VNQ Options History — October 2021

In October 2021, VNQ traded between $102.87 and $109.89. ATM implied volatility averaged 16.5%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.0% (HV 20d: 12.5%). Max pain ranged from $103.00 to $107.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 10.98.

Notable Days

  • 2021-10-11: Highest Volume — 25,459 contracts
  • 2021-10-13: Largest IV drop — 20.5% change
  • 2021-10-12: Highest IV Rank — 42.3%
  • 2021-10-04: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$106.22$102.87$109.89$103.33$109.39
Max Pain$104.95$103.00$107.00$107.00$106.00
ATM IV16.5%14.1%20.7%18.8%15.5%
Expected Move4.6%4.0%5.5%5.4%4.4%
HV 20d12.5%9.7%13.9%13.9%9.8%
HV 60d12.8%11.7%14.7%14.7%12.1%
IV Rank25.4%15.6%42.3%34.7%21.1%
IV Percentile46.3%23.8%80.6%65.5%40.9%
Term Structure0.5%-0.4%1.6%-0.2%1.4%
VWIV17.2%14.9%19.7%19.3%17.3%
Skew 25d4.4%3.4%6.2%5.5%4.0%
Skew 10d9.7%7.0%14.0%11.9%9.4%
Call IV 25d14.4%12.5%16.3%16.0%14.1%
Put IV 25d18.8%16.0%22.5%21.5%18.1%
Bid-Ask Spread %29.1610.7149.3139.2614.90
Gamma HHI0.080.070.100.100.10
Net GEX-2.2M-4.0M206.5K-3.4M-2.6M
Net DEX-30.3M-72.4M7.4M2.5M-50.7M
Net VEX-531.9K-620.6K-449.4K-597.5K-509.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.980.26205.980.870.51
Total Volume3,368.52445825,4595583,696
Total OI62,834.09552,54672,22452,54672,224

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$103.33$107.0018.8%5.4%13.9%34.7%19.3%5.5%-0.2%-3.4M2.5M-597.5K0.8739.26N/AN/A29925918,51734,029
2021-10-04$103.49$105.0020.6%5.5%13.9%42.0%19.7%6.2%-0.4%-3.6M3.9M-597.6K0.4313.53N/AN/A42718518,48834,179
2021-10-05$102.87$105.0018.3%5.2%13.7%32.4%18.3%5.3%0.1%-4.0M7.4M-568.5K0.2624.03N/AN/A86022318,65734,290
2021-10-06$103.33$105.0019.5%5.3%13.7%37.4%19.0%5.5%0.1%-3.3M-2.8M-541.9K2.0834.74N/AN/A39782618,77034,362
2021-10-07$103.74$105.0017.9%5.1%12.6%30.8%18.3%4.9%0.0%-2.8M-4.1M-578.2K1.7010.71N/AN/A36261619,37634,398
2021-10-08$102.88$105.0017.7%5.1%12.2%30.3%18.3%5.0%0.2%-3.3M2.9M-541.6K4.5142.26N/AN/A3421,54219,40934,851
2021-10-11$103.02$105.0019.4%5.1%12.0%37.1%18.7%5.2%-0.1%-3.9M7.3M-561.7K205.9836.80N/AN/A12325,33619,52535,206
2021-10-12$104.26$104.0020.7%5.1%12.9%42.3%17.5%5.1%-0.2%-2.4M-12.0M-536.6K0.8938.65N/AN/A27524519,68236,586
2021-10-13$105.16$104.0016.5%4.7%13.2%25.1%18.5%4.6%0.4%-3.5M-11.2M-620.6K0.9845.89N/AN/A61560319,75451,697
2021-10-14$106.31$105.0015.5%4.4%13.9%21.1%16.8%3.9%0.7%-1.3M-38.3M-542.4K0.8535.18N/AN/A42435919,82651,723
2021-10-15$106.42$103.0015.2%4.3%13.3%19.8%15.1%3.5%0.6%-2.6M-38.9M-558.2K0.7324.60N/AN/A67449220,21851,798
2021-10-18$106.58$103.0014.7%4.2%13.1%17.8%15.3%3.7%0.5%-2.7M-34.6M-539.6K1.1930.38N/AN/A36143017,54047,540
2021-10-19$106.69$104.0014.7%4.2%13.0%17.9%14.9%3.6%0.7%-2.2M-35.6M-534.2K0.8419.56N/AN/A24920917,77847,773
2021-10-20$108.02$105.0014.7%4.2%13.5%18.1%15.4%3.8%0.7%-322.3K-59.2M-449.4K0.6930.38N/AN/A1,7271,18818,08348,146
2021-10-21$108.29$105.0014.5%4.2%13.5%17.3%16.1%3.6%0.8%-1.1M-55.1M-490.1K0.8328.08N/AN/A1,5111,26018,14148,265
2021-10-22$109.03$105.0014.1%4.0%12.4%15.6%16.5%3.6%0.7%-503.5K-59.5M-507.4K0.9749.31N/AN/A1,3851,34918,19148,391
2021-10-25$109.18$105.0014.6%4.2%11.0%17.7%15.8%3.7%0.5%-23.5K-65.9M-461.8K0.8124.15N/AN/A1,6641,34018,25448,476
2021-10-26$109.89$106.0014.5%4.2%10.3%17.3%16.5%3.4%1.2%206.5K-72.4M-457.7K0.7227.58N/AN/A1,9081,37418,31548,673
2021-10-27$108.98$106.0015.4%4.4%11.0%20.8%17.2%3.7%1.1%-489.3K-61.3M-489.2K2.5818.26N/AN/A2,1535,55818,50848,738
2021-10-28$109.84$106.0014.5%4.2%9.7%17.3%16.4%4.0%1.6%-2.0M-58.3M-486.6K2.1124.18N/AN/A2,5355,35818,49252,647
2021-10-29$109.39$106.0015.5%4.4%9.8%21.1%17.3%4.0%1.4%-2.6M-50.7M-509.2K0.5114.90N/AN/A2,4501,24619,49252,732