VNQ Options History — May 2022

In May 2022, VNQ traded between $93.54 and $103.80. ATM implied volatility averaged 28.8%, placing in the 76.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 1.2% (HV 20d: 30.0%). Max pain ranged from $101.00 to $109.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 2.62.

Notable Days

2022-05-09: Highest Volume — 25,482 contracts
2022-05-09: Largest IV spike — 20.0% change
2022-05-02: Highest IV Rank — 100.0%
2022-05-12: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$97.45	$93.54	$103.80	$101.17	$99.29
Max Pain	$104.67	$101.00	$109.00	$109.00	$101.00
ATM IV	28.8%	23.7%	36.0%	31.4%	25.4%
Expected Move	8.1%	6.8%	9.4%	9.0%	7.3%
HV 20d	30.0%	25.0%	32.8%	25.0%	27.8%
HV 60d	24.1%	22.3%	25.4%	22.3%	24.5%
IV Rank	76.0%	52.2%	100.0%	100.0%	58.8%
IV Percentile	95.4%	81.3%	100.0%	100.0%	88.5%
Term Structure	-1.9%	-3.1%	-0.4%	-3.1%	-2.3%
VWIV	29.8%	24.3%	34.4%	31.0%	24.3%
Skew 25d	7.9%	5.8%	10.0%	8.5%	6.4%
Skew 10d	15.5%	11.7%	19.2%	17.2%	12.1%
Call IV 25d	24.9%	21.3%	28.3%	27.4%	22.4%
Put IV 25d	32.7%	27.1%	38.3%	35.9%	28.8%
Bid-Ask Spread %	50.27	36.23	65.90	36.23	55.54
Gamma HHI	0.24	0.12	0.33	0.15	0.24
Net GEX	-12.8M	-18.7M	-4.9M	-4.9M	-13.4M
Net DEX	164.2M	81.7M	247.3M	87.0M	101.7M
Net VEX	-946.4K	-1.0M	-800.2K	-800.2K	-835.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.62	1.00	14.74	3.71	2.50
Total Volume	6,466.381	3,733	25,482	9,363	6,903
Total OI	75,261.762	53,833	84,619	53,833	82,326

Daily Data (21 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
2022-05-02	$101.17	$109.00	31.4%	9.0%	25.0%	100.0%	31.0%	8.5%	-3.1%	-4.9M	87.0M	-800.2K	3.71	36.23	N/A	N/A	1,990	7,373	16,497	37,336
2022-05-03	$102.26	$109.00	28.4%	8.1%	25.5%	85.8%	27.7%	7.3%	-1.8%	-5.6M	87.9M	-877.2K	3.87	40.86	N/A	N/A	1,947	7,531	16,595	40,979
2022-05-04	$103.80	$108.00	25.9%	7.4%	26.4%	74.0%	27.6%	6.9%	-0.6%	-6.4M	81.7M	-904.7K	1.88	39.04	N/A	N/A	1,600	3,005	16,682	45,682
2022-05-05	$100.82	$106.00	30.1%	8.2%	27.6%	94.1%	31.2%	9.2%	-1.3%	-7.4M	115.6M	-947.3K	2.03	50.01	N/A	N/A	1,349	2,742	16,819	45,828
2022-05-06	$99.78	$106.00	29.4%	8.3%	27.7%	90.8%	31.1%	8.9%	-1.5%	-7.8M	127.9M	-918.3K	2.74	50.97	N/A	N/A	1,813	4,976	16,749	45,754
2022-05-09	$95.76	$106.00	35.3%	9.0%	30.4%	100.0%	34.4%	9.4%	-2.2%	-8.4M	167.3M	-874.2K	14.74	51.76	N/A	N/A	1,619	23,863	16,827	44,608
2022-05-10	$93.73	$106.00	36.0%	9.0%	30.8%	100.0%	33.5%	9.4%	-2.7%	-13.5M	241.2M	-1.0M	3.32	55.66	N/A	N/A	1,916	6,359	16,947	60,563
2022-05-11	$93.54	$106.00	31.8%	9.1%	30.8%	83.9%	32.6%	9.3%	-2.7%	-14.1M	247.3M	-1.0M	1.24	49.92	N/A	N/A	2,186	2,706	17,160	62,825
2022-05-12	$93.96	$106.00	32.7%	9.4%	30.5%	87.2%	32.8%	10.0%	-2.6%	-14.2M	235.9M	-1.0M	1.67	57.45	N/A	N/A	1,826	3,046	17,641	62,419
2022-05-13	$96.50	$106.00	30.0%	8.6%	32.8%	76.7%	30.6%	8.3%	-2.8%	-14.4M	195.9M	-1.0M	1.32	55.12	N/A	N/A	1,606	2,127	17,582	62,951
2022-05-16	$96.37	$106.00	28.3%	8.1%	32.8%	70.1%	32.7%	7.9%	-1.6%	-15.2M	193.1M	-994.7K	4.07	44.93	N/A	N/A	1,581	6,434	17,784	62,763
2022-05-17	$97.16	$105.00	26.0%	7.4%	31.3%	61.1%	26.4%	7.0%	-1.2%	-16.1M	179.6M	-967.0K	1.29	43.70	N/A	N/A	1,648	2,122	17,842	65,041
2022-05-18	$94.51	$105.00	28.6%	8.2%	30.7%	71.4%	29.0%	8.0%	-2.5%	-17.4M	229.1M	-998.1K	1.89	42.69	N/A	N/A	1,596	3,015	18,104	65,273
2022-05-19	$94.65	$105.00	27.5%	7.9%	30.9%	66.9%	29.3%	8.1%	-1.5%	-18.1M	228.9M	-997.2K	1.25	65.90	N/A	N/A	2,079	2,609	18,177	65,574
2022-05-20	$94.73	$103.00	26.8%	7.7%	31.0%	64.2%	28.8%	7.5%	-0.4%	-18.7M	219.5M	-983.8K	1.00	63.58	N/A	N/A	2,358	2,347	18,858	65,761
2022-05-23	$95.53	$101.00	27.3%	7.8%	31.5%	66.2%	28.3%	6.2%	-2.0%	-16.4M	181.8M	-957.1K	1.24	54.27	N/A	N/A	2,231	2,774	16,439	62,877
2022-05-24	$96.85	$101.00	27.3%	7.8%	32.2%	66.3%	30.8%	7.6%	-2.1%	-15.5M	163.1M	-966.0K	1.46	37.91	N/A	N/A	1,849	2,706	17,098	63,476
2022-05-25	$97.75	$101.00	26.9%	7.7%	32.6%	64.5%	30.8%	6.8%	-1.4%	-14.9M	142.1M	-941.6K	1.19	58.61	N/A	N/A	1,707	2,037	17,247	64,148
2022-05-26	$98.18	$101.00	26.2%	7.5%	31.9%	62.1%	28.2%	6.4%	-1.8%	-14.8M	130.3M	-919.2K	1.17	53.08	N/A	N/A	1,735	2,037	17,434	64,089
2022-05-27	$100.16	$101.00	23.7%	6.8%	30.4%	52.2%	24.6%	5.8%	-1.4%	-12.3M	90.6M	-869.1K	1.40	48.44	N/A	N/A	1,853	2,593	17,597	64,145
2022-05-31	$99.29	$101.00	25.4%	7.3%	27.8%	58.8%	24.3%	6.4%	-2.3%	-13.4M	101.7M	-835.7K	2.50	55.54	N/A	N/A	1,971	4,932	17,883	64,443