.2%4.9%-0.6%7.1M-77.1M-528.7K0.8123.06N/AN/A70656921,73141,003
2021-08-23$106.38$105.0014.9%4.3%8.6%15.5%15.5%4.3%0.4%-928.3K-66.0M-434.7K0.4136.44N/AN/A91137118,45938,312
2021-08-24$106.01$105.0014.6%4.2%8.4%14.6%14.9%4.6%0.7%-1.1M-61.9M-438.7K0.7520.30N/AN/A37128018,51938,682
2021-08-25$106.15$105.0014.1%4.1%8.4%12.5%14.3%4.3%0.6%-2.3M-56.3M-527.3K0.837.35N/AN/A39733119,21338,894
2021-08-26$105.98$105.0014.9%4.3%8.3%15.8%16.4%4.7%0.0%-2.4M-56.0M-522.7K0.776.35N/AN/A30923719,40539,018
2021-08-27$107.06$105.0013.6%3.9%9.1%10.1%13.2%3.2%0.2%-1.6M-69.1M-510.1K0.819.25N/AN/A29023519,56239,253
2021-08-30$107.77$105.0010.3%2.9%9.3%0.0%12.6%3.5%3.8%-371.3K-83.5M-447.9K0.3347.13N/AN/A68322819,50039,306
2021-08-31$108.45$105.0010.8%3.1%9.5%2.2%12.6%4.1%3.0%1.6M-93.0M-408.6K0.735.81N/AN/A83460619,58639,392