VNQ Options History — June 2023

In June 2023, VNQ traded between $80.03 and $84.02. ATM implied volatility averaged 17.1%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 0.1% (HV 20d: 17.0%). Max pain ranged from $78.00 to $83.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2023-06-16: Highest Volume — 16,446 contracts
  • 2023-06-14: Largest IV drop — 28.8% change
  • 2023-06-13: Highest IV Rank — 22.2%
  • 2023-06-01: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.54$80.03$84.02$80.03$82.88
Max Pain$79.90$78.00$83.00$82.00$82.00
ATM IV17.1%14.4%22.5%19.8%15.2%
Expected Move4.7%4.1%5.7%5.7%4.4%
HV 20d17.0%15.5%18.1%15.5%17.7%
HV 60d17.8%16.6%20.3%19.7%16.6%
IV Rank4.5%0.0%22.2%11.2%3.0%
IV Percentile5.5%0.0%44.4%7.5%0.8%
Term Structure1.6%0.0%2.4%0.0%1.0%
VWIV17.2%13.8%20.1%20.1%15.0%
Skew 25d3.8%1.8%5.5%5.0%3.2%
Skew 10d7.9%3.2%11.8%9.7%7.2%
Call IV 25d14.9%13.9%17.6%17.6%13.9%
Put IV 25d18.7%16.0%22.5%22.5%17.2%
Bid-Ask Spread %37.4614.2453.9014.2453.14
Gamma HHI0.280.200.830.220.23
Net GEX-431.8K-13.6M88.0M-11.2M-6.7M
Net DEX67.9M8.7M145.3M145.3M52.6M
Net VEX-1.1M-1.2M-969.5K-1.2M-969.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.204.681.310.70
Total Volume1,764.1927716,4461,190706
Total OI100,654.14386,514111,959106,50788,735

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$80.03$82.0019.8%5.7%15.5%11.2%20.1%5.0%0.0%-11.2M145.3M-1.2M1.3114.24N/AN/A51567533,87272,635
2023-06-02$81.97$82.0017.3%4.9%17.7%0.8%16.6%3.5%0.5%-5.0M87.1M-1.2M0.5814.59N/AN/A77044334,28573,153
2023-06-05$81.44$78.0019.0%5.2%16.7%7.9%19.3%5.5%1.8%-7.0M97.1M-1.2M1.1739.02N/AN/A35041134,56973,243
2023-06-06$82.18$79.0018.3%4.9%17.0%4.9%19.8%4.9%2.4%-4.4M81.8M-1.2M0.8429.06N/AN/A47239834,78474,874
2023-06-07$83.70$79.0017.4%4.8%18.1%1.5%16.9%4.5%1.9%665.8K34.3M-1.1M0.4737.56N/AN/A46521834,97674,844
2023-06-08$83.18$79.0017.9%4.9%18.0%3.5%18.7%4.9%1.8%-921.4K51.6M-1.1M0.8628.64N/AN/A14912835,15474,919
2023-06-09$82.65$79.0017.5%4.8%17.4%1.8%17.4%4.6%1.9%-2.2M70.1M-1.1M2.2947.02N/AN/A9202,10635,29175,011
2023-06-12$82.69$79.0022.5%4.9%17.4%22.2%18.8%4.8%1.6%-1.2M64.0M-1.1M0.7826.92N/AN/A46636235,94575,017
2023-06-13$83.16$79.0022.5%4.9%17.5%22.2%17.4%4.4%1.6%2.3M43.5M-1.1M1.5435.05N/AN/A28844336,14675,076
2023-06-14$83.68$79.0016.0%4.6%15.9%0.0%17.5%4.0%2.3%7.6M22.6M-1.0M1.2543.54N/AN/A49061136,27075,113
2023-06-15$83.93$79.0016.1%4.6%15.8%0.5%17.4%4.1%1.7%11.7M14.2M-1.0M1.3225.59N/AN/A23330736,38575,360
2023-06-16$84.02$79.0015.2%4.4%15.6%0.0%16.2%3.7%2.0%88.0M8.7M-998.3K0.4838.00N/AN/A11,1125,33436,49175,468
2023-06-20$82.90$80.0015.9%4.6%16.6%2.5%16.4%3.1%1.9%-8.0M66.2M-1.1M1.3427.25N/AN/A57677323,64762,867
2023-06-21$82.35$80.0015.7%4.5%16.7%1.8%15.7%3.8%1.7%-9.2M83.9M-1.1M1.8244.14N/AN/A27650324,00163,427
2023-06-22$81.27$80.0015.8%4.5%17.0%2.4%17.7%2.9%1.8%-11.4M107.8M-1.1M4.6842.18N/AN/A17280523,99263,787
2023-06-23$80.28$80.0016.0%4.6%15.6%2.9%17.3%3.4%1.9%-13.6M132.3M-1.1M1.3946.02N/AN/A36951423,99064,358
2023-06-26$82.06$80.0015.8%4.5%17.3%2.1%16.1%2.6%1.6%-11.3M86.7M-1.0M0.9753.90N/AN/A76173623,96964,740
2023-06-27$83.15$80.0015.0%4.3%17.6%0.0%16.0%2.2%1.7%-9.4M61.9M-1.0M1.2651.22N/AN/A39549823,98364,981
2023-06-28$82.84$80.0014.4%4.1%17.7%0.0%13.8%1.8%1.8%-11.2M63.4M-996.8K0.2042.49N/AN/A1,17724124,25865,258
2023-06-29$82.90$83.0015.5%4.5%17.7%4.2%16.7%2.8%0.9%-6.5M50.0M-975.8K3.5847.12N/AN/A19268823,53965,324
2023-06-30$82.88$82.0015.2%4.4%17.7%3.0%15.0%3.2%1.0%-6.7M52.6M-969.5K0.7053.14N/AN/A41629023,67965,056