VNQ Options History — March 2022 In March 2022, VNQ traded between $101.73 and $110.56. ATM implied volatility averaged 21.8%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.1% (HV 20d: 20.8%). Max pain ranged from $101.00 to $115.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.40.
Notable Days 2022-03-14 : Highest Volume — 18,168 contracts2022-03-07 : Largest IV spike — 18.5% change2022-03-01 : Highest IV Rank — 100.0%2022-03-07 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $105.23 $101.73 $110.56 $101.73 $109.33 Max Pain $106.00 $101.00 $115.00 $106.00 $108.00 ATM IV 21.8% 14.4% 30.8% 27.9% 16.8% Expected Move 6.4% 4.5% 8.8% 8.0% 4.9% HV 20d 20.8% 18.4% 23.2% 19.9% 20.2% HV 60d 18.9% 18.4% 20.3% 18.5% 20.1% IV Rank 58.4% 20.4% 100.0% 100.0% 31.9% IV Percentile 81.1% 28.2% 100.0% 100.0% 60.3% Term Structure -0.2% -4.0% 1.3% -4.0% 0.4% VWIV 23.7% 18.2% 31.7% 28.8% 20.1% Skew 25d 6.7% 3.4% 9.3% 9.3% 3.5% Skew 10d 13.2% 7.5% 18.9% 18.8% 8.2% Call IV 25d 18.8% 13.3% 24.5% 23.8% 15.2% Put IV 25d 25.5% 16.7% 33.1% 33.1% 18.8% Bid-Ask Spread % 32.32 16.65 61.29 16.80 17.14 Gamma HHI 0.12 0.06 0.20 0.19 0.06 Net GEX -3.0M -9.0M 504.1K -9.0M -480.8K Net DEX 27.4M -23.2M 90.5M 90.5M -13.2M Net VEX -559.9K -663.1K -492.0K -663.1K -577.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.40 0.41 2.68 1.14 0.94 Total Volume 5,302.174 3,232 18,168 3,735 4,136 Total OI 61,496.957 35,233 79,098 74,860 41,877
Daily Data (23 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 2022-03-01 $101.73 $106.00 27.9% 8.0% 19.9% 100.0% 28.8% 9.3% -4.0% -9.0M 90.5M -663.1K 1.14 16.80 N/A N/A 1,747 1,988 19,895 54,965 2022-03-02 $104.19 $106.00 24.0% 6.9% 21.9% 78.0% 24.9% 8.4% 0.0% -4.9M 46.2M -612.1K 1.53 51.18 N/A N/A 1,488 2,277 19,974 55,109 2022-03-03 $104.42 $106.00 24.9% 7.1% 21.4% 82.7% 24.3% 8.4% -0.1% -4.0M 41.0M -605.5K 1.27 45.32 N/A N/A 1,618 2,054 20,200 55,402 2022-03-04 $104.92 $106.00 26.0% 7.5% 21.2% 89.4% 26.2% 9.1% -1.2% -4.0M 33.9M -622.1K 0.83 38.93 N/A N/A 2,109 1,754 20,412 55,452 2022-03-07 $103.48 $106.00 30.8% 8.8% 21.7% 100.0% 30.1% 9.1% -2.0% -5.7M 56.2M -607.5K 0.92 47.00 N/A N/A 2,050 1,884 20,303 55,495 2022-03-08 $102.60 $106.00 27.3% 8.6% 21.7% 82.7% 31.7% 7.9% -1.8% -7.3M 68.2M -595.2K 2.68 47.30 N/A N/A 1,522 4,083 20,366 55,614 2022-03-09 $104.90 $106.00 25.0% 7.8% 23.2% 71.8% 30.2% 9.1% -0.7% -2.1M 29.4M -583.1K 2.20 58.23 N/A N/A 1,519 3,348 20,600 57,860 2022-03-10 $104.26 $106.00 24.9% 7.7% 22.1% 71.1% 27.9% 8.7% -0.1% -3.5M 37.7M -575.4K 1.92 57.56 N/A N/A 1,555 2,993 20,687 57,989 2022-03-11 $103.73 $106.00 24.9% 7.6% 20.0% 71.0% 28.0% 7.9% -0.0% -4.4M 43.8M -562.3K 1.76 61.29 N/A N/A 1,695 2,980 20,799 57,864 2022-03-14 $102.71 $115.00 26.2% 7.2% 20.2% 77.4% 24.8% 7.8% -1.2% -6.8M 59.9M -530.4K 1.02 29.33 N/A N/A 8,973 9,195 20,913 58,185 2022-03-15 $103.49 $106.00 25.1% 7.1% 20.2% 72.3% 25.3% 7.4% -0.4% -4.0M 43.5M -558.1K 0.41 26.47 N/A N/A 7,240 2,988 18,981 55,564 2022-03-16 $104.49 $106.00 22.2% 6.5% 20.4% 58.0% 23.1% 6.1% 0.5% -3.2M 29.9M -492.0K 1.26 39.47 N/A N/A 2,095 2,637 19,027 56,301 2022-03-17 $106.11 $0.00 20.3% 5.9% 20.9% 48.9% 21.7% 6.8% 0.5% 504.1K 10.8M -509.8K 1.65 20.36 N/A N/A 1,797 2,961 19,144 56,524 2022-03-18 $106.51 $103.00 17.8% 5.5% 20.6% 36.5% 20.9% 5.6% 0.9% -1.2M 1.6M -493.2K 2.33 18.56 N/A N/A 2,335 5,438 19,150 57,102 2022-03-21 $105.34 $104.00 20.2% 5.7% 20.9% 48.5% 20.6% 5.3% -0.8% -1.4M 17.7M -528.1K 0.92 23.37 N/A N/A 1,681 1,551 12,363 22,870 2022-03-22 $106.14 $101.00 17.2% 5.1% 20.8% 33.7% 20.6% 4.3% 0.5% -1.2M 12.4M -516.1K 1.00 25.96 N/A N/A 1,656 1,648 12,733 23,410 2022-03-23 $104.46 $103.00 19.2% 5.5% 20.9% 43.5% 21.0% 6.2% -0.4% -1.7M 22.6M -524.5K 1.14 22.86 N/A N/A 1,598 1,820 12,738 23,765 2022-03-24 $104.55 $103.00 17.6% 5.3% 20.2% 35.8% 19.1% 5.5% 0.7% -1.7M 23.3M -556.6K 1.16 16.65 N/A N/A 1,614 1,876 12,767 23,756 2022-03-25 $105.94 $107.00 16.9% 5.2% 19.3% 32.3% 19.0% 5.0% 1.1% -1.3M 12.0M -543.7K 1.53 22.09 N/A N/A 1,596 2,437 12,970 23,924 2022-03-28 $107.07 $107.00 16.1% 4.9% 18.4% 28.2% 19.5% 4.0% 1.2% -898.3K 2.5M -540.1K 1.88 20.04 N/A N/A 1,783 3,344 13,150 26,175 2022-03-29 $110.56 $107.00 14.4% 4.5% 21.0% 20.4% 18.2% 3.4% 1.3% -484.4K -23.2M -530.3K 1.20 17.75 N/A N/A 2,743 3,298 13,417 26,981 2022-03-30 $109.43 $108.00 16.3% 4.8% 20.2% 29.1% 19.2% 4.2% 0.6% -414.1K -15.6M -552.3K 1.40 19.69 N/A N/A 2,020 2,826 14,086 27,571 2022-03-31 $109.33 $108.00 16.8% 4.9% 20.2% 31.9% 20.1% 3.5% 0.4% -480.8K -13.2M -577.0K 0.94 17.14 N/A N/A 2,133 2,003 14,126 27,751
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