VNQ Options History — December 2023

In December 2023, VNQ traded between $83.47 and $89.34. ATM implied volatility averaged 19.5%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.8% (HV 20d: 20.3%). Max pain ranged from $79.00 to $87.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.92.

Notable Days

  • 2023-12-04: Highest Volume — 16,303 contracts
  • 2023-12-13: Largest IV drop — 28.5% change
  • 2023-12-11: Highest IV Rank — 43.4%
  • 2023-12-01: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.47$83.47$89.34$83.47$88.63
Max Pain$85.30$79.00$87.00$79.00$87.00
ATM IV19.5%16.4%25.2%18.8%16.5%
Expected Move5.0%4.6%5.4%5.4%4.7%
HV 20d20.3%15.7%25.6%25.6%20.0%
HV 60d23.9%23.2%25.1%23.9%23.2%
IV Rank23.7%13.0%43.4%21.3%13.3%
IV Percentile44.5%18.7%90.5%35.3%19.4%
Term Structure1.3%-1.0%2.7%-1.0%1.8%
VWIV17.8%16.2%19.3%18.8%17.2%
Skew 25d1.3%-0.2%3.3%0.8%0.8%
Skew 10d2.6%-0.2%5.7%2.7%2.5%
Call IV 25d17.2%15.4%18.7%18.4%16.5%
Put IV 25d18.6%17.0%21.0%19.2%17.3%
Bid-Ask Spread %47.0516.0674.4416.0663.97
Gamma HHI0.160.090.280.170.09
Net GEX-6.5M-19.5M2.9M-4.5M-1.9M
Net DEX-7.2M-104.7M46.2M3.7M-11.4M
Net VEX-557.1K-645.8K-414.6K-551.7K-573.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.920.2634.440.731.04
Total Volume3,268.0543516,303943435
Total OI103,502.292,727118,09092,72798,862

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$83.47$79.0018.8%5.4%25.6%21.3%18.8%0.8%-1.0%-4.5M3.7M-551.7K0.7316.06N/AN/A54539821,23371,494
2023-12-04$84.19$85.0023.4%5.4%24.4%37.3%19.3%3.3%0.8%-4.0M-4.2M-558.0K34.4457.88N/AN/A46015,84321,35071,552
2023-12-05$83.77$85.0023.6%5.2%22.7%38.0%18.5%2.9%1.5%-15.7M42.6M-620.4K1.3572.76N/AN/A43458821,40787,031
2023-12-06$83.56$85.0024.1%5.3%22.6%39.6%18.5%2.5%1.5%-16.2M46.2M-624.3K0.6948.16N/AN/A70949021,61386,934
2023-12-07$83.78$85.0022.3%5.2%22.6%33.5%18.2%2.5%1.9%-14.4M31.7M-567.1K0.5843.18N/AN/A2,3121,33221,73087,125
2023-12-08$83.62$85.0021.6%5.0%21.1%31.1%17.2%2.6%1.9%-17.5M41.1M-591.6K6.8567.36N/AN/A5583,82022,41887,423
2023-12-11$83.77$85.0025.2%5.0%21.1%43.4%17.6%2.1%1.7%-19.5M38.2M-572.4K0.8642.87N/AN/A65156122,73190,384
2023-12-12$83.94$85.0022.9%4.6%20.5%35.7%16.2%2.1%2.7%-17.3M21.0M-526.2K0.8919.52N/AN/A70062623,07690,471
2023-12-13$87.13$85.0016.4%4.7%15.7%13.0%16.5%1.5%1.7%-1.2M-64.2M-443.6K0.3674.17N/AN/A2,60594822,98590,758
2023-12-14$89.34$85.0017.1%4.9%17.3%15.5%17.4%-0.2%0.1%-219.3K-104.7M-414.6K0.6332.02N/AN/A4,6222,90424,33691,281
2023-12-15$88.09$85.0018.1%5.2%18.6%18.8%18.4%0.1%1.3%2.9M-84.5M-465.6K0.9774.44N/AN/A3,4403,33726,43791,653
2023-12-18$88.22$85.0017.1%4.9%18.3%15.4%17.4%0.1%0.7%-2.4M-33.2M-501.6K2.1954.89N/AN/A39987320,82071,967
2023-12-19$88.81$85.0017.5%5.0%18.3%16.8%17.9%-0.2%1.5%-2.5M-37.5M-517.1K1.2738.29N/AN/A2,6723,40120,99773,067
2023-12-20$88.05$85.0017.3%5.0%18.5%16.2%16.6%0.7%1.9%-3.1M-19.4M-587.7K0.4635.63N/AN/A4,5102,05222,87075,720
2023-12-21$87.09$87.0018.6%5.3%19.4%20.7%18.8%1.6%1.0%-4.4M20.3M-645.8K1.2963.04N/AN/A26734520,15977,264
2023-12-22$87.65$87.0017.5%5.0%19.4%16.9%18.3%1.3%0.7%-3.3M7.8M-631.5K2.3725.97N/AN/A28667820,27977,370
2023-12-26$88.53$87.0017.9%5.1%19.5%18.1%18.3%0.9%0.8%-2.3M-7.4M-589.2K0.7536.77N/AN/A25619320,39477,812
2023-12-27$88.53$87.0017.0%4.9%19.6%15.0%17.1%0.8%1.4%-2.2M-9.9M-583.3K0.4627.96N/AN/A38517720,52077,845
2023-12-28$89.25$87.0016.5%4.7%19.6%13.5%17.4%0.3%1.6%-1.1M-20.7M-576.8K0.2645.95N/AN/A43711220,71877,958
2023-12-29$88.63$87.0016.5%4.7%20.0%13.3%17.2%0.8%1.8%-1.9M-11.4M-573.2K1.0463.97N/AN/A21322220,84578,017