VNQ Options History — May 2023

In May 2023, VNQ traded between $78.50 and $83.07. ATM implied volatility averaged 21.1%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.7% (HV 20d: 17.4%). Max pain ranged from $82.00 to $83.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 4.23.

Notable Days

  • 2023-05-22: Highest Volume — 13,507 contracts
  • 2023-05-02: Largest IV spike — 19.8% change
  • 2023-05-24: Highest IV Rank — 26.3%
  • 2023-05-24: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.02$78.50$83.07$82.66$80.07
Max Pain$82.82$82.00$83.00$83.00$82.00
ATM IV21.1%18.6%23.5%18.6%21.3%
Expected Move6.1%5.3%6.7%5.3%6.1%
HV 20d17.4%15.5%18.9%15.8%15.5%
HV 60d20.4%20.1%20.9%20.2%20.2%
IV Rank16.7%6.4%26.3%6.4%17.4%
IV Percentile20.0%2.8%49.6%2.8%21.4%
Term Structure0.7%-1.1%2.0%1.4%-0.6%
VWIV21.5%17.6%26.1%19.3%20.9%
Skew 25d6.1%4.6%6.8%4.6%4.8%
Skew 10d12.6%10.2%19.3%10.2%11.4%
Call IV 25d18.5%16.6%20.6%17.0%19.0%
Put IV 25d24.7%21.6%27.4%21.6%23.8%
Bid-Ask Spread %38.9619.6756.6039.1636.61
Gamma HHI0.230.160.350.190.22
Net GEX-9.1M-11.6M-5.9M-6.7M-10.4M
Net DEX129.6M87.0M182.8M93.0M139.5M
Net VEX-1.3M-1.4M-1.2M-1.3M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.230.2029.070.921.35
Total Volume2,865.09152013,507761749
Total OI103,071.36491,541115,61797,278106,351

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$82.66$83.0018.6%5.3%15.8%6.4%19.3%4.6%1.4%-6.7M93.0M-1.3M0.9239.16N/AN/A39636526,78670,492
2023-05-02$81.19$83.0022.3%6.4%17.1%21.5%22.8%5.6%0.8%-8.4M123.8M-1.4M0.9742.09N/AN/A40038726,97270,697
2023-05-03$81.07$83.0023.1%6.6%17.0%24.7%22.8%6.6%-0.0%-8.2M129.4M-1.4M0.2039.94N/AN/A72914327,09170,708
2023-05-04$81.56$83.0023.5%6.7%17.2%26.3%23.4%6.8%0.4%-7.8M118.7M-1.4M0.9940.27N/AN/A28628427,37770,755
2023-05-05$82.97$83.0020.3%6.3%18.3%13.4%21.9%6.4%1.2%-5.9M87.0M-1.4M7.9454.29N/AN/A6795,39327,65370,845
2023-05-08$82.59$83.0020.1%6.1%18.2%12.4%24.5%6.6%1.7%-7.4M108.0M-1.4M2.5927.79N/AN/A14537528,17875,704
2023-05-09$82.28$83.0020.6%6.4%18.0%14.7%21.0%6.8%1.1%-8.0M112.5M-1.4M29.0723.04N/AN/A41211,97728,22975,913
2023-05-10$83.07$83.0021.0%6.0%18.2%16.1%22.2%6.3%1.8%-10.1M101.4M-1.4M10.2453.96N/AN/A4294,39428,36387,254
2023-05-11$81.94$83.0021.3%6.1%18.8%17.4%26.1%6.8%1.9%-10.1M126.2M-1.4M28.6731.84N/AN/A3179,08828,43283,215
2023-05-12$81.85$83.0020.7%5.9%17.9%15.0%20.3%6.3%1.9%-7.8M112.8M-1.3M0.3756.60N/AN/A48418028,48174,535
2023-05-15$81.75$83.0020.4%5.9%16.6%13.8%20.4%6.3%2.0%-7.2M111.9M-1.3M0.7756.30N/AN/A43733828,57674,636
2023-05-16$80.19$83.0021.8%6.2%17.9%19.3%21.0%6.5%1.1%-11.4M144.8M-1.3M1.0834.87N/AN/A54559128,71574,700
2023-05-17$80.78$83.0020.1%5.8%18.0%12.7%20.5%6.5%1.8%-9.4M130.5M-1.3M1.0129.06N/AN/A59560028,75774,479
2023-05-18$80.48$83.0020.4%5.8%17.5%13.7%20.1%5.8%0.5%-9.3M135.9M-1.2M0.9052.03N/AN/A63757128,84974,440
2023-05-19$80.47$83.0020.1%5.8%17.4%12.5%17.6%6.4%0.9%-8.6M134.6M-1.2M0.3643.28N/AN/A1,40350029,07974,475
2023-05-22$81.03$83.0019.3%5.5%17.6%9.4%19.8%5.3%0.5%-8.1M121.1M-1.2M1.3254.87N/AN/A5,8297,67826,49065,051
2023-05-23$80.22$83.0020.5%5.9%17.7%14.0%20.7%5.8%0.2%-9.4M144.2M-1.3M0.5624.46N/AN/A53129832,03672,289
2023-05-24$78.50$83.0023.5%6.7%18.9%26.3%22.4%6.6%-0.6%-11.6M182.8M-1.3M0.2954.53N/AN/A1,78752632,25972,386
2023-05-25$78.68$82.0022.5%6.5%16.6%22.4%23.5%6.4%-1.1%-11.6M178.5M-1.3M2.0419.67N/AN/A27155332,72572,261
2023-05-26$79.40$82.0021.8%6.3%16.5%19.5%21.7%5.8%-0.3%-10.9M161.0M-1.3M0.7221.17N/AN/A46333532,96572,468
2023-05-30$79.69$82.0021.3%6.1%16.5%17.6%20.7%5.6%-0.8%-11.0M154.3M-1.3M0.6821.30N/AN/A55637633,33572,568
2023-05-31$80.07$82.0021.3%6.1%15.5%17.4%20.9%4.8%-0.6%-10.4M139.5M-1.2M1.3536.61N/AN/A31943033,70172,650