VNQ Options History — September 2022

In September 2022, VNQ traded between $79.40 and $96.65. ATM implied volatility averaged 26.9%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.4% (HV 20d: 22.5%). Max pain ranged from $80.00 to $99.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 5.13.

Notable Days

2022-09-23: Highest Volume — 37,974 contracts
2022-09-12: Largest IV spike — 22.7% change
2022-09-27: Highest IV Rank — 93.1%
2022-09-27: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$88.71	$79.40	$96.65	$92.77	$80.62
Max Pain	$92.33	$80.00	$99.00	$99.00	$80.00
ATM IV	26.9%	21.9%	34.5%	23.4%	33.8%
Expected Move	7.5%	5.8%	9.9%	6.7%	9.7%
HV 20d	22.5%	18.6%	28.8%	18.8%	28.8%
HV 60d	21.1%	19.2%	23.7%	23.7%	22.8%
IV Rank	59.4%	36.3%	93.1%	47.6%	89.8%
IV Percentile	80.4%	57.1%	99.2%	67.9%	98.8%
Term Structure	-0.4%	-3.3%	2.0%	-0.4%	-2.6%
VWIV	26.0%	20.4%	36.2%	24.2%	31.8%
Skew 25d	5.8%	4.3%	7.2%	5.2%	7.2%
Skew 10d	10.2%	7.2%	12.4%	9.6%	12.4%
Call IV 25d	23.6%	18.6%	31.7%	22.0%	29.5%
Put IV 25d	29.3%	23.3%	38.3%	27.2%	36.7%
Bid-Ask Spread %	63.11	26.08	79.24	68.01	70.03
Gamma HHI	0.40	0.15	0.97	0.31	0.47
Net GEX	-19.6M	-146.8M	-4.7M	-18.6M	-6.3M
Net DEX	127.7M	55.3M	191.3M	155.4M	132.5M
Net VEX	-663.9K	-814.4K	-531.9K	-742.5K	-814.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.13	0.52	24.10	13.81	2.15
Total Volume	6,253.381	412	37,974	4,709	7,145
Total OI	73,167.667	46,061	86,923	79,870	78,003

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
2022-09-01	$92.77	$99.00	23.4%	6.7%	18.8%	47.6%	24.2%	5.2%	-0.4%	-18.6M	155.4M	-742.5K	13.81	68.01	N/A	N/A	318	4,391	19,437	60,433
2022-09-02	$91.87	$99.00	22.4%	6.4%	18.8%	42.8%	22.6%	4.9%	0.3%	-21.0M	176.3M	-749.9K	12.61	73.50	N/A	N/A	282	3,557	19,552	63,972
2022-09-06	$92.75	$96.00	24.8%	6.7%	18.6%	52.7%	22.0%	6.5%	-0.2%	-20.8M	154.9M	-718.3K	1.09	63.51	N/A	N/A	2,109	2,298	19,654	65,048
2022-09-07	$94.60	$96.00	23.2%	6.2%	20.2%	43.7%	20.9%	5.3%	1.1%	-16.9M	108.3M	-693.3K	0.85	63.06	N/A	N/A	2,113	1,795	19,861	65,298
2022-09-08	$94.56	$96.00	23.2%	6.2%	18.7%	42.4%	23.5%	5.3%	1.7%	-15.7M	102.5M	-675.7K	15.83	63.97	N/A	N/A	89	1,409	20,140	65,445
2022-09-09	$95.91	$96.00	21.9%	5.9%	19.7%	36.3%	20.4%	4.9%	1.8%	-11.3M	70.8M	-634.2K	0.67	62.88	N/A	N/A	247	165	20,156	65,213
2022-09-12	$96.65	$96.00	26.8%	5.8%	18.7%	58.7%	21.4%	4.3%	2.0%	-9.6M	55.3M	-597.2K	0.72	57.72	N/A	N/A	352	255	20,233	65,205
2022-09-13	$92.90	$96.00	30.0%	6.8%	22.6%	73.0%	24.9%	5.3%	0.6%	-20.6M	130.3M	-625.5K	1.38	63.13	N/A	N/A	2,340	3,237	20,430	65,272
2022-09-14	$92.42	$96.00	25.0%	7.2%	22.6%	50.4%	22.7%	6.9%	-1.3%	-26.5M	142.0M	-610.6K	20.55	71.01	N/A	N/A	647	13,293	20,690	65,664
2022-09-15	$90.40	$96.00	25.1%	7.2%	23.4%	50.6%	23.6%	6.7%	-0.3%	-48.7M	191.3M	-629.9K	1.53	76.85	N/A	N/A	693	1,057	20,775	66,148
2022-09-16	$90.11	$96.00	24.7%	7.1%	23.4%	48.9%	24.2%	6.7%	-0.3%	-146.8M	181.2M	-609.8K	0.94	69.90	N/A	N/A	2,681	2,508	20,878	65,621
2022-09-19	$90.06	$95.00	24.3%	7.0%	23.3%	47.3%	24.5%	5.2%	-0.2%	-4.7M	82.7M	-590.0K	1.37	61.59	N/A	N/A	546	746	15,746	30,315
2022-09-20	$88.26	$94.00	24.4%	7.0%	23.2%	47.7%	24.9%	6.0%	1.0%	-5.0M	99.7M	-573.6K	0.98	38.27	N/A	N/A	932	911	16,046	30,797
2022-09-21	$86.77	$93.00	24.9%	7.1%	23.5%	50.0%	25.4%	4.3%	0.1%	-5.0M	110.0M	-577.4K	0.52	79.24	N/A	N/A	728	381	16,469	31,266
2022-09-22	$85.99	$92.00	26.6%	7.6%	23.2%	57.6%	25.6%	5.1%	-0.9%	-5.0M	118.6M	-559.7K	1.38	59.08	N/A	N/A	818	1,126	17,048	31,449
2022-09-23	$83.51	$90.00	27.1%	7.8%	23.7%	60.0%	27.2%	6.0%	-0.1%	-4.7M	131.3M	-531.9K	24.10	26.08	N/A	N/A	1,513	36,461	17,256	31,928
2022-09-26	$81.49	$88.00	32.3%	9.3%	23.8%	83.3%	31.4%	6.3%	-3.3%	-6.1M	134.2M	-698.7K	0.72	65.11	N/A	N/A	4,381	3,136	18,230	47,341
2022-09-27	$79.99	$85.00	34.5%	9.9%	24.1%	93.1%	36.2%	6.6%	-2.8%	-5.8M	139.3M	-746.6K	2.04	69.60	N/A	N/A	3,875	7,903	19,982	48,310
2022-09-28	$81.87	$80.00	32.6%	9.4%	26.3%	84.7%	35.6%	6.3%	-2.9%	-6.0M	117.4M	-784.4K	2.80	72.96	N/A	N/A	2,221	6,222	21,897	53,769
2022-09-29	$79.40	$80.00	33.3%	9.6%	27.5%	87.9%	32.7%	5.9%	-2.9%	-6.5M	146.9M	-778.8K	1.73	49.82	N/A	N/A	2,362	4,078	22,132	53,412
2022-09-30	$80.62	$80.00	33.8%	9.7%	28.8%	89.8%	31.8%	7.2%	-2.6%	-6.3M	132.5M	-814.4K	2.15	70.03	N/A	N/A	2,269	4,876	22,759	55,244