VNQ Options History — January 2022

In January 2022, VNQ traded between $102.16 and $115.10. ATM implied volatility averaged 20.0%, placing in the 64.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.6% (HV 20d: 16.4%). Max pain ranged from $108.00 to $113.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.26.

Notable Days

2022-01-19: Highest Volume — 10,836 contracts
2022-01-05: Largest IV spike — 18.7% change
2022-01-26: Highest IV Rank — 100.0%
2022-01-27: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.42	$102.16	$115.10	$114.90	$105.76
Max Pain	$109.65	$108.00	$113.00	$113.00	$108.00
ATM IV	20.0%	15.3%	26.0%	15.7%	21.2%
Expected Move	5.7%	4.4%	7.4%	4.5%	6.1%
HV 20d	16.4%	14.8%	18.1%	16.3%	18.1%
HV 60d	15.8%	14.3%	17.2%	14.5%	17.2%
IV Rank	64.2%	34.0%	100.0%	36.6%	69.5%
IV Percentile	82.6%	42.5%	100.0%	50.0%	94.8%
Term Structure	-0.1%	-1.9%	2.4%	0.4%	-1.0%
VWIV	20.6%	17.4%	24.7%	17.4%	21.8%
Skew 25d	6.8%	5.0%	10.9%	5.1%	7.2%
Skew 10d	14.7%	10.7%	22.8%	11.3%	15.7%
Call IV 25d	17.3%	13.5%	22.8%	14.2%	18.7%
Put IV 25d	24.1%	18.5%	32.4%	19.3%	25.9%
Bid-Ask Spread %	33.54	9.12	61.01	59.08	15.76
Gamma HHI	0.18	0.10	0.32	0.11	0.22
Net GEX	-7.4M	-16.2M	-571.2K	-836.6K	-5.1M
Net DEX	50.5M	-38.9M	131.5M	-34.1M	42.0M
Net VEX	-675.0K	-726.3K	-615.4K	-677.1K	-615.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.41	3.30	0.52	0.68
Total Volume	6,074.2	3,356	10,836	6,590	3,356
Total OI	69,894.2	57,006	78,282	69,738	58,832

Daily Data (20 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
2022-01-03	$114.90	$113.00	15.7%	4.5%	16.3%	36.6%	17.4%	5.1%	0.4%	-836.6K	-34.1M	-677.1K	0.52	59.08	N/A	N/A	4,326	2,264	20,019	49,719
2022-01-04	$115.10	$113.00	15.3%	4.4%	14.8%	34.0%	18.9%	5.0%	0.8%	-571.2K	-38.9M	-664.1K	1.37	19.30	N/A	N/A	3,149	4,305	20,343	50,043
2022-01-05	$111.76	$113.00	18.2%	5.2%	18.1%	53.2%	19.8%	5.9%	-0.5%	-3.7M	8.3M	-664.9K	0.41	61.01	N/A	N/A	5,038	2,058	20,604	52,647
2022-01-06	$111.81	$110.00	17.7%	5.0%	17.7%	50.1%	19.6%	5.8%	0.4%	-4.2M	18.0M	-726.1K	0.43	29.07	N/A	N/A	4,888	2,080	20,592	53,041
2022-01-07	$111.22	$109.00	18.1%	5.1%	17.3%	52.3%	19.3%	5.8%	0.3%	-4.7M	23.6M	-683.7K	0.57	14.71	N/A	N/A	3,361	1,909	20,815	53,373
2022-01-10	$109.98	$109.00	19.2%	5.3%	17.8%	60.0%	19.7%	6.0%	0.3%	-6.0M	45.1M	-679.0K	0.53	32.50	N/A	N/A	3,253	1,728	20,835	53,571
2022-01-11	$110.46	$109.00	18.2%	5.1%	17.0%	53.1%	19.8%	5.7%	0.3%	-5.8M	32.0M	-641.3K	1.65	30.77	N/A	N/A	3,256	5,381	20,659	53,447
2022-01-12	$110.75	$110.00	16.6%	4.8%	16.3%	42.8%	18.5%	5.4%	0.9%	-11.5M	50.5M	-691.7K	0.55	33.86	N/A	N/A	3,280	1,814	20,520	57,265
2022-01-13	$110.61	$109.00	16.8%	4.8%	15.9%	44.1%	19.5%	5.6%	0.8%	-8.4M	33.3M	-662.1K	0.68	30.95	N/A	N/A	3,197	2,172	20,676	55,507
2022-01-14	$109.54	$109.00	17.3%	5.0%	16.2%	47.1%	18.6%	6.1%	0.2%	-10.0M	53.7M	-641.5K	1.47	21.23	N/A	N/A	2,978	4,392	20,712	55,699
2022-01-18	$108.25	$109.00	19.4%	5.6%	16.6%	61.7%	20.2%	6.5%	0.0%	-13.6M	85.0M	-642.2K	1.40	34.27	N/A	N/A	2,832	3,963	20,751	57,531
2022-01-19	$107.45	$109.00	19.7%	5.6%	16.3%	63.3%	19.9%	6.4%	-0.2%	-15.1M	96.1M	-644.6K	3.29	9.12	N/A	N/A	2,525	8,311	20,808	57,172
2022-01-20	$106.17	$109.00	19.9%	5.7%	16.1%	64.5%	19.4%	5.9%	-0.1%	-16.2M	107.1M	-645.5K	0.82	19.39	N/A	N/A	2,660	2,169	20,888	55,995
2022-01-21	$105.25	$109.00	20.9%	6.0%	15.1%	71.2%	20.8%	6.9%	2.4%	-10.1M	131.5M	-678.4K	1.30	39.58	N/A	N/A	2,811	3,642	21,209	55,597
2022-01-24	$104.73	$109.00	24.6%	7.1%	15.0%	96.4%	24.7%	8.1%	-1.9%	-6.2M	66.0M	-711.9K	1.24	33.79	N/A	N/A	1,711	2,126	13,514	43,492
2022-01-25	$105.32	$109.00	24.6%	7.1%	15.3%	96.3%	24.0%	9.4%	-1.1%	-5.6M	61.6M	-726.3K	1.36	45.82	N/A	N/A	1,437	1,961	13,746	43,683
2022-01-26	$103.32	$109.00	25.9%	7.4%	15.6%	100.0%	23.6%	10.9%	-1.3%	-6.7M	75.4M	-709.6K	1.38	56.05	N/A	N/A	1,495	2,064	13,859	44,044
2022-01-27	$102.16	$109.00	26.0%	7.4%	15.0%	100.0%	24.5%	9.3%	-1.1%	-7.5M	86.5M	-706.8K	3.30	47.13	N/A	N/A	1,802	5,942	13,912	44,230
2022-01-28	$103.89	$109.00	24.0%	6.9%	16.7%	87.4%	22.7%	8.3%	-1.6%	-6.5M	66.7M	-688.2K	2.18	37.37	N/A	N/A	1,839	4,009	14,219	44,315
2022-01-31	$105.76	$108.00	21.2%	6.1%	18.1%	69.5%	21.8%	7.2%	-1.0%	-5.1M	42.0M	-615.4K	0.68	15.76	N/A	N/A	2,003	1,353	14,480	44,352