VNQ Options History — April 2022

In April 2022, VNQ traded between $104.85 and $112.72. ATM implied volatility averaged 20.5%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.7% (HV 20d: 18.8%). Max pain ranged from $108.00 to $109.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.79.

Notable Days

  • 2022-04-14: Highest Volume — 13,756 contracts
  • 2022-04-11: Largest IV spike — 32.6% change
  • 2022-04-29: Highest IV Rank — 83.6%
  • 2022-04-29: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.34$104.85$112.72$110.08$104.85
Max Pain$108.35$108.00$109.00$108.00$109.00
ATM IV20.5%16.2%27.5%16.4%27.5%
Expected Move5.8%4.8%7.9%5.0%7.9%
HV 20d18.8%16.7%22.3%20.3%22.3%
HV 60d19.6%19.1%21.2%19.3%21.2%
IV Rank49.8%29.1%83.6%30.0%83.6%
IV Percentile78.2%54.0%99.2%57.9%99.2%
Term Structure0.3%-1.8%1.3%0.8%-1.8%
VWIV21.9%17.5%25.8%20.7%25.8%
Skew 25d6.1%3.2%7.9%3.2%7.9%
Skew 10d12.9%6.2%15.7%6.2%15.7%
Call IV 25d17.7%14.9%23.5%15.4%23.5%
Put IV 25d23.8%18.5%31.4%18.5%31.4%
Bid-Ask Spread %28.1718.7247.4121.6230.33
Gamma HHI0.080.060.120.060.12
Net GEX-1.1M-3.6M49.9K-196.0K-3.6M
Net DEX-4.2M-30.7M49.2M-21.3M49.2M
Net VEX-681.0K-802.8K-564.5K-564.5K-802.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.687.650.991.28
Total Volume4,785.384113,7564,0464,675
Total OI48,392.2542,20055,64242,20053,025

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-04-01$110.08$108.0016.4%5.0%20.3%30.0%20.7%3.2%0.8%-196.0K-21.3M-564.5K0.9921.62N/AN/A2,0332,01314,27327,927
2022-04-04$109.71$108.0016.2%4.8%19.5%29.1%19.5%5.3%1.1%-77.9K-17.7M-570.5K0.8320.46N/AN/A2,2661,88114,47828,188
2022-04-05$109.43$108.0018.0%5.2%19.2%37.7%19.9%5.3%0.3%-179.8K-18.0M-573.1K0.8131.53N/AN/A2,1481,73214,81728,399
2022-04-06$110.40$108.0019.6%5.5%18.0%45.5%21.3%6.6%0.6%-37.5K-23.6M-600.4K0.9724.89N/AN/A1,8071,75015,10828,491
2022-04-07$110.03$108.0019.3%5.6%17.8%44.0%23.1%6.8%0.2%49.9K-23.3M-577.8K1.9620.88N/AN/A1,7463,41815,18628,547
2022-04-08$109.98$108.0018.2%5.5%17.6%38.6%24.3%6.1%0.6%-222.6K-19.0M-623.7K1.5018.72N/AN/A1,6432,46115,28930,371
2022-04-11$108.61$108.0024.1%6.0%17.9%67.4%23.4%6.5%-0.1%-898.9K-4.2M-634.4K1.7819.14N/AN/A1,5232,70515,36130,776
2022-04-12$108.20$108.0025.3%6.3%17.9%72.9%24.3%7.0%-0.3%-1.3M-76.9K-610.5K1.7820.13N/AN/A1,5062,68315,51031,099
2022-04-13$109.29$108.0019.7%5.7%18.0%45.9%22.8%6.9%0.8%-464.3K-9.8M-614.2K7.6523.90N/AN/A1,46111,17515,56531,045
2022-04-14$108.88$108.0019.1%5.5%17.4%43.1%19.2%6.0%1.0%-1.6M2.8M-728.0K6.0027.00N/AN/A1,96611,79015,62040,022
2022-04-18$107.94$108.0019.8%5.7%17.7%46.3%19.0%6.0%0.8%-2.5M17.8M-757.4K1.4321.80N/AN/A1,7142,45114,23334,277
2022-04-19$110.66$108.0017.2%4.9%19.1%33.8%17.5%5.0%1.3%-1.2M-11.2M-701.1K1.1127.92N/AN/A2,0222,25014,55834,199
2022-04-20$112.72$108.0016.9%4.8%19.9%32.3%18.5%5.3%0.7%-240.3K-30.7M-683.1K1.0523.76N/AN/A1,8171,89915,20834,804
2022-04-21$111.87$109.0018.7%5.4%19.0%41.2%19.7%5.4%0.7%-589.0K-24.2M-715.8K1.1247.41N/AN/A1,7601,97915,55035,146
2022-04-22$110.43$109.0020.8%6.0%19.9%51.3%23.2%5.5%0.2%-1.1M-8.4M-746.4K1.1439.97N/AN/A1,5021,70615,72335,390
2022-04-25$109.48$109.0022.1%6.3%19.8%57.8%24.3%6.7%-0.2%-1.7M2.9M-765.6K1.1637.75N/AN/A1,9892,30315,75335,842
2022-04-26$107.82$109.0024.3%7.0%20.4%68.3%24.8%7.2%-0.6%-2.4M19.3M-778.3K1.2533.58N/AN/A1,5141,88915,93036,393
2022-04-27$107.33$109.0024.4%7.0%16.7%68.5%22.7%6.9%-0.7%-2.8M25.9M-797.5K0.6836.82N/AN/A50233916,04636,781
2022-04-28$109.06$109.0022.6%6.5%17.4%59.8%24.0%6.7%-0.2%-2.0M9.6M-775.1K1.4335.73N/AN/A1,5192,16916,16336,752
2022-04-29$104.85$109.0027.5%7.9%22.3%83.6%25.8%7.9%-1.8%-3.6M49.2M-802.8K1.2830.33N/AN/A2,0472,62816,22436,801