VNQ Options History — August 2023

In August 2023, VNQ traded between $79.85 and $84.98. ATM implied volatility averaged 16.8%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.0% (HV 20d: 12.8%). Max pain ranged from $78.00 to $85.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 6.83.

Notable Days

  • 2023-08-07: Highest Volume — 16,505 contracts
  • 2023-08-29: Largest IV drop — 9.3% change
  • 2023-08-17: Highest IV Rank — 16.8%
  • 2023-08-17: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.31$79.85$84.98$84.98$82.56
Max Pain$80.13$78.00$85.00$85.00$80.00
ATM IV16.8%12.7%19.0%15.8%12.7%
Expected Move4.8%3.6%5.4%4.5%3.6%
HV 20d12.8%11.7%14.1%12.9%12.7%
HV 60d15.0%14.1%15.6%15.6%14.1%
IV Rank9.4%0.0%16.8%5.0%0.0%
IV Percentile12.8%0.0%22.2%4.8%0.0%
Term Structure1.6%0.4%2.4%0.5%2.1%
VWIV17.5%12.6%25.9%16.9%12.6%
Skew 25d4.0%1.8%4.8%1.8%2.9%
Skew 10d8.1%5.2%10.7%5.5%5.2%
Call IV 25d15.2%11.6%17.0%15.3%11.6%
Put IV 25d19.2%14.5%21.4%17.1%14.5%
Bid-Ask Spread %34.358.9762.7933.2436.82
Gamma HHI0.230.180.350.180.20
Net GEX-8.4M-13.5M-5.6M-5.6M-6.8M
Net DEX72.6M20.0M135.0M20.0M52.7M
Net VEX-795.1K-874.1K-729.7K-830.3K-749.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.830.2386.331.250.29
Total Volume2,285.04327816,505441278
Total OI78,432.04369,71492,25391,31872,304

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$84.98$85.0015.8%4.5%12.9%5.0%16.9%1.8%0.5%-5.6M20.0M-830.3K1.2533.24N/AN/A19624525,70265,616
2023-08-02$84.63$85.0017.1%4.9%12.8%10.1%17.1%2.6%0.4%-6.4M29.5M-852.8K0.3744.82N/AN/A52719525,81965,720
2023-08-03$83.59$80.0018.1%5.1%13.0%13.6%18.2%4.7%0.8%-9.3M54.3M-874.1K1.3827.08N/AN/A34848025,92665,865
2023-08-04$82.98$80.0018.2%5.3%13.3%14.1%17.7%4.6%0.8%-10.8M70.0M-852.3K1.4747.38N/AN/A32948325,88966,028
2023-08-07$84.06$80.0017.0%5.0%14.1%9.7%25.9%4.3%1.6%-9.0M41.7M-798.0K86.3347.61N/AN/A18916,31625,99866,255
2023-08-08$83.70$80.0016.6%4.9%13.3%7.9%16.4%4.6%1.9%-8.7M45.5M-762.5K1.2455.74N/AN/A19123626,08251,519
2023-08-09$83.66$80.0017.2%4.9%12.4%10.3%18.3%4.2%1.9%-9.0M41.8M-737.2K0.9851.07N/AN/A19118826,11751,547
2023-08-10$83.00$80.0017.8%5.1%12.6%12.7%17.5%4.3%1.6%-11.4M56.3M-734.3K1.4648.73N/AN/A24535826,20051,516
2023-08-11$83.30$80.0017.4%5.0%12.8%11.1%20.0%4.2%1.9%-12.2M53.7M-729.7K26.3820.17N/AN/A44811,81626,22051,706
2023-08-14$82.80$78.0017.2%4.9%12.7%10.2%17.4%4.8%1.7%-13.5M76.7M-826.2K1.1033.63N/AN/A18119925,99253,347
2023-08-15$81.72$79.0018.1%5.2%13.2%13.6%18.2%4.1%1.7%-12.3M104.0M-816.2K0.9716.54N/AN/A42441325,97953,384
2023-08-16$80.91$78.0018.3%5.3%12.3%14.5%19.9%4.8%1.6%-8.4M118.9M-801.6K5.3120.97N/AN/A3892,06525,41052,291
2023-08-17$80.25$78.0019.0%5.4%12.4%16.8%18.0%4.4%1.3%-7.4M135.0M-811.8K0.8812.94N/AN/A1,09296125,64053,393
2023-08-18$80.53$79.0017.8%5.1%12.1%12.5%16.6%4.6%1.7%-6.5M127.9M-816.9K21.2260.84N/AN/A2825,98326,06053,641
2023-08-21$79.85$81.0017.6%5.1%11.7%12.0%17.5%4.8%1.3%-7.7M110.1M-815.8K0.9237.25N/AN/A64859619,52450,190
2023-08-22$79.98$80.0018.0%5.2%11.8%13.3%17.9%4.5%1.3%-7.5M108.4M-812.8K1.138.97N/AN/A38043019,72550,450
2023-08-23$81.28$80.0016.6%4.8%13.6%8.1%15.2%4.0%1.8%-7.0M83.2M-795.9K0.2514.30N/AN/A77919319,87550,505
2023-08-24$80.98$80.0017.0%4.9%12.4%9.6%16.4%3.4%2.1%-6.7M84.3M-800.9K0.5022.02N/AN/A29314720,42350,585
2023-08-25$81.19$80.0016.3%4.7%12.5%7.1%16.4%3.4%2.1%-6.9M81.3M-795.5K1.9410.67N/AN/A16331720,58450,600
2023-08-28$81.81$80.0015.2%4.4%12.7%3.0%15.6%3.7%2.2%-6.7M69.4M-768.5K0.7724.72N/AN/A32424820,63950,707
2023-08-29$82.53$80.0013.8%4.0%13.2%0.0%14.5%3.3%2.4%-6.7M57.6M-754.5K0.7551.62N/AN/A24218220,67050,770
2023-08-30$82.90$80.0013.7%3.9%13.3%0.0%17.3%3.0%1.2%-6.5M46.8M-750.4K0.2362.79N/AN/A1,92144520,74350,781
2023-08-31$82.56$80.0012.7%3.6%12.7%0.0%12.6%2.9%2.1%-6.8M52.7M-749.8K0.2936.82N/AN/A2156321,40250,902