VNQ Options History — February 2022

In February 2022, VNQ traded between $100.12 and $107.29. ATM implied volatility averaged 22.7%, placing in the 78.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.9% (HV 20d: 18.8%). Max pain ranged from $106.00 to $108.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 2.42.

Notable Days

2022-02-09: Highest Volume — 18,588 contracts
2022-02-09: Largest IV drop — 18.7% change
2022-02-23: Highest IV Rank — 100.0%
2022-02-23: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$103.80	$100.12	$107.29	$106.08	$102.28
Max Pain	$106.21	$106.00	$108.00	$108.00	$106.00
ATM IV	22.7%	18.1%	26.7%	19.9%	26.1%
Expected Move	6.4%	5.2%	7.6%	5.7%	7.5%
HV 20d	18.8%	15.9%	21.1%	17.8%	21.0%
HV 60d	18.1%	17.0%	19.0%	17.0%	19.0%
IV Rank	78.0%	49.8%	100.0%	61.1%	96.2%
IV Percentile	94.3%	76.2%	100.0%	90.5%	99.6%
Term Structure	-1.1%	-2.9%	0.5%	-0.4%	-2.1%
VWIV	24.3%	19.6%	30.0%	20.7%	26.1%
Skew 25d	7.7%	5.7%	9.6%	6.5%	7.7%
Skew 10d	16.2%	10.6%	18.7%	14.5%	17.2%
Call IV 25d	19.3%	15.9%	23.4%	17.1%	23.4%
Put IV 25d	27.0%	21.6%	31.8%	23.6%	31.1%
Bid-Ask Spread %	34.40	19.08	54.54	23.34	22.55
Gamma HHI	0.19	0.15	0.25	0.21	0.19
Net GEX	-7.3M	-11.5M	-2.8M	-5.0M	-8.8M
Net DEX	69.7M	14.4M	121.1M	39.9M	81.2M
Net VEX	-695.9K	-794.4K	-594.9K	-642.0K	-635.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.42	1.07	11.40	4.77	1.20
Total Volume	5,968.053	2,667	18,588	8,822	3,965
Total OI	71,261.526	59,159	78,701	59,159	74,459

Daily Data (19 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
2022-02-01	$106.08	$108.00	19.9%	5.7%	17.8%	61.1%	20.7%	6.5%	-0.4%	-5.0M	39.9M	-642.0K	4.77	23.34	N/A	N/A	1,530	7,292	14,761	44,398
2022-02-02	$107.29	$108.00	19.1%	5.5%	18.6%	56.3%	19.6%	5.7%	-0.4%	-4.0M	25.7M	-594.9K	1.07	54.54	N/A	N/A	1,288	1,379	14,958	44,540
2022-02-03	$106.18	$106.00	21.4%	5.9%	16.1%	70.7%	28.2%	7.6%	-0.5%	-5.1M	44.1M	-647.8K	1.47	48.84	N/A	N/A	1,454	2,137	15,000	48,531
2022-02-04	$105.49	$106.00	22.0%	6.0%	16.1%	74.6%	24.4%	8.0%	-0.6%	-5.8M	52.1M	-680.9K	5.59	46.71	N/A	N/A	1,445	8,075	15,281	48,633
2022-02-07	$104.79	$106.00	23.0%	5.9%	16.2%	81.1%	21.5%	7.5%	-0.0%	-6.3M	53.9M	-701.1K	3.25	44.01	N/A	N/A	1,478	4,805	15,300	52,131
2022-02-08	$104.48	$106.00	22.3%	6.0%	15.9%	76.3%	21.1%	7.4%	-0.6%	-7.2M	62.0M	-683.2K	1.72	22.47	N/A	N/A	6,311	10,868	15,407	52,397
2022-02-09	$106.59	$106.00	18.1%	5.2%	17.6%	49.8%	30.0%	5.7%	0.5%	-2.8M	14.4M	-699.6K	11.40	33.83	N/A	N/A	1,499	17,089	20,511	58,190
2022-02-10	$103.76	$106.00	21.0%	6.0%	19.7%	68.3%	23.6%	7.2%	-1.2%	-6.3M	62.3M	-732.1K	1.17	25.83	N/A	N/A	1,401	1,643	20,391	50,576
2022-02-11	$103.26	$106.00	23.0%	6.6%	19.7%	81.1%	23.7%	7.8%	-1.0%	-8.2M	83.1M	-780.1K	1.31	35.43	N/A	N/A	1,253	1,641	20,386	54,689
2022-02-14	$102.46	$106.00	25.2%	7.2%	19.6%	95.2%	26.4%	9.6%	-2.6%	-8.5M	96.8M	-794.4K	1.42	19.08	N/A	N/A	1,274	1,806	20,360	54,788
2022-02-15	$102.97	$106.00	22.9%	6.6%	19.5%	80.2%	23.4%	7.8%	-1.2%	-8.5M	85.0M	-736.3K	1.27	48.60	N/A	N/A	1,523	1,930	20,378	54,964
2022-02-16	$103.81	$106.00	20.8%	6.0%	19.8%	66.9%	22.7%	7.7%	-0.3%	-7.7M	69.8M	-692.5K	2.10	32.36	N/A	N/A	1,482	3,105	20,629	55,104
2022-02-17	$102.90	$106.00	23.1%	6.6%	19.6%	81.9%	25.1%	8.5%	-1.2%	-9.2M	89.8M	-728.0K	1.65	27.66	N/A	N/A	1,494	2,458	20,726	55,658
2022-02-18	$102.31	$106.00	24.3%	7.0%	19.5%	89.3%	24.2%	8.4%	-1.1%	-9.4M	96.3M	-725.5K	1.66	25.27	N/A	N/A	1,896	3,156	20,863	55,665
2022-02-22	$101.68	$106.00	25.0%	7.2%	19.5%	93.6%	23.9%	9.4%	-2.0%	-9.4M	95.9M	-702.4K	1.11	40.29	N/A	N/A	2,100	2,339	18,616	54,036
2022-02-23	$100.12	$106.00	26.7%	7.6%	19.9%	100.0%	26.8%	9.0%	-2.9%	-11.5M	121.1M	-699.5K	1.30	25.56	N/A	N/A	1,725	2,250	19,146	54,526
2022-02-24	$101.73	$106.00	24.6%	7.0%	19.9%	87.3%	26.1%	8.5%	-1.8%	-9.8M	95.5M	-706.3K	1.34	49.57	N/A	N/A	1,846	2,466	19,267	54,687
2022-02-25	$103.97	$106.00	22.2%	6.4%	21.1%	72.5%	23.1%	7.1%	-1.6%	-5.7M	56.1M	-640.0K	1.10	27.63	N/A	N/A	1,903	2,087	19,373	54,644
2022-02-28	$102.28	$106.00	26.1%	7.5%	21.0%	96.2%	26.1%	7.7%	-2.1%	-8.8M	81.2M	-635.7K	1.20	22.55	N/A	N/A	1,799	2,166	19,751	54,708