VNQ Options History — July 2023

In July 2023, VNQ traded between $83.81 and $86.72. ATM implied volatility averaged 16.0%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.7% (HV 20d: 15.2%). Max pain ranged from $83.00 to $85.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.48.

Notable Days

  • 2023-07-21: Highest Volume — 15,904 contracts
  • 2023-07-27: Largest IV spike — 8.2% change
  • 2023-07-06: Highest IV Rank — 10.3%
  • 2023-07-06: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.36$83.81$86.72$84.28$85.15
Max Pain$83.80$83.00$85.00$83.00$85.00
ATM IV16.0%14.9%17.2%15.3%16.0%
Expected Move4.6%4.3%5.0%4.4%4.6%
HV 20d15.2%12.0%16.8%16.6%14.1%
HV 60d16.5%15.6%17.1%16.9%15.6%
IV Rank5.8%1.8%10.3%3.5%6.0%
IV Percentile4.9%0.4%10.7%1.6%7.9%
Term Structure0.5%0.0%0.9%0.9%0.5%
VWIV16.4%15.2%18.4%16.9%16.3%
Skew 25d3.3%2.3%4.5%2.3%2.7%
Skew 10d7.2%5.3%9.3%5.5%6.0%
Call IV 25d14.6%13.5%15.6%14.3%14.6%
Put IV 25d17.9%16.3%20.0%16.6%17.3%
Bid-Ask Spread %34.9721.1753.3353.3341.05
Gamma HHI0.260.170.780.230.17
Net GEX5.8M-5.5M53.3M-2.5M-4.3M
Net DEX-11.0M-61.9M26.1M22.3M11.2M
Net VEX-856.2K-981.1K-759.5K-947.2K-807.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.054.791.980.97
Total Volume2,033.0528615,904820462
Total OI92,585.689,10196,75889,10191,181

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$84.28$83.0015.3%4.4%16.6%3.5%16.9%2.3%0.9%-2.5M22.3M-947.2K1.9853.33N/AN/A27554523,90565,196
2023-07-05$84.72$83.0015.9%4.6%16.4%5.6%16.1%2.5%0.3%-1.8M11.7M-936.4K0.1845.25N/AN/A4,25378124,04465,238
2023-07-06$83.81$83.0017.2%5.0%16.8%10.3%18.4%4.4%0.0%-1.2M26.1M-981.1K1.7437.72N/AN/A32356227,15165,432
2023-07-07$83.88$83.0016.4%4.9%15.5%7.5%16.2%4.5%0.3%-974.6K19.4M-953.2K1.2443.65N/AN/A24230127,21965,398
2023-07-10$84.07$83.0016.8%4.9%15.3%9.0%17.3%4.1%0.6%406.1K11.9M-901.0K0.8244.55N/AN/A27522627,21265,627
2023-07-11$85.13$83.0016.3%4.8%15.6%7.0%16.8%3.9%0.1%4.9M-12.4M-904.4K2.4633.24N/AN/A22254527,36565,662
2023-07-12$86.15$84.0016.1%4.6%16.1%6.1%15.9%3.7%0.4%7.0M-45.5M-833.6K1.0336.15N/AN/A49351027,60865,684
2023-07-13$86.27$84.0016.1%4.6%16.0%6.4%17.0%3.6%0.5%7.6M-46.9M-843.9K0.6131.49N/AN/A50931227,76865,717
2023-07-14$86.15$84.0015.8%4.5%16.0%5.3%15.7%3.6%0.5%8.8M-48.8M-823.1K0.7537.55N/AN/A20415227,94465,802
2023-07-17$85.59$84.0016.0%4.6%16.2%5.8%16.5%3.4%0.5%11.9M-38.8M-788.5K0.0522.11N/AN/A3,44816327,96865,851
2023-07-18$84.97$84.0016.3%4.7%16.5%6.8%16.0%3.7%0.8%15.3M-16.0M-811.4K4.7934.33N/AN/A6883,29629,76865,914
2023-07-19$86.09$84.0016.1%4.6%16.2%6.4%16.8%3.0%0.4%13.2M-38.1M-817.4K1.3934.09N/AN/A37051426,94468,974
2023-07-20$85.63$84.0016.2%4.6%16.1%6.7%16.9%3.0%0.5%18.5M-15.4M-818.9K0.4134.91N/AN/A81233127,04469,083
2023-07-21$86.16$84.0015.4%4.4%15.1%3.6%15.7%2.7%0.9%53.3M-61.9M-759.5K0.5026.37N/AN/A10,6325,27227,54769,211
2023-07-24$86.72$84.0014.9%4.3%14.0%1.8%15.2%2.4%0.9%-1.3M-15.9M-836.8K0.4421.33N/AN/A71431724,81164,800
2023-07-25$86.28$84.0015.5%4.4%12.6%4.0%15.7%2.9%0.8%-1.8M-11.8M-829.8K0.8322.54N/AN/A15613025,30465,072
2023-07-26$86.50$84.0015.3%4.4%12.0%3.1%15.5%2.8%0.6%-1.2M-17.4M-805.3K3.5728.54N/AN/A14250725,40265,161
2023-07-27$84.91$84.0016.5%4.7%13.9%7.7%16.3%3.1%0.4%-5.1M22.3M-873.1K1.4821.17N/AN/A57384925,51365,210
2023-07-28$84.66$85.0015.3%4.4%14.0%3.1%16.0%3.1%0.9%-5.5M23.9M-852.1K4.2950.00N/AN/A10545025,67165,311
2023-07-31$85.15$85.0016.0%4.6%14.1%6.0%16.3%2.7%0.5%-4.3M11.2M-807.5K0.9741.05N/AN/A23522725,70865,473