VNQ Options History — September 2023

In September 2023, VNQ traded between $75.44 and $82.47. ATM implied volatility averaged 16.1%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.3% (HV 20d: 13.8%). Max pain ranged from $79.00 to $82.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.15.

Notable Days

  • 2023-09-15: Highest Volume — 3,831 contracts
  • 2023-09-21: Largest IV spike — 24.9% change
  • 2023-09-26: Highest IV Rank — 28.3%
  • 2023-09-26: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.74$75.44$82.47$82.47$75.65
Max Pain$81.05$79.00$82.00$80.00$79.00
ATM IV16.1%12.7%20.8%12.7%19.7%
Expected Move4.7%3.7%6.0%3.7%5.6%
HV 20d13.8%11.6%16.9%12.5%16.2%
HV 60d13.9%13.0%14.8%13.6%14.1%
IV Rank11.9%0.2%28.3%0.2%24.4%
IV Percentile14.1%0.4%41.7%0.4%32.9%
Term Structure1.2%-0.3%2.7%2.7%0.0%
VWIV16.7%13.1%20.7%13.1%18.6%
Skew 25d3.8%1.8%4.7%1.8%4.1%
Skew 10d7.0%5.5%9.1%6.5%8.5%
Call IV 25d15.0%11.8%19.4%11.8%18.1%
Put IV 25d18.7%13.7%23.6%13.7%22.2%
Bid-Ask Spread %38.7010.1772.2572.2536.97
Gamma HHI0.220.180.310.200.29
Net GEX-6.6M-7.4M-3.7M-7.1M-7.3M
Net DEX98.2M50.8M163.1M50.8M138.7M
Net VEX-684.2K-753.6K-623.8K-753.6K-652.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.626.362.022.87
Total Volume1,511.053283,8314931,183
Total OI66,105.354,62476,01372,42160,506

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$82.47$80.0012.7%3.7%12.5%0.2%13.1%1.8%2.7%-7.1M50.8M-753.6K2.0272.25N/AN/A16333021,51750,904
2023-09-05$81.70$82.0013.7%4.3%11.8%3.6%19.2%4.5%2.1%-7.1M69.9M-717.2K1.8759.34N/AN/A40375421,58650,903
2023-09-06$81.38$82.0014.8%4.6%11.8%7.3%17.6%4.0%1.4%-6.8M75.6M-722.3K1.8726.30N/AN/A26850121,76051,363
2023-09-07$81.91$82.0013.3%4.4%12.2%2.4%15.1%3.8%1.7%-7.4M63.7M-719.5K1.6329.27N/AN/A34255721,87451,554
2023-09-08$81.55$82.0012.8%4.3%12.0%0.4%15.5%3.6%1.9%-7.3M69.0M-706.4K0.9435.80N/AN/A16915922,07151,760
2023-09-11$81.50$82.0015.9%4.3%11.8%11.2%15.6%3.9%1.7%-7.0M69.2M-685.0K2.0439.96N/AN/A12826122,17651,626
2023-09-12$81.59$82.0015.6%4.1%11.7%10.4%15.6%3.7%2.1%-7.0M68.2M-689.5K6.3637.49N/AN/A3542,25022,41851,714
2023-09-13$80.60$82.0014.8%4.2%11.6%7.5%14.8%3.6%1.9%-4.3M91.1M-688.7K4.4224.03N/AN/A3241,43322,41053,603
2023-09-14$82.22$82.0014.0%4.0%13.2%4.5%13.9%3.4%1.4%-6.6M57.5M-667.2K0.7338.03N/AN/A66748922,28553,214
2023-09-15$81.68$81.0013.8%3.9%13.0%3.8%14.2%3.5%1.2%-3.7M66.7M-668.1K0.9244.99N/AN/A1,9921,83922,49853,437
2023-09-18$81.06$81.0014.3%4.1%13.3%5.8%15.2%3.5%1.4%-5.8M87.7M-688.8K1.5610.17N/AN/A7821,21915,38639,238
2023-09-19$80.80$81.0014.7%4.2%13.0%7.0%15.2%3.5%1.3%-5.9M90.1M-685.1K1.1248.49N/AN/A28832215,99840,183
2023-09-20$80.82$81.0014.8%4.2%13.0%7.5%14.1%3.7%1.0%-5.9M91.7M-709.2K2.2059.95N/AN/A26558316,17840,365
2023-09-21$78.19$81.0018.5%5.3%16.4%20.3%18.5%4.1%0.6%-6.9M126.2M-673.7K2.1522.33N/AN/A5651,21716,29040,670
2023-09-22$77.59$81.0017.2%4.9%16.6%15.9%18.2%3.9%0.8%-7.3M134.1M-666.4K0.6245.55N/AN/A1,01963016,47440,979
2023-09-25$77.30$81.0018.8%5.4%16.5%21.2%19.1%4.0%0.5%-7.4M139.3M-654.2K1.2340.29N/AN/A67582717,22241,347
2023-09-26$75.94$80.0020.8%6.0%16.9%28.3%20.5%4.2%-0.3%-7.4M154.3M-650.7K3.8943.28N/AN/A3761,46117,32141,786
2023-09-27$75.47$80.0020.6%5.9%16.2%27.7%20.7%3.9%0.2%-7.1M163.1M-623.8K1.8016.84N/AN/A1,3552,43917,43242,292
2023-09-28$75.44$79.0020.8%6.0%16.0%28.3%19.8%4.7%-0.1%-7.1M156.5M-661.5K2.8142.76N/AN/A4281,20417,88043,886
2023-09-29$75.65$79.0019.7%5.6%16.2%24.4%18.6%4.1%0.0%-7.3M138.7M-652.8K2.8736.97N/AN/A30687718,08942,417