VNQ Options History — October 2023

In October 2023, VNQ traded between $71.05 and $76.72. ATM implied volatility averaged 22.8%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.7% (HV 20d: 20.1%). Max pain ranged from $74.00 to $79.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 7.38.

Notable Days

  • 2023-10-26: Highest Volume — 61,260 contracts
  • 2023-10-25: Largest IV spike — 15.7% change
  • 2023-10-27: Highest IV Rank — 46.8%
  • 2023-10-27: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.80$71.05$76.72$74.22$72.84
Max Pain$76.59$74.00$79.00$79.00$74.00
ATM IV22.8%19.3%26.1%22.6%22.5%
Expected Move6.5%5.5%7.5%6.5%6.5%
HV 20d20.1%16.9%23.1%16.9%22.5%
HV 60d16.0%14.6%18.0%14.6%18.0%
IV Rank35.3%23.0%46.8%34.4%34.3%
IV Percentile63.3%31.7%87.7%63.9%67.5%
Term Structure-0.5%-1.8%0.1%-0.9%-0.5%
VWIV22.0%18.2%25.1%21.0%23.2%
Skew 25d5.1%4.0%6.2%4.9%4.0%
Skew 10d8.9%-0.6%11.4%11.4%8.0%
Call IV 25d20.5%17.1%24.6%20.4%21.1%
Put IV 25d25.6%22.3%29.2%25.3%25.1%
Bid-Ask Spread %33.438.3052.1021.0138.77
Gamma HHI0.320.260.380.330.36
Net GEX-8.0M-15.3M-5.8M-7.2M-14.6M
Net DEX174.1M121.8M307.9M158.1M255.8M
Net VEX-683.8K-1.2M-536.6K-622.5K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.380.49116.133.101.17
Total Volume4,816.81844461,2601,641444
Total OI68,909.54560,059109,41560,869101,173

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$74.22$79.0022.6%6.5%16.9%34.4%21.0%4.9%-0.9%-7.2M158.1M-622.5K3.1021.01N/AN/A4001,24118,19942,670
2023-10-03$72.78$79.0025.2%7.2%17.6%43.5%22.4%5.4%-1.8%-6.6M173.1M-602.8K0.8536.19N/AN/A1,08893018,35442,927
2023-10-04$73.63$79.0022.4%6.4%18.7%33.7%22.5%4.4%-0.5%-7.0M165.2M-617.0K5.8640.20N/AN/A3772,20818,84842,983
2023-10-05$74.13$78.0022.6%6.3%18.7%34.5%21.2%5.4%-0.2%-7.1M159.9M-632.3K2.4145.02N/AN/A5001,20419,05443,350
2023-10-06$74.47$78.0022.0%6.2%19.0%32.4%21.5%5.3%-0.3%-7.3M156.9M-632.8K1.3047.28N/AN/A44357819,22943,950
2023-10-09$75.07$78.0022.0%6.1%19.5%32.4%21.1%4.9%-0.4%-7.6M147.3M-650.1K4.2219.45N/AN/A3231,36419,36244,305
2023-10-10$75.50$77.0021.2%5.9%19.7%29.6%20.0%5.4%-0.0%-7.5M141.7M-649.7K0.9346.69N/AN/A46843419,47544,512
2023-10-11$76.72$77.0019.3%5.5%20.7%23.0%18.2%5.1%0.1%-7.3M121.8M-659.1K0.6944.64N/AN/A1,00068919,68244,565
2023-10-12$75.68$77.0020.0%5.7%19.2%25.4%20.6%4.5%-0.1%-7.4M140.8M-639.9K0.5252.10N/AN/A51326519,87944,744
2023-10-13$75.28$77.0021.6%6.2%19.2%31.1%20.2%5.2%-0.1%-7.3M144.9M-653.8K0.5542.01N/AN/A40722519,82844,904
2023-10-16$76.47$77.0020.2%5.8%20.4%26.3%19.8%4.6%-0.0%-7.4M127.5M-650.4K0.9246.28N/AN/A44240520,07845,090
2023-10-17$76.19$77.0020.8%6.0%20.4%28.2%20.3%5.1%-0.5%-6.9M133.2M-648.6K0.7522.61N/AN/A43832720,21345,234
2023-10-18$74.66$77.0022.9%6.6%21.2%35.7%22.9%5.6%-0.8%-7.7M157.5M-622.0K1.998.73N/AN/A1,4202,82620,35145,433
2023-10-19$72.77$76.0024.1%6.9%20.0%39.7%22.6%6.2%-0.6%-7.0M184.8M-599.4K3.7743.45N/AN/A4681,76520,45646,187
2023-10-20$72.53$76.0023.8%6.8%20.0%38.7%22.6%6.2%-0.4%-6.3M184.1M-590.0K1.0024.27N/AN/A79279320,59445,649
2023-10-23$71.85$75.0024.5%7.0%20.1%41.1%23.5%6.0%-0.7%-6.1M173.8M-552.3K0.918.30N/AN/A1,6231,47016,84143,218
2023-10-24$72.62$75.0022.3%6.4%20.0%33.6%21.9%5.6%-0.0%-6.6M167.8M-583.5K0.4915.05N/AN/A1,07052617,45643,790
2023-10-25$71.05$75.0025.8%7.4%21.1%45.8%24.0%6.0%-1.2%-5.8M182.2M-536.6K3.4047.59N/AN/A5171,75717,86344,021
2023-10-26$72.38$75.0025.3%7.2%22.5%43.8%23.6%4.5%-0.7%-5.8M164.4M-591.1K116.1333.81N/AN/A52360,73718,07843,782
2023-10-27$71.06$75.0026.1%7.5%23.1%46.8%25.1%4.4%-0.1%-15.3M307.9M-1.2M10.4721.45N/AN/A1,00410,51218,31791,098
2023-10-30$71.70$74.0024.8%7.1%22.7%42.1%25.0%4.4%-0.6%-14.3M281.2M-1.0M0.9830.68N/AN/A73671819,05481,214
2023-10-31$72.84$74.0022.5%6.5%22.5%34.3%23.2%4.0%-0.5%-14.6M255.8M-1.1M1.1738.77N/AN/A20523919,59081,583