VNQ Options History — June 2022

In June 2022, VNQ traded between $87.02 and $99.50. ATM implied volatility averaged 26.5%, placing in the 63.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 2.0% (HV 20d: 28.5%). Max pain ranged from $93.00 to $101.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.88.

Notable Days

  • 2022-06-08: Highest Volume — 16,975 contracts
  • 2022-06-13: Largest IV spike — 15.8% change
  • 2022-06-16: Highest IV Rank — 77.8%
  • 2022-06-16: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.81$87.02$99.50$98.55$90.90
Max Pain$95.48$93.00$101.00$101.00$93.00
ATM IV26.5%22.8%30.3%25.2%26.0%
Expected Move7.5%6.4%8.7%7.2%7.4%
HV 20d28.5%20.6%32.7%27.6%31.7%
HV 60d26.6%24.1%28.5%24.4%27.9%
IV Rank63.1%48.6%77.8%58.1%61.0%
IV Percentile88.6%76.6%97.6%87.3%84.5%
Term Structure-0.1%-2.1%1.1%-2.1%-0.2%
VWIV26.3%23.2%34.3%25.0%25.0%
Skew 25d5.9%4.4%7.3%6.4%5.3%
Skew 10d11.0%8.7%13.7%12.1%9.2%
Call IV 25d23.6%19.5%27.8%22.9%23.7%
Put IV 25d29.5%26.1%35.2%29.3%28.9%
Bid-Ask Spread %51.4135.0265.0954.7743.22
Gamma HHI0.330.240.630.270.28
Net GEX-15.5M-30.8M-8.3M-14.5M-9.5M
Net DEX215.1M99.7M476.5M118.7M147.3M
Net VEX-954.3K-1.1M-848.4K-884.9K-960.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.587.262.510.73
Total Volume8,102.3814,49416,9756,9356,460
Total OI85,436.66767,298107,06083,47970,013

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$98.55$101.0025.2%7.2%27.6%58.1%25.0%6.4%-2.1%-14.5M118.7M-884.9K2.5154.77N/AN/A1,9784,95718,02965,450
2022-06-02$99.50$97.0024.9%6.6%27.2%57.1%24.0%6.5%0.6%-13.8M99.7M-848.4K2.6143.94N/AN/A1,7944,68818,24365,978
2022-06-03$98.08$97.0024.9%6.7%25.7%56.9%24.5%7.1%0.8%-16.4M135.6M-955.1K2.6046.14N/AN/A1,7814,62218,30571,309
2022-06-06$98.12$97.0027.0%6.8%25.5%65.1%24.1%6.8%1.1%-17.0M131.8M-903.3K2.3445.62N/AN/A2,0284,73718,37671,376
2022-06-07$99.07$97.0025.8%6.4%20.8%60.2%23.2%6.6%0.9%-15.5M111.1M-885.2K2.3646.30N/AN/A2,1084,97418,52371,513
2022-06-08$97.08$97.0022.8%6.5%20.6%48.6%23.2%5.8%1.0%-18.7M146.3M-885.8K7.2648.22N/AN/A2,05514,92018,63771,770
2022-06-09$95.21$98.0024.6%7.1%21.9%55.7%23.8%5.8%0.0%-25.2M215.6M-1.1M1.1251.55N/AN/A2,1172,37718,71681,877
2022-06-10$93.12$98.0026.1%7.5%23.4%61.6%25.1%6.1%-0.9%-27.1M276.6M-1.1M1.8735.02N/AN/A2,1123,93918,82881,780
2022-06-13$87.93$99.0030.3%8.7%28.8%77.7%29.9%7.3%-2.1%-25.0M433.7M-974.6K3.6156.42N/AN/A3,14511,35518,79782,350
2022-06-14$87.40$97.0030.3%8.7%28.8%77.7%29.7%6.7%-0.1%-27.1M476.5M-983.5K2.1060.34N/AN/A4,4719,39419,70987,351
2022-06-15$89.72$95.0027.5%7.9%30.5%66.9%27.7%5.5%-0.5%-30.8M361.2M-1.0M3.3262.04N/AN/A3,08310,24521,48980,343
2022-06-16$87.02$95.0030.3%8.7%30.9%77.8%34.3%7.2%-0.2%-13.0M448.5M-935.2K1.3864.80N/AN/A2,8403,91021,92979,999
2022-06-17$87.63$93.0027.5%7.9%31.0%66.9%27.9%5.8%0.8%-9.5M433.4M-931.3K0.7965.09N/AN/A4,4093,46522,33079,961
2022-06-21$89.13$93.0026.6%7.6%31.9%63.6%27.1%4.8%0.2%-9.6M175.4M-946.0K0.7552.50N/AN/A3,8142,87216,07751,221
2022-06-22$90.13$93.0026.7%7.6%32.0%63.7%26.0%4.4%-0.4%-9.6M160.3M-956.9K0.6654.89N/AN/A3,8492,54816,44251,377
2022-06-23$91.31$93.0026.7%7.6%32.0%63.7%26.3%5.5%-0.1%-8.7M140.7M-987.3K0.6139.22N/AN/A4,1572,52516,76051,620
2022-06-24$93.13$93.0025.5%7.3%32.7%59.3%25.6%5.6%-0.1%-8.3M113.0M-981.3K0.7150.93N/AN/A3,9122,78417,31551,746
2022-06-27$93.07$93.0025.4%7.3%32.6%59.0%27.1%5.4%-0.4%-8.5M116.6M-964.9K0.7147.08N/AN/A3,9632,80317,00352,240
2022-06-28$91.84$93.0026.0%7.5%31.7%61.2%25.4%5.1%-0.5%-9.0M133.4M-972.2K0.5853.18N/AN/A4,0822,37417,14452,516
2022-06-29$91.14$93.0026.6%7.6%31.7%63.4%26.4%5.0%-0.5%-9.5M142.8M-956.5K0.8158.24N/AN/A3,5992,90417,01352,715
2022-06-30$90.90$93.0026.0%7.4%31.7%61.0%25.0%5.3%-0.2%-9.5M147.3M-960.4K0.7343.22N/AN/A3,7292,73117,08452,929