VNQ Options History — September 2021

In September 2021, VNQ traded between $102.30 and $110.90. ATM implied volatility averaged 15.9%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.1% (HV 20d: 12.9%). Max pain ranged from $105.00 to $108.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2021-09-13: Highest Volume — 3,016 contracts
  • 2021-09-20: Largest IV spike — 20.9% change
  • 2021-09-30: Highest IV Rank — 43.8%
  • 2021-09-30: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.92$102.30$110.90$110.19$102.30
Max Pain$107.10$105.00$108.00$105.00$107.00
ATM IV15.9%12.0%21.1%12.0%21.1%
Expected Move4.6%3.4%6.0%3.4%6.0%
HV 20d12.9%9.9%14.8%10.7%13.3%
HV 60d14.0%13.5%14.6%13.5%14.6%
IV Rank23.0%7.0%43.8%7.0%43.8%
IV Percentile39.1%2.0%81.0%2.0%81.0%
Term Structure0.7%-1.6%1.8%1.8%-1.6%
VWIV16.7%12.3%21.5%12.3%20.1%
Skew 25d4.8%3.2%7.1%4.5%6.5%
Skew 10d9.4%5.6%13.4%7.5%13.3%
Call IV 25d14.3%10.9%17.8%10.9%17.5%
Put IV 25d19.1%15.4%24.8%15.4%24.0%
Bid-Ask Spread %23.937.0369.2169.219.60
Gamma HHI0.150.090.240.190.11
Net GEX-911.7K-3.9M3.9M2.8M-3.9M
Net DEX-60.2M-120.5M16.2M-113.2M16.2M
Net VEX-504.0K-630.8K-382.8K-395.4K-630.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.242.630.380.69
Total Volume1,333.4763263,0161,5751,143
Total OI57,580.09548,78766,72759,51552,366

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$110.19$105.0012.0%3.4%10.7%7.0%12.3%4.5%1.8%2.8M-113.2M-395.4K0.3869.21N/AN/A1,13943619,99239,523
2021-09-02$110.74$106.0012.5%3.9%10.3%9.1%14.4%3.9%1.4%3.5M-118.7M-393.7K0.6734.77N/AN/A61641420,41639,526
2021-09-03$110.90$107.0012.3%3.8%10.2%8.2%13.9%3.6%1.5%3.9M-120.5M-382.8K0.7433.06N/AN/A47735220,49339,753
2021-09-07$109.76$107.0013.2%4.1%11.0%11.9%16.1%4.3%0.8%2.9M-107.2M-400.8K1.9922.58N/AN/A32865320,71740,038
2021-09-08$110.23$108.0014.6%4.2%9.9%17.7%15.7%4.0%0.6%3.1M-111.7M-397.5K0.4422.82N/AN/A2279920,84040,209
2021-09-09$108.19$108.0016.1%4.6%12.3%23.8%15.5%4.3%0.1%1.6M-88.9M-410.6K2.4721.25N/AN/A7111,75820,94740,671
2021-09-10$106.78$108.0016.4%4.7%13.2%24.9%16.2%4.8%0.5%-2.0M-63.7M-496.2K0.3626.67N/AN/A1,17242620,91440,720
2021-09-13$107.28$108.0016.8%4.8%13.2%26.3%21.5%4.8%0.5%-2.2M-64.9M-519.4K2.6316.20N/AN/A8302,18621,09142,294
2021-09-14$106.81$108.0016.7%4.8%13.3%26.1%18.7%4.9%0.7%-3.1M-64.6M-502.7K1.3717.84N/AN/A35148121,61742,362
2021-09-15$107.34$107.0015.9%4.6%13.3%22.9%16.2%4.7%1.1%-3.0M-68.3M-523.5K0.5617.03N/AN/A41323122,05244,293
2021-09-16$107.47$107.0015.8%4.5%13.1%22.2%15.7%4.5%0.8%-2.5M-72.5M-508.0K0.8622.05N/AN/A29825522,07944,443
2021-09-17$106.26$107.0016.0%4.6%13.7%23.3%16.3%5.3%1.0%-1.7M-61.9M-532.0K0.3914.38N/AN/A50819622,16444,563
2021-09-20$105.69$107.0019.4%5.6%13.5%36.9%21.1%7.1%0.2%-2.1M-35.2M-560.2K1.2318.90N/AN/A1,0961,35117,81930,968
2021-09-21$106.24$107.0017.4%5.0%13.5%28.8%15.4%4.5%0.8%-1.8M-42.0M-557.5K1.1522.01N/AN/A62772017,87831,050
2021-09-22$106.92$107.0015.3%4.4%13.7%20.5%15.0%4.4%1.2%-2.0M-51.9M-503.8K0.5442.58N/AN/A76441618,10332,095
2021-09-23$106.78$107.0013.8%4.0%13.7%14.4%14.7%3.2%1.4%-2.0M-53.9M-502.5K0.3323.70N/AN/A1,15438418,54432,514
2021-09-24$105.24$107.0015.0%4.3%14.6%19.2%15.7%4.5%1.8%-1.9M-30.2M-599.4K0.247.03N/AN/A1,40333518,82632,730
2021-09-27$103.78$107.0016.8%4.8%14.8%26.4%16.5%4.7%0.4%-2.8M-11.1M-594.1K0.2641.26N/AN/A1,58740718,56332,962
2021-09-28$102.94$107.0019.5%5.6%14.7%37.2%20.5%6.1%-0.2%-3.1M1.9M-599.7K0.918.26N/AN/A89081318,50833,140
2021-09-29$103.53$107.0018.4%5.3%14.6%33.0%18.9%5.9%0.2%-2.9M-2.0M-574.0K1.1311.22N/AN/A16718918,03533,364
2021-09-30$102.30$107.0021.1%6.0%13.3%43.8%20.1%6.5%-1.6%-3.9M16.2M-630.8K0.699.60N/AN/A67646718,45933,907