VNQ Options History — December 2022

In December 2022, VNQ traded between $81.23 and $88.09. ATM implied volatility averaged 25.8%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.2% (HV 20d: 24.6%). Max pain ranged from $85.00 to $88.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 4.30.

Notable Days

  • 2022-12-19: Highest Volume — 37,797 contracts
  • 2022-12-14: Largest IV drop — 40.5% change
  • 2022-12-12: Highest IV Rank — 100.0%
  • 2022-12-01: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.71$81.23$88.09$87.81$82.25
Max Pain$86.38$85.00$88.00$85.00$85.00
ATM IV25.8%20.7%40.3%24.8%23.4%
Expected Move6.5%5.9%7.1%7.1%6.7%
HV 20d24.6%20.1%33.7%32.5%21.3%
HV 60d29.7%28.2%31.1%31.0%28.4%
IV Rank45.3%25.4%100.0%42.2%35.4%
IV Percentile54.7%27.4%100.0%54.8%42.5%
Term Structure1.0%-2.9%2.5%-2.9%1.1%
VWIV22.7%21.1%24.8%24.8%21.9%
Skew 25d3.8%2.2%4.8%3.7%3.6%
Skew 10d7.1%4.6%8.9%6.7%7.9%
Call IV 25d20.9%19.2%23.2%23.2%21.3%
Put IV 25d24.7%23.1%26.8%26.8%25.0%
Bid-Ask Spread %58.9732.4074.3268.1640.18
Gamma HHI0.490.340.680.340.64
Net GEX-9.4M-17.5M-3.6M-3.7M-15.9M
Net DEX79.1M-5.6M173.3M18.1M141.7M
Net VEX-673.8K-871.5K-502.7K-616.8K-796.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.300.3547.030.351.75
Total Volume2,909.85740337,797710712
Total OI82,616.90568,48488,34179,19686,980

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$87.81$85.0024.8%7.1%32.5%42.2%24.8%3.7%-2.9%-3.7M18.1M-616.8K0.3568.16N/AN/A52718327,56451,632
2022-12-02$87.69$85.0023.8%6.8%32.5%38.3%24.6%2.2%-2.8%-3.9M16.1M-615.8K0.7569.80N/AN/A26719927,73151,684
2022-12-05$86.05$87.0026.5%6.4%33.4%49.1%21.3%4.8%1.9%-5.2M40.9M-617.8K0.5169.36N/AN/A54728127,73451,807
2022-12-06$85.16$87.0029.7%6.6%33.7%61.7%23.2%4.8%1.1%-6.0M58.7M-629.8K1.5467.54N/AN/A45870427,79751,870
2022-12-07$85.34$87.0031.2%6.6%33.7%67.6%24.5%4.8%1.1%-5.7M55.5M-616.3K1.1867.95N/AN/A42149727,98552,152
2022-12-08$85.91$87.0032.1%6.5%33.0%71.2%24.6%4.0%1.6%-5.3M40.3M-603.0K0.7768.21N/AN/A58545228,21452,333
2022-12-09$85.95$87.0031.5%6.4%20.8%68.8%22.3%4.4%1.7%-5.2M38.8M-599.3K0.8868.83N/AN/A40835828,48352,353
2022-12-12$86.34$87.0040.3%6.6%20.8%100.0%22.8%4.4%0.3%-4.9M32.7M-589.8K0.5260.82N/AN/A34517928,76752,451
2022-12-13$88.09$87.0034.8%6.0%20.1%78.9%21.7%3.9%1.4%-3.8M-5.6M-502.7K1.4866.93N/AN/A8691,28928,84852,469
2022-12-14$87.35$87.0020.7%5.9%20.2%25.4%21.4%4.0%2.5%-3.6M5.9M-519.6K4.2074.32N/AN/A3151,32429,20852,953
2022-12-15$86.19$87.0021.4%6.1%20.6%27.8%21.1%3.5%1.7%-3.7M25.4M-533.9K4.1054.08N/AN/A23997929,26753,025
2022-12-16$84.41$87.0021.8%6.2%21.3%29.4%21.9%3.6%1.8%-10.2M72.9M-551.5K3.7163.60N/AN/A8563,17929,27953,793
2022-12-19$82.69$87.0022.3%6.4%21.4%31.3%23.7%3.0%1.3%-11.4M104.6M-575.7K47.0356.79N/AN/A78737,01021,67746,807
2022-12-20$83.09$87.0021.8%6.2%21.4%29.3%21.8%3.3%2.0%-16.5M152.6M-841.0K2.5056.63N/AN/A23458522,20565,623
2022-12-21$83.31$87.0021.1%6.1%21.2%26.9%21.3%2.7%2.2%-17.5M144.5M-813.3K0.4044.57N/AN/A1,63866122,33565,943
2022-12-22$81.59$88.0023.0%6.6%22.3%34.0%23.3%4.2%1.1%-15.4M173.3M-871.5K2.0534.64N/AN/A26654422,21266,129
2022-12-23$82.62$85.0021.9%6.3%22.8%29.6%22.2%4.0%1.4%-14.3M137.8M-857.1K1.7263.04N/AN/A14825522,23163,907
2022-12-27$82.78$85.0022.4%6.4%21.0%31.6%22.0%4.0%0.8%-14.5M127.3M-808.0K1.3932.40N/AN/A29340722,30563,942
2022-12-28$81.23$85.0024.3%7.0%20.8%38.6%23.8%3.0%0.5%-16.8M160.0M-810.9K12.7063.36N/AN/A1011,28322,41564,207
2022-12-29$83.09$85.0022.8%6.5%21.2%33.1%22.8%4.0%1.1%-14.7M119.8M-780.4K0.8647.22N/AN/A38933322,46264,176
2022-12-30$82.25$85.0023.4%6.7%21.3%35.4%21.9%3.6%1.1%-15.9M141.7M-796.3K1.7540.18N/AN/A25945322,63464,346