VNQ Options History — March 2023 In March 2023, VNQ traded between $77.78 and $86.88. ATM implied volatility averaged 26.5%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.5% (HV 20d: 22.0%). Max pain ranged from $82.00 to $90.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 8.39.
Notable Days 2023-03-28 : Highest Volume — 23,253 contracts2023-03-13 : Largest IV spike — 26.7% change2023-03-13 : Highest IV Rank — 100.0%2023-03-15 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $82.06 $77.78 $86.88 $84.78 $82.50 Max Pain $85.52 $82.00 $90.00 $90.00 $82.00 ATM IV 26.5% 20.2% 41.4% 23.2% 21.6% Expected Move 7.1% 5.8% 8.2% 6.7% 6.2% HV 20d 22.0% 15.3% 27.0% 16.4% 27.0% HV 60d 22.3% 20.9% 23.1% 21.0% 22.9% IV Rank 45.0% 21.1% 100.0% 33.9% 21.1% IV Percentile 59.7% 13.5% 100.0% 40.9% 20.6% Term Structure -0.1% -1.3% 1.3% -0.7% 1.1% VWIV 25.4% 20.3% 30.5% 22.7% 22.4% Skew 25d 6.2% 3.1% 8.7% 4.0% 4.7% Skew 10d 12.6% 4.2% 21.8% 4.2% 10.4% Call IV 25d 22.4% 18.5% 25.6% 21.3% 19.3% Put IV 25d 28.6% 22.0% 33.8% 25.3% 24.0% Bid-Ask Spread % 53.13 16.87 75.48 22.82 16.87 Gamma HHI 0.27 0.19 0.58 0.48 0.20 Net GEX -11.1M -35.1M -3.1M -8.5M -6.7M Net DEX 129.5M 21.1M 217.8M 67.7M 105.7M Net VEX -1.2M -1.5M -534.3K -534.3K -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 8.39 0.16 67.80 1.57 0.82 Total Volume 5,569 885 23,253 10,223 1,676 Total OI 95,957.304 63,983 119,766 63,983 91,453
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-03-01 $84.78 $90.00 23.2% 6.7% 16.4% 33.9% 22.7% 4.0% -0.7% -8.5M 67.7M -534.3K 1.57 22.82 N/A N/A 3,981 6,242 15,626 48,357 2023-03-02 $85.69 $90.00 22.1% 6.3% 16.2% 29.5% 21.5% 3.6% -0.4% -6.5M 49.8M -670.1K 1.63 20.41 N/A N/A 6,994 11,421 18,926 53,318 2023-03-03 $86.88 $90.00 20.2% 5.8% 16.3% 22.2% 20.3% 3.1% 0.2% -3.1M 21.1M -911.1K 13.38 37.63 N/A N/A 518 6,930 25,615 64,193 2023-03-06 $86.57 $86.00 22.1% 5.9% 15.3% 29.6% 21.6% 5.3% 0.9% -4.7M 39.8M -991.9K 1.35 31.00 N/A N/A 376 509 25,952 69,933 2023-03-07 $84.72 $86.00 23.8% 6.3% 16.7% 36.0% 23.5% 5.1% -0.0% -7.9M 73.3M -1.0M 20.24 38.37 N/A N/A 692 14,006 26,172 70,148 2023-03-08 $85.56 $86.00 23.8% 6.0% 17.3% 36.1% 21.2% 5.4% 0.7% -8.3M 77.0M -1.2M 1.31 66.36 N/A N/A 3,946 5,166 26,574 83,250 2023-03-09 $83.66 $86.00 27.9% 6.8% 18.5% 52.1% 24.7% 5.5% 0.2% -13.0M 126.0M -1.3M 2.04 28.06 N/A N/A 369 751 29,794 88,176 2023-03-10 $80.73 $86.00 32.7% 7.7% 21.6% 70.5% 26.8% 6.6% -0.3% -18.5M 217.8M -1.4M 2.27 51.54 N/A N/A 996 2,258 29,964 88,229 2023-03-13 $82.03 $86.00 41.4% 8.0% 22.7% 100.0% 28.8% 7.5% -1.3% -16.3M 174.2M -1.3M 3.78 70.68 N/A N/A 362 1,370 30,369 88,006 2023-03-14 $82.44 $86.00 35.4% 7.8% 22.5% 77.7% 27.5% 7.9% -0.3% -17.4M 154.1M -1.3M 3.02 61.60 N/A N/A 325 982 30,418 88,238 2023-03-15 $82.25 $86.00 28.6% 8.2% 22.5% 52.3% 29.8% 8.7% -1.3% -18.3M 158.6M -1.3M 47.03 69.98 N/A N/A 98 4,609 30,516 88,668 2023-03-16 $82.52 $86.00 26.2% 7.5% 22.6% 43.4% 29.4% 7.5% -1.0% -17.9M 142.3M -1.3M 4.92 67.47 N/A N/A 159 783 30,531 89,168 2023-03-17 $80.69 $86.00 28.6% 8.2% 23.5% 52.3% 29.6% 7.5% -1.0% -35.1M 169.6M -1.3M 6.30 64.80 N/A N/A 442 2,784 30,598 89,168 2023-03-20 $81.45 $85.00 27.2% 7.8% 24.0% 47.2% 26.2% 6.3% -0.8% -5.8M 125.6M -1.2M 0.50 65.83 N/A N/A 1,055 523 24,656 57,868 2023-03-21 $81.31 $85.00 26.2% 7.5% 23.4% 43.7% 25.9% 6.6% -0.7% -6.1M 127.8M -1.3M 8.08 68.23 N/A N/A 289 2,336 25,511 58,221 2023-03-22 $78.70 $85.00 25.9% 7.4% 25.3% 42.6% 27.0% 5.4% -0.2% -7.9M 166.3M -1.2M 0.16 75.48 N/A N/A 8,894 1,388 25,676 60,266 2023-03-23 $77.78 $84.00 28.2% 8.1% 24.9% 51.1% 29.0% 8.3% -0.1% -9.5M 195.2M -1.2M 1.76 70.65 N/A N/A 607 1,067 18,367 61,143 2023-03-24 $78.63 $84.00 27.6% 7.9% 25.1% 48.7% 30.5% 8.2% 0.6% -8.6M 167.0M -1.2M 1.58 64.61 N/A N/A 1,378 2,172 18,743 61,367 2023-03-27 $78.93 $83.00 25.8% 7.4% 25.2% 42.1% 25.9% 6.3% 0.6% -9.1M 160.4M -1.2M 1.00 65.90 N/A N/A 747 745 19,785 62,608 2023-03-28 $78.31 $83.00 26.5% 7.6% 25.0% 44.5% 24.5% 7.3% 0.1% -9.3M 167.3M -1.2M 67.80 55.41 N/A N/A 338 22,915 20,265 62,840 2023-03-29 $80.19 $83.00 22.7% 6.5% 26.6% 30.7% 23.6% 6.2% 1.1% -8.4M 156.4M -1.4M 0.88 40.87 N/A N/A 1,282 1,134 20,515 67,827 2023-03-30 $81.13 $83.00 22.2% 6.4% 26.7% 28.8% 22.5% 5.6% 1.3% -7.7M 135.4M -1.5M 1.48 67.48 N/A N/A 996 1,476 21,741 68,259 2023-03-31 $82.50 $82.00 21.6% 6.2% 27.0% 21.1% 22.4% 4.7% 1.1% -6.7M 105.7M -1.4M 0.82 16.87 N/A N/A 920 756 22,473 68,980
« Feb 2023 | All History | Apr 2023 » Home VNQ History March 2023