VNQ Options History — February 2023

In February 2023, VNQ traded between $85.63 and $93.20. ATM implied volatility averaged 22.4%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.9% (HV 20d: 18.5%). Max pain ranged from $87.00 to $90.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 7.09.

Notable Days

  • 2023-02-24: Highest Volume — 23,355 contracts
  • 2023-02-21: Largest IV spike — 15.4% change
  • 2023-02-21: Highest IV Rank — 40.3%
  • 2023-02-21: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.34$85.63$93.20$92.00$86.09
Max Pain$89.84$87.00$90.00$87.00$90.00
ATM IV22.4%20.7%24.9%21.3%22.5%
Expected Move6.3%5.8%7.1%6.1%6.5%
HV 20d18.5%15.6%22.9%22.9%17.3%
HV 60d22.9%20.8%26.7%26.3%20.8%
IV Rank30.6%24.0%40.3%26.7%31.2%
IV Percentile32.1%16.7%54.0%22.6%36.1%
Term Structure-0.5%-1.7%0.2%-1.4%-0.2%
VWIV22.8%20.1%27.5%20.9%22.5%
Skew 25d4.8%3.8%5.8%3.8%4.0%
Skew 10d9.1%4.6%11.6%4.6%6.1%
Call IV 25d19.6%18.0%21.8%19.1%20.3%
Put IV 25d24.4%22.5%27.2%22.9%24.2%
Bid-Ask Spread %30.678.7052.5843.7641.09
Gamma HHI0.270.170.410.220.38
Net GEX-3.8M-7.2M-1.2M-1.9M-6.5M
Net DEX8.5M-30.2M56.3M-16.7M46.9M
Net VEX-470.0K-546.1K-437.9K-471.6K-530.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.090.3177.641.592.23
Total Volume2,358.31631123,355995507
Total OI60,085.47456,18463,94557,04563,945

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-02-01$92.00$87.0021.3%6.1%22.9%26.7%20.9%3.8%-1.4%-1.9M-16.7M-471.6K1.5943.76N/AN/A38461113,98943,056
2023-02-02$93.20$90.0021.1%5.8%22.6%25.5%20.1%4.5%-0.3%-1.2M-30.2M-450.9K0.8623.86N/AN/A88876414,20043,363
2023-02-03$91.45$90.0021.6%6.0%22.3%27.5%20.4%5.2%-0.3%-1.9M-13.6M-481.5K1.8550.54N/AN/A34664014,80743,644
2023-02-06$91.23$90.0023.9%6.2%20.5%36.6%22.6%5.0%-0.3%-2.1M-11.8M-478.5K0.9223.00N/AN/A27725514,92443,949
2023-02-07$91.31$90.0023.1%6.0%20.4%33.2%22.4%5.0%-0.4%-1.9M-13.0M-467.2K2.9927.71N/AN/A7823315,13444,021
2023-02-08$90.52$90.0021.5%6.2%20.8%27.1%22.7%5.0%0.0%-2.7M-799.1K-494.3K2.5124.73N/AN/A16040115,14944,113
2023-02-09$89.66$90.0022.4%6.4%16.8%30.6%24.4%5.8%-0.3%-3.2M6.6M-489.9K1.0422.91N/AN/A40442115,24744,133
2023-02-10$89.95$90.0022.4%6.4%16.3%30.7%23.8%5.1%-0.7%-2.9M2.2M-486.6K31.6717.09N/AN/A1294,08515,18344,207
2023-02-13$90.69$90.0022.3%6.4%16.4%30.3%22.3%5.2%-0.5%-3.8M-3.4M-461.2K1.2120.90N/AN/A31538015,20547,235
2023-02-14$90.10$90.0021.4%6.1%16.7%27.0%25.3%5.1%0.2%-3.4M-4.7M-437.9K2.8420.58N/AN/A20959315,38147,468
2023-02-15$90.25$90.0020.7%5.9%15.6%24.0%21.9%4.9%0.2%-3.2M-6.0M-451.8K1.3318.98N/AN/A42356415,48147,734
2023-02-16$89.50$90.0022.0%6.3%15.9%29.0%23.1%4.5%-0.6%-3.9M2.1M-438.0K1.9020.76N/AN/A48091215,54047,748
2023-02-17$89.20$90.0021.6%6.2%16.0%27.4%22.6%4.8%-0.4%-4.6M5.0M-439.9K1.0144.08N/AN/A95296115,62348,250
2023-02-21$87.47$90.0024.9%7.1%17.4%40.3%24.9%5.5%-1.7%-5.1M30.1M-455.0K1.6050.72N/AN/A41967113,77442,410
2023-02-22$86.28$90.0023.8%6.8%18.0%36.3%23.2%4.5%-0.7%-6.0M39.2M-448.4K0.3152.58N/AN/A1,69352413,79742,845
2023-02-23$87.13$90.0022.4%6.4%18.4%30.7%21.5%4.8%-0.4%-4.9M26.5M-445.6K0.6019.83N/AN/A44726815,13842,985
2023-02-24$85.63$90.0023.1%6.6%18.9%33.2%27.5%4.3%-0.4%-6.5M46.3M-455.4K77.648.70N/AN/A29723,05815,28143,047
2023-02-27$85.77$90.0023.3%6.7%17.6%34.1%21.6%4.7%-0.4%-7.2M56.3M-546.1K0.5650.98N/AN/A68137815,31248,306
2023-02-28$86.09$90.0022.5%6.5%17.3%31.2%22.5%4.0%-0.2%-6.5M46.9M-530.2K2.2341.09N/AN/A15735015,57548,370