VNQ Options History — November 2022

In November 2022, VNQ traded between $80.74 and $87.82. ATM implied volatility averaged 26.1%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 5.9% (HV 20d: 32.0%). Max pain ranged from $75.00 to $85.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2022-11-10: Highest Volume — 6,557 contracts
  • 2022-11-28: Largest IV spike — 11.1% change
  • 2022-11-08: Highest IV Rank — 62.7%
  • 2022-11-02: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.52$80.74$87.82$82.99$87.82
Max Pain$83.05$75.00$85.00$75.00$85.00
ATM IV26.1%22.5%30.0%29.0%24.6%
Expected Move7.4%6.5%8.4%8.3%7.1%
HV 20d32.0%26.6%36.7%29.4%34.3%
HV 60d29.3%26.3%31.3%26.4%31.3%
IV Rank47.7%33.4%62.7%58.8%41.7%
IV Percentile66.6%40.9%86.5%84.5%54.0%
Term Structure-1.2%-3.1%-0.5%-1.2%-3.1%
VWIV25.7%21.9%28.6%28.3%26.0%
Skew 25d4.5%3.8%5.3%4.0%4.2%
Skew 10d9.1%6.5%12.6%6.5%7.6%
Call IV 25d23.7%20.6%27.4%27.0%22.6%
Put IV 25d28.2%24.6%31.2%30.9%26.7%
Bid-Ask Spread %57.6014.0275.3961.0066.21
Gamma HHI0.320.270.380.310.35
Net GEX-4.7M-6.0M-3.4M-5.1M-4.1M
Net DEX55.2M4.1M110.6M74.8M17.3M
Net VEX-755.9K-845.1K-633.5K-845.1K-633.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.442.161.280.53
Total Volume3,915.3813736,5574,7181,246
Total OI84,560.42977,72291,51184,42579,288

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$82.99$75.0029.0%8.3%29.4%58.8%28.3%4.0%-1.2%-5.1M74.8M-845.1K1.2861.00N/AN/A2,0652,65329,00555,420
2022-11-02$80.81$75.0029.4%8.4%30.4%60.6%28.6%3.8%-1.1%-5.5M105.9M-835.8K1.0966.31N/AN/A2,0812,27129,09355,502
2022-11-03$80.74$82.0028.9%8.1%28.4%58.4%27.8%5.3%-1.6%-6.0M110.6M-843.6K1.0771.70N/AN/A2,0702,21829,07156,215
2022-11-04$81.61$82.0027.6%7.8%26.8%53.6%27.0%5.3%-1.0%-5.7M99.4M-843.9K0.7971.73N/AN/A2,4331,91029,41156,365
2022-11-07$81.80$83.0028.8%7.8%26.6%58.1%26.9%5.1%-1.4%-5.2M92.8M-816.8K0.9269.09N/AN/A2,2402,05229,70856,422
2022-11-08$82.38$83.0030.0%7.8%26.6%62.7%26.8%5.0%-0.7%-5.0M83.8M-820.9K0.8874.41N/AN/A2,2782,00829,84456,581
2022-11-09$81.00$83.0028.2%8.1%27.4%55.7%26.9%4.9%-1.0%-5.5M104.1M-799.7K0.7275.39N/AN/A2,3341,67330,02556,769
2022-11-10$87.01$83.0025.2%7.2%36.7%44.0%26.5%4.1%-0.8%-3.5M5.6M-764.1K1.2966.09N/AN/A2,8613,69630,10256,886
2022-11-11$87.12$84.0024.9%7.2%35.2%43.0%24.7%4.2%-0.8%-3.4M4.1M-749.4K0.7250.99N/AN/A3,2522,33530,56057,605
2022-11-14$85.07$84.0026.1%7.5%35.0%47.7%25.8%4.2%-1.0%-4.1M34.8M-748.4K0.7870.87N/AN/A2,5001,96031,02457,869
2022-11-15$85.86$84.0025.8%7.4%35.0%46.3%25.8%5.1%-1.1%-3.9M24.3M-779.9K0.4443.48N/AN/A3,9101,73631,09658,247
2022-11-16$85.21$84.0026.1%7.5%33.6%47.4%25.4%4.9%-1.4%-3.8M29.6M-755.8K0.7273.63N/AN/A2,4141,74732,51058,393
2022-11-17$83.90$84.0025.9%7.4%34.2%46.8%25.1%4.5%-0.6%-5.0M54.2M-775.3K0.8051.53N/AN/A3,4422,73932,53258,387
2022-11-18$85.43$84.0024.5%7.0%34.5%41.1%24.3%5.1%-0.8%-3.6M23.7M-734.3K0.9842.35N/AN/A2,5242,48032,79658,715
2022-11-21$85.85$84.0024.3%7.0%34.5%40.5%24.1%4.4%-1.2%-5.2M53.1M-719.4K0.9334.50N/AN/A2,0921,94426,85550,867
2022-11-22$86.47$85.0023.4%6.7%32.3%36.7%23.0%4.1%-0.5%-4.8M43.8M-696.0K1.0114.02N/AN/A1,8001,82727,01851,020
2022-11-23$86.40$85.0023.1%6.6%32.3%35.7%23.4%4.0%-0.6%-4.7M44.3M-699.3K1.0931.69N/AN/A1,6981,84427,15251,290
2022-11-25$86.85$85.0022.5%6.5%32.3%33.4%21.9%3.9%-0.8%-4.5M32.9M-663.4K0.5558.00N/AN/A24013327,18751,351
2022-11-28$84.63$85.0025.0%7.2%33.2%43.3%24.7%4.3%-2.0%-6.0M70.3M-681.9K2.1655.12N/AN/A23751127,25651,414
2022-11-29$86.06$85.0025.5%7.3%33.7%45.3%26.3%4.7%-2.9%-4.9M49.3M-667.3K1.4461.46N/AN/A31545427,33851,580
2022-11-30$87.82$85.0024.6%7.1%34.3%41.7%26.0%4.2%-3.1%-4.1M17.3M-633.5K0.5366.21N/AN/A81742927,46551,823