VNQ Options History — January 2023

In January 2023, VNQ traded between $82.23 and $90.88. ATM implied volatility averaged 22.5%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 2.4% (HV 20d: 24.9%). Max pain ranged from $85.00 to $87.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.76.

Notable Days

  • 2023-01-27: Highest Volume — 2,488 contracts
  • 2023-01-30: Largest IV spike — 13.9% change
  • 2023-01-03: Highest IV Rank — 42.3%
  • 2023-01-03: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.01$82.23$90.88$82.45$90.88
Max Pain$85.55$85.00$87.00$85.00$87.00
ATM IV22.5%20.2%25.3%25.2%22.5%
Expected Move6.4%5.8%7.2%7.2%6.4%
HV 20d24.9%21.4%28.7%21.4%22.8%
HV 60d27.4%26.3%28.8%27.8%26.3%
IV Rank31.1%22.1%42.3%42.3%30.9%
IV Percentile32.9%14.3%59.9%59.5%34.1%
Term Structure-0.3%-1.8%0.6%-0.6%-1.8%
VWIV22.7%20.7%26.6%24.1%23.4%
Skew 25d4.3%3.0%5.4%3.6%4.0%
Skew 10d8.4%5.8%12.1%6.9%8.8%
Call IV 25d20.2%18.7%22.8%22.8%20.5%
Put IV 25d24.5%22.6%27.2%26.4%24.5%
Bid-Ask Spread %30.7716.2168.3350.9424.22
Gamma HHI0.380.220.660.640.27
Net GEX-6.4M-17.3M-1.7M-16.1M-2.3M
Net DEX36.3M-7.2M137.8M130.7M-5.9M
Net VEX-573.4K-756.9K-461.4K-756.9K-479.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.317.131.752.66
Total Volume1,245.355782,4881,0021,806
Total OI77,505.6552,69492,53487,23156,175

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$82.45$85.0025.2%7.2%21.4%42.3%24.1%3.6%-0.6%-16.1M130.7M-756.9K1.7550.94N/AN/A36463822,82064,411
2023-01-04$83.98$85.0024.1%6.9%21.9%37.2%24.7%3.0%-0.1%-13.0M91.2M-709.3K2.4068.33N/AN/A4761,14223,08864,605
2023-01-05$82.23$85.0025.3%7.1%22.8%41.8%26.6%5.4%-0.2%-17.3M137.8M-750.5K1.3625.31N/AN/A29640223,29364,933
2023-01-06$84.66$85.0022.0%6.5%25.3%29.1%22.1%4.9%0.3%-12.1M79.2M-688.4K0.5828.29N/AN/A59434623,34565,120
2023-01-09$84.45$85.0024.1%6.8%25.1%37.2%23.6%5.0%-0.0%-12.4M78.6M-671.7K1.1316.21N/AN/A52659423,82465,220
2023-01-10$84.22$85.0024.1%6.6%25.1%37.5%24.9%4.9%0.1%-13.3M82.7M-666.9K3.7219.05N/AN/A13349524,06465,615
2023-01-11$87.50$85.0023.3%6.7%28.7%34.3%24.4%5.0%-0.1%-5.2M21.9M-590.4K1.5025.94N/AN/A39859824,09865,809
2023-01-12$88.60$85.0021.3%6.1%28.1%26.6%22.3%4.1%0.2%-1.7M-3.6M-535.7K1.2220.49N/AN/A77995124,20266,026
2023-01-13$88.32$85.0020.9%6.0%28.0%25.0%22.3%4.0%0.6%-2.0M1.9M-552.3K0.8033.28N/AN/A46036624,44366,426
2023-01-17$88.38$85.0021.5%6.2%27.5%27.2%21.8%4.4%0.5%-1.7M-1.4M-526.1K1.3650.05N/AN/A41957024,64466,592
2023-01-18$87.09$85.0022.2%6.4%26.9%29.9%21.8%4.6%0.1%-4.0M15.5M-525.6K1.2132.27N/AN/A74590024,75666,750
2023-01-19$86.90$85.0022.1%6.4%25.7%29.8%22.0%4.4%0.5%-4.6M21.5M-545.7K1.2738.93N/AN/A44056124,97467,309
2023-01-20$87.25$85.0021.8%6.3%25.7%28.5%21.0%4.3%-0.3%-2.2M12.8M-517.0K0.3524.94N/AN/A1,46951525,02567,509
2023-01-23$87.88$85.0021.8%6.3%25.7%28.5%21.5%4.4%-0.6%-4.0M20.2M-499.3K0.9124.56N/AN/A58653212,39040,304
2023-01-24$88.20$86.0021.6%6.2%24.2%27.5%21.4%3.8%-0.5%-3.7M16.7M-507.9K2.5231.02N/AN/A22757212,90340,704
2023-01-25$88.25$87.0021.8%6.3%24.0%28.5%21.7%4.1%-0.8%-3.8M17.9M-504.9K2.5927.83N/AN/A16141713,03241,088
2023-01-26$89.03$87.0021.1%6.0%24.1%25.7%20.7%4.2%-0.6%-3.3M9.1M-489.5K0.4322.10N/AN/A44919213,10441,348
2023-01-27$90.59$87.0020.2%5.8%23.0%22.1%21.8%3.9%-0.2%-2.2M-7.2M-461.4K0.3130.83N/AN/A1,90658213,40841,399
2023-01-30$89.38$87.0023.0%6.6%23.0%32.9%22.6%4.0%-1.5%-3.0M7.2M-488.9K7.1320.76N/AN/A2832,01713,58441,773
2023-01-31$90.88$87.0022.5%6.4%22.8%30.9%23.4%4.0%-1.8%-2.3M-5.9M-479.0K2.6624.22N/AN/A4931,31313,70742,468