VNQ Options History — November 2021

In November 2021, VNQ traded between $107.41 and $111.07. ATM implied volatility averaged 16.8%, placing in the 42.7% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 6.9% (HV 20d: 9.9%). Max pain ranged from $106.00 to $108.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 6.11.

Notable Days

2021-11-17: Highest Volume — 41,619 contracts
2021-11-26: Largest IV spike — 23.9% change
2021-11-30: Highest IV Rank — 79.4%
2021-11-30: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$109.61	$107.41	$111.07	$109.59	$107.41
Max Pain	$107.81	$106.00	$108.00	$106.00	$108.00
ATM IV	16.8%	15.1%	21.7%	15.4%	21.7%
Expected Move	4.8%	4.3%	6.2%	4.4%	6.2%
HV 20d	9.9%	8.6%	13.4%	9.8%	13.4%
HV 60d	12.1%	11.9%	13.0%	12.1%	13.0%
IV Rank	42.7%	20.9%	79.4%	20.9%	79.4%
IV Percentile	56.6%	37.3%	96.4%	40.9%	96.4%
Term Structure	0.2%	-1.9%	1.6%	0.7%	-1.9%
VWIV	20.3%	16.5%	32.4%	17.3%	27.4%
Skew 25d	4.5%	3.4%	6.3%	4.0%	6.3%
Skew 10d	10.5%	7.6%	13.4%	7.9%	13.4%
Call IV 25d	15.1%	13.6%	19.1%	14.0%	19.1%
Put IV 25d	19.6%	17.7%	25.4%	18.0%	25.4%
Bid-Ask Spread %	43.70	12.06	71.14	12.06	33.25
Gamma HHI	0.12	0.10	0.15	0.10	0.12
Net GEX	-4.1M	-12.4M	-1.2M	-1.8M	-12.4M
Net DEX	-47.5M	-70.2M	23.0M	-59.2M	23.0M
Net VEX	-545.6K	-748.4K	-421.0K	-480.3K	-748.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.11	0.50	18.59	0.50	9.20
Total Volume	14,306.238	2,983	41,619	4,051	31,344
Total OI	84,916.19	72,434	102,547	72,434	102,547

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2021-11-01	$109.59	$106.00	15.4%	4.4%	9.8%	20.9%	17.3%	4.0%	0.7%	-1.8M	-59.2M	-480.3K	0.50	12.06	N/A	N/A	2,696	1,355	19,666	52,768
2021-11-02	$110.00	$106.00	15.9%	4.6%	9.2%	23.1%	17.2%	4.2%	1.1%	-2.2M	-59.2M	-503.6K	1.90	21.44	N/A	N/A	1,859	3,527	20,103	53,439
2021-11-03	$110.60	$108.00	15.1%	4.3%	9.2%	22.2%	17.4%	4.1%	1.6%	-2.2M	-66.6M	-482.2K	0.65	51.32	N/A	N/A	2,072	1,353	20,201	54,843
2021-11-04	$109.30	$108.00	17.0%	4.9%	10.7%	41.2%	20.7%	4.6%	-0.1%	-3.6M	-45.8M	-539.2K	1.13	30.73	N/A	N/A	2,553	2,876	20,767	54,975
2021-11-05	$110.08	$108.00	16.4%	5.0%	10.0%	40.0%	20.2%	4.3%	-0.4%	-3.4M	-55.6M	-545.9K	0.74	32.35	N/A	N/A	1,862	1,371	21,051	56,368
2021-11-08	$109.56	$108.00	17.2%	5.1%	10.4%	45.1%	20.7%	4.6%	-0.2%	-4.0M	-46.3M	-555.6K	0.84	37.37	N/A	N/A	1,619	1,364	21,370	56,527
2021-11-09	$110.05	$108.00	17.1%	5.1%	9.8%	44.5%	19.5%	5.2%	-0.5%	-1.7M	-62.7M	-468.5K	0.98	27.79	N/A	N/A	1,606	1,576	21,452	56,627
2021-11-10	$109.57	$108.00	17.5%	5.0%	9.9%	50.4%	19.5%	4.9%	-0.2%	-2.4M	-55.5M	-483.7K	1.06	51.06	N/A	N/A	1,621	1,711	21,492	56,841
2021-11-11	$109.64	$108.00	16.4%	4.7%	9.3%	42.8%	19.9%	5.0%	0.6%	-2.3M	-57.1M	-478.7K	0.94	48.38	N/A	N/A	1,727	1,622	21,546	56,977
2021-11-12	$109.61	$108.00	16.2%	4.7%	9.3%	41.6%	19.1%	4.6%	0.6%	-2.3M	-58.4M	-464.3K	0.86	51.48	N/A	N/A	1,693	1,448	21,681	57,030
2021-11-15	$110.14	$108.00	16.3%	4.7%	9.4%	42.2%	18.1%	5.2%	0.7%	-1.2M	-70.2M	-421.0K	1.40	61.88	N/A	N/A	1,771	2,478	21,725	57,072
2021-11-16	$109.63	$108.00	16.1%	4.6%	9.7%	40.9%	18.5%	4.3%	0.4%	-2.7M	-59.9M	-448.0K	2.42	54.71	N/A	N/A	1,485	3,591	21,935	58,144
2021-11-17	$109.98	$108.00	15.9%	4.6%	8.8%	39.6%	32.4%	4.7%	0.4%	-3.5M	-56.6M	-498.3K	18.59	41.23	N/A	N/A	2,125	39,494	22,054	59,154
2021-11-18	$109.77	$108.00	15.7%	4.5%	8.8%	37.6%	17.3%	3.9%	0.7%	-4.9M	-51.6M	-595.0K	14.45	53.86	N/A	N/A	1,635	23,630	22,323	76,047
2021-11-19	$109.32	$108.00	15.8%	4.5%	8.7%	39.0%	16.7%	3.9%	0.5%	-4.1M	-43.1M	-615.9K	12.15	55.37	N/A	N/A	1,980	24,055	22,586	76,022
2021-11-22	$109.25	$108.00	15.8%	4.5%	8.7%	38.9%	16.5%	3.4%	0.8%	-6.1M	-36.2M	-604.7K	12.15	54.18	N/A	N/A	1,721	20,916	20,733	72,533
2021-11-23	$109.91	$108.00	16.3%	4.7%	8.6%	42.1%	16.6%	4.3%	0.7%	-5.3M	-42.1M	-617.1K	10.00	40.92	N/A	N/A	2,088	20,875	21,019	72,765
2021-11-24	$111.07	$108.00	15.9%	4.6%	8.8%	39.2%	18.3%	3.7%	0.7%	-5.3M	-54.6M	-605.7K	12.63	26.32	N/A	N/A	1,648	20,816	21,120	73,075
2021-11-26	$108.33	$108.00	19.7%	5.6%	12.4%	65.6%	26.1%	5.6%	-0.9%	-6.8M	-16.3M	-660.0K	14.33	71.14	N/A	N/A	1,948	27,906	21,407	73,139
2021-11-29	$108.96	$108.00	19.0%	5.4%	12.5%	60.7%	27.0%	4.4%	-1.3%	-8.5M	-22.7M	-641.9K	11.41	60.83	N/A	N/A	2,531	28,883	21,779	80,337
2021-11-30	$107.41	$108.00	21.7%	6.2%	13.4%	79.4%	27.4%	6.3%	-1.9%	-12.4M	23.0M	-748.4K	9.20	33.25	N/A	N/A	3,074	28,270	22,099	80,448