VNQ Options History — October 2022

In October 2022, VNQ traded between $76.26 and $83.13. ATM implied volatility averaged 32.5%, placing in the 75.6% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.4% (HV 20d: 30.1%). Max pain ranged from $75.00 to $82.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 1.65.

Notable Days

  • 2022-10-27: Highest Volume — 47,930 contracts
  • 2022-10-04: Largest IV drop — 11.9% change
  • 2022-10-07: Highest IV Rank — 100.0%
  • 2022-10-12: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.49$76.26$83.13$81.63$83.10
Max Pain$79.62$75.00$82.00$80.00$75.00
ATM IV32.5%28.7%39.4%33.4%29.2%
Expected Move9.1%8.2%10.1%9.6%8.4%
HV 20d30.1%26.9%33.1%29.5%30.0%
HV 60d24.8%23.0%26.6%23.0%26.5%
IV Rank75.6%57.7%100.0%88.1%59.9%
IV Percentile93.5%84.9%100.0%98.4%85.3%
Term Structure-1.5%-3.4%-0.5%-3.4%-1.7%
VWIV33.0%29.1%37.5%32.6%33.6%
Skew 25d5.8%3.8%7.2%5.6%4.4%
Skew 10d10.7%6.9%13.3%10.2%8.7%
Call IV 25d29.1%26.7%30.7%29.9%27.0%
Put IV 25d34.9%30.5%37.5%35.5%31.4%
Bid-Ask Spread %58.9627.8173.8366.1057.47
Gamma HHI0.470.300.550.450.30
Net GEX-6.6M-8.1M-4.1M-6.4M-4.6M
Net DEX132.5M68.1M182.3M118.5M68.1M
Net VEX-827.2K-855.7K-793.5K-839.4K-828.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.3811.450.730.68
Total Volume8,314.5244,64947,9305,0935,961
Total OI87,352.90581,51995,60681,51983,284

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$81.63$80.0033.4%9.6%29.5%88.1%32.6%5.6%-3.4%-6.4M118.5M-839.4K0.7366.10N/AN/A2,9422,15123,07358,446
2022-10-04$83.01$80.0029.4%8.4%30.1%70.0%30.8%5.6%-0.5%-5.5M105.0M-843.8K0.7673.08N/AN/A2,8172,14524,22858,513
2022-10-05$81.67$80.0032.3%9.3%28.8%83.1%29.1%5.6%-2.9%-6.3M115.2M-837.7K0.6227.81N/AN/A3,6922,30024,52858,586
2022-10-06$79.31$82.0033.3%8.8%29.7%87.7%31.9%6.5%-1.3%-6.9M146.3M-855.7K1.0537.67N/AN/A2,6242,74325,49658,339
2022-10-07$77.27$82.0036.5%9.8%29.0%100.0%34.6%7.2%-1.1%-7.5M177.3M-835.0K1.1728.56N/AN/A2,7573,21225,81658,429
2022-10-10$76.90$82.0038.2%9.8%28.3%100.0%37.5%7.0%-1.5%-7.8M180.4M-819.5K2.1369.44N/AN/A2,2984,88726,37758,767
2022-10-11$77.45$82.0039.4%9.8%26.9%100.0%34.6%6.8%-1.2%-7.6M176.0M-833.0K0.8770.31N/AN/A4,2473,71126,70160,069
2022-10-12$77.07$82.0035.1%10.1%27.0%82.8%31.8%6.8%-1.3%-7.5M173.2M-837.3K1.0969.28N/AN/A3,4853,81328,08059,934
2022-10-13$78.01$80.0031.3%9.0%27.5%68.1%34.3%6.1%-1.0%-6.6M155.5M-841.1K1.7966.03N/AN/A2,5614,57629,02259,556
2022-10-14$76.26$80.0033.6%9.6%28.0%76.9%31.7%6.2%-1.3%-8.1M182.3M-819.3K1.7273.83N/AN/A2,0653,55029,57359,777
2022-10-17$79.06$82.0031.9%9.1%32.0%70.2%32.0%6.1%-1.8%-5.7M137.5M-828.3K0.3869.00N/AN/A7,8202,99829,59860,117
2022-10-18$79.79$80.0032.5%9.3%32.1%72.8%32.5%6.0%-1.8%-4.1M117.3M-844.9K1.1266.20N/AN/A2,7473,08331,79760,322
2022-10-19$77.76$80.0031.9%9.2%32.7%70.5%35.6%5.9%-1.7%-6.2M153.1M-833.4K2.1469.20N/AN/A2,3895,12131,87360,519
2022-10-20$77.49$80.0033.8%9.7%32.6%78.0%34.7%5.6%-2.0%-7.8M158.0M-819.2K2.1570.89N/AN/A2,2124,75631,95861,486
2022-10-21$78.14$80.0031.6%9.1%31.7%69.2%33.0%6.2%-1.3%-7.8M151.3M-825.9K1.4666.47N/AN/A2,1693,16232,11163,495
2022-10-24$78.24$80.0031.8%9.1%30.7%70.0%32.2%5.9%-1.8%-8.0M140.6M-802.0K1.1356.55N/AN/A2,1822,46725,55860,342
2022-10-25$81.23$80.0030.0%8.6%33.1%63.0%32.3%5.4%-1.3%-6.5M95.6M-793.5K1.1654.50N/AN/A2,5092,91726,10060,885
2022-10-26$81.29$75.0029.6%8.5%32.0%61.4%33.7%4.5%-1.1%-6.2M84.5M-803.7K0.4431.04N/AN/A4,0831,79027,98361,309
2022-10-27$81.45$75.0029.0%8.3%29.9%59.2%32.9%4.8%-0.7%-6.1M77.4M-797.1K11.4558.26N/AN/A3,85144,07928,37461,446
2022-10-28$83.13$75.0028.7%8.2%30.3%57.7%32.5%3.8%-1.2%-4.6M68.9M-834.2K0.5256.49N/AN/A3,7731,96028,43554,109
2022-10-31$83.10$75.0029.2%8.4%30.0%59.9%33.6%4.4%-1.7%-4.6M68.1M-828.2K0.6857.47N/AN/A3,5572,40428,77854,506