VNQ Options History — July 2022

In July 2022, VNQ traded between $90.28 and $99.19. ATM implied volatility averaged 23.7%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.8% (HV 20d: 22.9%). Max pain ranged from $84.00 to $93.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2022-07-19: Highest Volume — 7,777 contracts
  • 2022-07-13: Largest IV drop — 20.7% change
  • 2022-07-12: Highest IV Rank — 83.5%
  • 2022-07-12: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.32$90.28$99.19$92.80$99.19
Max Pain$85.50$84.00$93.00$93.00$88.00
ATM IV23.7%19.0%31.7%23.5%19.1%
Expected Move6.6%5.5%7.4%6.7%5.5%
HV 20d22.9%15.6%32.5%32.5%17.7%
HV 60d27.9%26.5%28.3%28.3%26.5%
IV Rank52.4%34.1%83.5%51.6%34.5%
IV Percentile71.4%47.6%98.4%72.6%48.4%
Term Structure-0.1%-1.5%1.0%0.8%0.5%
VWIV27.4%20.5%30.1%24.4%20.6%
Skew 25d6.2%4.3%7.5%5.2%4.3%
Skew 10d12.4%9.1%15.9%10.4%9.1%
Call IV 25d20.3%16.7%22.1%21.3%16.7%
Put IV 25d26.5%21.0%29.5%26.5%21.0%
Bid-Ask Spread %43.2425.9462.4662.4650.09
Gamma HHI0.270.180.310.270.18
Net GEX-9.3M-11.6M-5.4M-9.1M-5.4M
Net DEX103.2M8.7M153.6M118.9M8.7M
Net VEX-841.3K-942.5K-688.7K-942.5K-688.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.580.880.700.62
Total Volume6,596.755,2507,7776,7605,250
Total OI70,611.5567,59772,73670,28570,678

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$92.80$93.0023.5%6.7%32.5%51.6%24.4%5.2%0.8%-9.1M118.9M-942.5K0.7062.46N/AN/A3,9672,79317,30452,981
2022-07-05$92.24$84.0027.6%7.4%32.3%67.5%29.8%7.5%-1.5%-9.4M123.9M-924.5K0.7333.72N/AN/A3,6932,71317,92353,098
2022-07-06$92.60$84.0026.1%7.1%32.4%61.5%29.5%6.9%-0.7%-9.1M115.0M-920.6K0.8837.76N/AN/A3,9073,45718,10353,139
2022-07-07$92.65$84.0025.4%7.1%32.1%58.8%30.1%6.9%-0.9%-8.7M119.5M-926.5K0.7933.54N/AN/A3,8683,06418,41153,679
2022-07-08$92.29$84.0022.9%6.8%31.4%49.2%28.3%6.2%-0.8%-9.5M123.0M-908.9K0.6736.79N/AN/A4,0962,72718,42953,718
2022-07-11$91.65$84.0027.1%7.0%30.8%65.4%29.2%6.6%0.6%-10.1M132.5M-898.3K0.6735.82N/AN/A4,2552,86418,37053,864
2022-07-12$91.15$84.0031.7%7.4%29.9%83.5%29.5%7.3%-0.1%-10.4M141.7M-886.0K0.6925.94N/AN/A3,8662,67118,62453,818
2022-07-13$91.24$84.0025.2%7.2%21.3%58.0%29.8%6.9%0.5%-10.6M138.4M-884.3K0.7533.91N/AN/A3,7712,82718,80153,904
2022-07-14$90.28$84.0025.6%7.3%21.6%59.7%28.9%7.3%-0.9%-11.6M153.6M-856.6K0.6636.53N/AN/A3,8062,52718,83753,899
2022-07-15$91.60$84.0022.9%6.6%20.2%49.0%27.6%6.6%-0.0%-9.7M131.1M-847.7K0.7148.27N/AN/A3,8762,75018,80653,594
2022-07-18$90.93$84.0024.4%7.0%16.8%54.8%28.1%6.8%-0.5%-10.7M136.9M-838.7K0.6042.18N/AN/A4,2892,58616,82250,775
2022-07-19$93.50$86.0023.5%6.7%19.0%51.4%28.5%6.8%-0.3%-9.8M101.3M-846.0K0.6844.90N/AN/A4,6193,15817,54751,191
2022-07-20$93.61$86.0022.1%6.3%18.3%45.8%27.9%6.4%0.0%-9.6M95.0M-816.2K0.5844.37N/AN/A4,2692,45718,07250,791
2022-07-21$93.61$86.0021.8%6.2%18.1%44.6%30.0%6.6%0.1%-9.6M93.2M-808.7K0.6643.98N/AN/A3,6842,41518,20650,917
2022-07-22$94.15$86.0021.2%6.1%17.6%42.5%27.3%5.5%0.3%-9.4M86.4M-803.9K0.6953.90N/AN/A3,7622,58118,10950,977
2022-07-25$94.38$86.0022.2%6.4%16.3%46.4%28.3%5.7%-0.1%-9.2M81.0M-792.1K0.6154.38N/AN/A3,7772,30018,27251,059
2022-07-26$94.79$86.0022.1%6.3%16.3%45.9%28.9%5.3%0.1%-8.9M75.9M-784.4K0.6753.94N/AN/A3,6562,43218,41951,049
2022-07-27$95.50$86.0021.4%6.1%15.6%43.3%20.5%5.1%-0.3%-8.4M66.0M-756.5K0.6752.80N/AN/A3,8412,55918,49551,338
2022-07-28$98.27$87.0019.0%5.5%17.8%34.1%21.2%4.5%1.0%-6.1M23.1M-695.9K0.7139.59N/AN/A3,9792,82318,75251,460
2022-07-29$99.19$88.0019.1%5.5%17.7%34.5%20.6%4.3%0.5%-5.4M8.7M-688.7K0.6250.09N/AN/A3,2312,01918,91651,762