VNQ Options History — December 2021 In December 2021, VNQ traded between $106.07 and $116.66. ATM implied volatility averaged 17.6%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 0.8% (HV 20d: 18.4%). Max pain ranged from $95.00 to $113.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.26.
Notable Days 2021-12-27 : Highest Volume — 19,273 contracts2021-12-15 : Largest IV drop — 28.7% change2021-12-03 : Highest IV Rank — 100.0%2021-12-03 : Largest Expected Move — 7.2%Monthly Statistics Metric Avg Min Max Open Close Price $111.75 $106.07 $116.66 $106.07 $116.66 Max Pain $104.36 $95.00 $113.00 $108.00 $113.00 ATM IV 17.6% 14.0% 25.2% 22.6% 14.2% Expected Move 4.9% 4.0% 7.2% 6.5% 4.1% HV 20d 18.4% 13.9% 21.2% 13.9% 15.5% HV 60d 14.1% 13.0% 14.7% 13.0% 14.0% IV Rank 49.8% 25.3% 100.0% 85.9% 26.2% IV Percentile 61.3% 23.0% 100.0% 97.2% 25.8% Term Structure 0.6% -3.6% 1.8% -3.2% 1.0% VWIV 17.2% 6.9% 31.3% 26.3% 16.8% Skew 25d 5.1% 2.7% 8.9% 6.4% 4.7% Skew 10d 10.4% 5.0% 19.6% 13.2% 12.8% Call IV 25d 15.4% 12.8% 22.1% 19.8% 12.9% Put IV 25d 20.5% 16.2% 31.0% 26.2% 17.6% Bid-Ask Spread % 32.56 6.94 65.37 65.37 30.36 Gamma HHI 0.10 0.08 0.18 0.11 0.09 Net GEX -2.6M -13.1M 4.5M -13.1M 990.1K Net DEX -45.3M -104.4M 51.4M 51.4M -69.4M Net VEX -578.7K -890.5K -425.9K -830.4K -523.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.26 0.40 2.79 2.79 0.40 Total Volume 7,315.364 4,253 19,273 13,913 6,347 Total OI 88,536.545 57,113 108,035 104,550 69,124
Daily Data (22 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 2021-12-01 $106.07 $108.00 22.6% 6.5% 13.9% 85.9% 26.3% 6.4% -3.2% -13.1M 51.4M -830.4K 2.79 65.37 N/A N/A 3,669 10,244 22,512 82,038 2021-12-02 $108.19 $108.00 22.1% 6.3% 15.7% 82.3% 24.9% 6.9% -2.5% -10.6M 12.9M -807.9K 0.88 39.81 N/A N/A 3,655 3,222 22,653 82,239 2021-12-03 $107.20 $108.00 25.2% 7.2% 15.5% 100.0% 31.3% 8.9% -3.6% -12.2M 44.4M -890.5K 1.16 58.38 N/A N/A 2,825 3,278 22,788 82,342 2021-12-06 $109.60 $95.00 20.5% 5.5% 17.4% 68.9% 20.3% 6.7% 1.3% -8.1M -18.7M -771.5K 1.20 40.76 N/A N/A 3,053 3,678 22,866 82,683 2021-12-07 $110.94 $95.00 18.7% 5.0% 17.8% 56.9% 19.7% 4.9% 1.3% -5.4M -54.8M -651.4K 1.25 19.32 N/A N/A 2,576 3,220 23,112 83,097 2021-12-08 $112.15 $95.00 17.1% 4.7% 18.1% 46.2% 17.7% 4.6% 1.3% -2.6M -87.8M -549.1K 1.40 17.00 N/A N/A 2,188 3,060 23,461 83,189 2021-12-09 $110.89 $95.00 17.6% 4.7% 18.6% 49.4% 17.1% 5.4% 1.1% -4.3M -67.2M -580.6K 1.05 20.53 N/A N/A 2,111 2,220 23,657 82,511 2021-12-10 $110.60 $95.00 16.2% 4.6% 18.6% 40.0% 16.7% 4.4% 1.4% -5.1M -65.8M -560.1K 1.07 47.68 N/A N/A 2,059 2,194 23,928 82,556 2021-12-13 $112.18 $95.00 19.9% 4.5% 19.2% 64.5% 17.5% 4.6% 1.7% 1.2M -104.4M -435.5K 1.75 52.00 N/A N/A 1,831 3,210 24,025 82,643 2021-12-14 $110.58 $97.00 23.0% 4.9% 19.9% 85.5% 16.8% 5.5% 1.2% -4.8M -65.2M -497.7K 1.51 17.99 N/A N/A 1,897 2,874 24,221 83,435 2021-12-15 $111.65 $100.00 16.4% 4.7% 20.1% 41.1% 15.4% 4.8% 0.9% -1.3M -83.5M -477.8K 1.47 62.85 N/A N/A 1,916 2,820 24,184 83,851 2021-12-16 $111.65 $104.00 16.3% 4.7% 20.1% 40.7% 16.5% 4.6% 0.7% 1.4M -80.1M -425.9K 1.03 56.56 N/A N/A 2,499 2,573 23,103 83,885 2021-12-17 $112.09 $104.00 17.1% 4.9% 20.1% 46.1% 15.7% 4.4% 1.2% 4.5M -88.4M -433.3K 1.23 43.55 N/A N/A 3,505 4,316 23,690 84,008 2021-12-20 $110.72 $107.00 17.2% 4.9% 20.6% 46.8% 12.9% 5.3% 1.0% -1.5M -25.8M -524.9K 1.52 43.30 N/A N/A 2,506 3,811 20,326 37,630 2021-12-21 $111.74 $107.00 16.0% 4.6% 20.8% 38.7% 13.2% 4.2% 0.6% 306.3K -40.4M -467.9K 1.71 15.26 N/A N/A 2,471 4,232 20,587 37,801 2021-12-22 $113.26 $109.00 14.0% 4.0% 21.2% 25.3% 6.9% 2.7% 1.8% 1.5M -56.6M -429.7K 1.76 7.60 N/A N/A 1,817 3,207 20,666 38,503 2021-12-23 $113.29 $109.00 14.4% 4.1% 20.9% 27.7% 9.7% 3.1% 1.6% 1.6M -57.1M -440.7K 0.46 8.00 N/A N/A 6,848 3,133 20,666 38,745 2021-12-27 $113.55 $113.00 14.8% 4.2% 18.5% 30.2% 17.7% 5.1% 1.3% 563.4K -22.6M -566.0K 2.25 6.94 N/A N/A 5,926 13,347 18,321 38,792 2021-12-28 $114.40 $113.00 14.8% 4.3% 18.6% 30.8% 15.5% 4.8% 1.2% -880.8K -25.2M -668.5K 0.62 7.59 N/A N/A 5,492 3,380 18,538 48,958 2021-12-29 $115.29 $113.00 14.9% 4.3% 17.6% 31.4% 15.8% 4.9% 0.9% -720.0K -37.1M -648.4K 0.67 45.70 N/A N/A 4,945 3,329 18,787 49,305 2021-12-30 $115.77 $113.00 14.8% 4.2% 16.5% 30.4% 14.4% 4.7% 0.8% 441.3K -54.4M -549.6K 0.50 9.74 N/A N/A 6,305 3,149 18,850 49,528 2021-12-31 $116.66 $113.00 14.2% 4.1% 15.5% 26.2% 16.8% 4.7% 1.0% 990.1K -69.4M -523.8K 0.40 30.36 N/A N/A 4,523 1,824 19,479 49,645
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