VNQ Options History — April 2023

In April 2023, VNQ traded between $80.38 and $83.35. ATM implied volatility averaged 20.7%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.5% (HV 20d: 20.3%). Max pain ranged from $82.00 to $83.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.10.

Notable Days

  • 2023-04-18: Highest Volume — 2,130 contracts
  • 2023-04-25: Largest IV spike — 15.7% change
  • 2023-04-26: Highest IV Rank — 25.9%
  • 2023-04-26: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.24$80.38$83.35$82.22$83.13
Max Pain$82.84$82.00$83.00$82.00$83.00
ATM IV20.7%18.2%23.4%22.0%18.2%
Expected Move6.0%5.2%6.7%6.3%5.2%
HV 20d20.3%16.2%27.0%27.0%16.7%
HV 60d20.7%20.1%22.5%22.5%20.4%
IV Rank15.8%4.7%25.9%22.9%4.7%
IV Percentile14.7%2.0%41.7%25.8%2.0%
Term Structure0.9%0.1%2.0%1.0%1.9%
VWIV21.5%18.5%24.9%22.2%18.5%
Skew 25d5.3%4.5%6.3%5.0%4.8%
Skew 10d10.8%8.7%13.0%9.7%11.4%
Call IV 25d18.5%15.9%20.2%19.7%15.9%
Put IV 25d23.8%20.7%26.1%24.7%20.7%
Bid-Ask Spread %35.3119.9651.2433.1146.92
Gamma HHI0.190.170.210.200.19
Net GEX-6.7M-8.6M-5.5M-6.9M-5.8M
Net DEX106.8M83.8M140.7M112.0M85.1M
Net VEX-1.4M-1.5M-1.3M-1.4M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.272.361.101.08
Total Volume1,258.5796912,1301,9701,119
Total OI95,384.94792,43699,27992,43696,507

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-04-03$82.22$82.0022.0%6.3%27.0%22.9%22.2%5.0%1.0%-6.9M112.0M-1.4M1.1033.11N/AN/A9401,03023,13169,305
2023-04-04$81.97$82.0022.2%6.4%26.0%23.7%23.2%4.5%1.3%-7.0M114.8M-1.5M0.5027.96N/AN/A50125023,48269,617
2023-04-05$81.91$82.0021.3%6.1%25.7%19.9%22.7%4.6%1.5%-7.1M115.2M-1.5M2.0434.04N/AN/A26453923,76469,709
2023-04-06$82.16$83.0020.6%6.4%24.6%15.1%22.9%6.3%0.3%-6.9M114.9M-1.5M0.5937.73N/AN/A55532823,94969,907
2023-04-10$82.60$83.0020.5%6.2%20.9%14.7%24.9%5.7%0.3%-6.2M105.8M-1.4M0.7939.83N/AN/A38630524,30670,089
2023-04-11$83.35$83.0020.5%6.2%20.4%14.7%23.1%5.4%0.3%-5.7M85.8M-1.4M1.5349.46N/AN/A58389424,44370,207
2023-04-12$82.81$83.0021.8%6.2%20.5%19.8%21.1%5.9%0.6%-6.3M98.7M-1.4M1.0351.24N/AN/A63865624,69670,382
2023-04-13$82.44$83.0021.9%6.3%20.5%20.4%22.4%5.1%0.8%-6.5M103.0M-1.4M2.0439.60N/AN/A46294124,93570,374
2023-04-14$81.16$83.0021.7%6.2%21.2%19.4%21.6%6.0%0.8%-8.1M132.1M-1.4M1.4841.62N/AN/A49773825,10670,642
2023-04-17$82.66$83.0019.9%5.7%20.7%12.3%19.9%4.9%0.9%-6.2M94.5M-1.3M0.9841.04N/AN/A61960425,25870,866
2023-04-18$82.70$83.0019.6%5.6%20.4%11.1%19.7%4.9%0.9%-6.0M94.9M-1.3M2.3139.43N/AN/A6441,48625,61371,116
2023-04-19$83.13$83.0019.5%5.6%20.5%10.5%20.9%4.5%0.9%-5.6M83.8M-1.4M0.2721.61N/AN/A1,18831725,71972,297
2023-04-20$82.03$83.0020.5%5.9%17.1%14.6%20.5%5.2%1.0%-6.9M114.0M-1.4M0.3719.96N/AN/A59521826,52472,384
2023-04-21$82.30$83.0019.8%5.7%16.3%11.7%19.7%4.6%1.1%-5.5M99.8M-1.4M0.3227.09N/AN/A98531626,88872,391
2023-04-24$81.94$83.0018.9%5.4%16.2%7.4%18.8%5.5%2.0%-7.5M111.4M-1.4M0.8132.82N/AN/A58147324,93868,789
2023-04-25$81.30$83.0021.8%6.3%16.6%19.6%23.8%6.2%0.6%-7.7M123.7M-1.4M2.3629.21N/AN/A4531,07025,25169,045
2023-04-26$80.38$83.0023.4%6.7%16.9%25.9%22.1%6.1%0.1%-8.6M140.7M-1.4M0.5232.88N/AN/A75039325,51669,538
2023-04-27$82.28$83.0019.9%5.7%16.8%11.7%20.2%5.3%1.5%-7.0M99.4M-1.4M0.7525.39N/AN/A90968625,91169,719
2023-04-28$83.13$83.0018.2%5.2%16.7%4.7%18.5%4.8%1.9%-5.8M85.1M-1.3M1.0846.92N/AN/A53858126,43470,073