VNQ Options History — November 2023

In November 2023, VNQ traded between $73.31 and $81.56. ATM implied volatility averaged 19.0%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 9.4% (HV 20d: 28.4%). Max pain ranged from $74.00 to $78.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 4.02.

Notable Days

  • 2023-11-28: Highest Volume — 15,698 contracts
  • 2023-11-08: Largest IV drop — 13.2% change
  • 2023-11-06: Highest IV Rank — 35.1%
  • 2023-11-01: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.07$73.31$81.56$73.31$81.56
Max Pain$76.95$74.00$78.00$74.00$78.00
ATM IV19.0%17.0%22.8%21.7%17.9%
Expected Move5.4%4.9%6.2%6.2%5.1%
HV 20d28.4%22.2%33.7%22.2%27.0%
HV 60d22.2%18.1%23.8%18.1%23.5%
IV Rank22.1%15.2%35.1%31.5%18.4%
IV Percentile34.3%21.4%70.6%53.2%28.6%
Term Structure0.2%-0.9%1.4%-0.0%-0.9%
VWIV19.3%17.5%22.7%21.3%18.7%
Skew 25d2.9%1.3%5.7%3.7%1.3%
Skew 10d6.5%2.9%12.2%8.1%3.6%
Call IV 25d17.6%16.4%20.0%20.0%17.7%
Put IV 25d20.5%18.0%23.6%23.6%18.9%
Bid-Ask Spread %24.4711.0052.8547.0218.84
Gamma HHI0.270.220.350.350.22
Net GEX-11.7M-16.3M-5.7M-14.6M-5.7M
Net DEX131.7M39.0M252.3M252.3M39.0M
Net VEX-860.3K-1.0M-574.5K-1.0M-574.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.020.5247.751.831.82
Total Volume2,483.71434115,6988385,321
Total OI102,636.28690,288106,906101,22790,463

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$73.31$74.0021.7%6.2%22.2%31.5%21.3%3.7%-0.0%-14.6M252.3M-1.0M1.8347.02N/AN/A29654219,69081,537
2023-11-02$75.91$75.0019.6%5.7%25.4%24.1%20.6%5.7%1.2%-13.2M184.7M-1.0M7.7318.17N/AN/A9797,56319,82281,710
2023-11-03$77.91$76.0020.4%5.7%26.8%26.8%20.0%4.5%-0.6%-10.9M145.9M-1.0M0.5242.53N/AN/A1,63984719,86182,044
2023-11-06$76.20$77.0022.8%6.0%28.1%35.1%20.9%4.4%1.1%-12.7M182.3M-1.0M1.2844.23N/AN/A1,0671,37020,27582,565
2023-11-07$75.90$77.0021.8%5.7%28.1%31.9%20.5%4.3%1.4%-13.5M190.8M-1.0M1.7415.02N/AN/A13723820,33783,211
2023-11-08$76.22$77.0018.9%5.4%27.5%21.8%22.7%3.9%1.1%-13.7M180.9M-996.0K2.9031.44N/AN/A21462120,34783,288
2023-11-09$74.85$77.0020.5%5.9%27.8%27.3%21.3%4.5%0.1%-14.8M215.3M-998.6K1.0415.34N/AN/A28629820,38483,347
2023-11-10$75.66$77.0018.5%5.3%28.1%20.4%18.9%3.6%1.0%-14.5M195.6M-961.9K1.4012.52N/AN/A19427120,45083,514
2023-11-13$75.03$77.0019.5%5.6%27.6%23.9%20.1%3.8%0.1%-16.3M208.2M-928.6K3.8817.96N/AN/A11243420,47783,674
2023-11-14$79.16$77.0018.2%5.2%33.7%19.3%18.3%1.6%0.2%-11.5M94.2M-822.9K0.9052.85N/AN/A1,7401,56120,51583,896
2023-11-15$79.40$77.0019.3%5.5%32.6%23.2%19.8%1.9%-0.6%-10.0M98.8M-877.8K1.0814.04N/AN/A63068020,84684,529
2023-11-16$79.35$77.0018.1%5.2%30.9%19.1%18.0%2.1%0.5%-10.1M100.8M-871.8K0.6115.40N/AN/A99860820,98884,846
2023-11-17$79.06$77.0018.7%5.4%30.9%21.0%18.6%2.7%0.0%-11.2M105.8M-866.2K1.2919.54N/AN/A8961,15321,60385,303
2023-11-20$79.60$77.0017.8%5.1%30.5%18.0%17.9%2.6%0.1%-10.8M103.1M-831.4K1.0811.00N/AN/A56661219,83983,459
2023-11-21$79.12$77.0017.7%5.1%30.6%17.5%18.7%2.6%0.3%-12.3M102.9M-769.5K2.0626.08N/AN/A14730320,05583,735
2023-11-22$79.50$77.0017.3%4.9%29.0%16.0%17.6%1.6%0.7%-10.9M102.4M-789.8K1.0627.32N/AN/A1,0351,09620,14383,939
2023-11-24$79.72$78.0017.3%5.0%28.6%16.2%17.5%2.2%0.2%-12.1M85.8M-718.8K1.0323.44N/AN/A16817320,32484,235
2023-11-27$80.28$78.0018.0%5.2%27.3%18.5%18.4%1.7%-0.6%-11.3M69.2M-654.9K2.0418.51N/AN/A25752320,40284,323
2023-11-28$80.56$78.0017.0%4.9%27.3%15.2%17.9%1.6%-0.4%-11.2M63.8M-649.9K47.7519.77N/AN/A32215,37620,47984,619
2023-11-29$81.13$78.0018.4%5.3%27.0%20.0%18.5%1.4%-0.7%-5.7M44.0M-575.3K1.3022.94N/AN/A38550020,52169,767
2023-11-30$81.56$78.0017.9%5.1%27.0%18.4%18.7%1.3%-0.9%-5.7M39.0M-574.5K1.8218.84N/AN/A1,8863,43520,46769,996