VNQ Options History — January 2024

In January 2024, VNQ traded between $83.87 and $88.78. ATM implied volatility averaged 18.6%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.2% (HV 20d: 17.4%). Max pain ranged from $86.00 to $88.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.85.

Notable Days

  • 2024-01-29: Highest Volume — 7,729 contracts
  • 2024-01-03: Largest IV spike — 7.3% change
  • 2024-01-31: Highest IV Rank — 25.6%
  • 2024-01-31: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.98$83.87$88.78$88.78$83.87
Max Pain$86.81$86.00$88.00$87.00$86.00
ATM IV18.6%17.3%20.0%17.3%20.0%
Expected Move5.4%5.0%5.7%5.0%5.7%
HV 20d17.4%14.5%21.5%18.7%15.8%
HV 60d22.7%20.8%23.7%23.2%20.8%
IV Rank20.7%16.2%25.6%16.2%25.6%
IV Percentile40.3%27.0%55.2%27.0%55.2%
Term Structure0.2%-1.5%1.2%1.2%-1.5%
VWIV18.8%17.4%20.8%17.6%20.3%
Skew 25d2.1%0.8%3.6%0.8%1.9%
Skew 10d4.8%1.7%13.0%2.9%3.5%
Call IV 25d18.0%16.7%19.2%17.5%19.2%
Put IV 25d20.1%18.3%22.2%18.3%21.2%
Bid-Ask Spread %38.426.0781.6069.636.07
Gamma HHI0.140.090.320.090.14
Net GEX-5.7M-14.4M-1.7M-1.7M-4.0M
Net DEX26.1M-12.2M86.1M-12.2M24.7M
Net VEX-550.4K-649.1K-500.9K-567.3K-644.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.1110.110.903.54
Total Volume1,729.4765567,7297062,509
Total OI80,998.8143,555105,97098,89454,150

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$88.78$87.0017.3%5.0%18.7%16.2%17.6%0.8%1.2%-1.7M-12.2M-567.3K0.9069.63N/AN/A37233420,83778,057
2024-01-03$86.97$87.0018.6%5.3%20.4%20.6%18.9%0.8%0.2%-4.7M18.0M-570.4K1.2058.79N/AN/A53163620,91278,063
2024-01-04$87.22$88.0018.9%5.5%20.2%21.9%20.4%2.9%0.7%-4.6M17.3M-572.8K5.1657.46N/AN/A2301,18621,10778,155
2024-01-05$86.63$87.0018.3%5.6%20.4%19.5%20.8%2.8%0.6%-5.7M30.5M-583.3K1.1973.94N/AN/A51861621,22978,973
2024-01-08$87.78$87.0018.4%5.5%20.8%19.8%18.8%2.4%1.2%-3.8M6.9M-566.5K0.3677.01N/AN/A52819121,43879,227
2024-01-09$87.16$87.0017.9%5.5%21.0%18.1%19.4%2.4%0.8%-5.4M16.2M-547.0K2.3257.12N/AN/A18843721,61479,161
2024-01-10$87.20$87.0018.9%5.4%21.1%21.6%18.7%1.8%0.7%-4.9M10.4M-547.2K1.6152.60N/AN/A7241,16821,73279,057
2024-01-11$86.34$87.0018.7%5.4%21.5%21.1%18.8%1.4%0.9%-7.9M30.7M-524.4K2.9253.25N/AN/A3691,07721,74079,657
2024-01-12$87.06$88.0018.4%5.3%17.1%19.9%19.2%2.0%0.6%-6.5M18.9M-526.5K10.1181.60N/AN/A2812,84221,71779,458
2024-01-16$86.31$88.0019.2%5.5%14.5%22.9%19.1%2.0%0.7%-9.2M35.4M-531.6K0.5849.21N/AN/A45926421,77481,539
2024-01-17$84.75$86.0019.9%5.7%15.0%25.3%19.7%3.1%0.1%-11.8M72.1M-520.7K1.8852.21N/AN/A1,4642,74822,05381,507
2024-01-18$84.45$87.0019.7%5.6%15.0%24.4%18.5%3.6%-0.0%-14.4M86.1M-546.1K1.4117.04N/AN/A59283622,65682,811
2024-01-19$85.44$87.0018.9%5.4%15.5%21.8%18.1%2.9%-0.2%-5.1M46.5M-535.8K1.5317.87N/AN/A62795922,82583,145
2024-01-22$86.00$87.0018.0%5.2%15.5%18.7%18.0%2.2%0.0%-4.1M15.9M-500.9K0.4512.72N/AN/A1,30858911,58531,970
2024-01-23$85.37$87.0017.7%5.1%15.3%17.6%17.4%2.4%0.1%-4.3M20.4M-512.9K0.4114.26N/AN/A66227312,65632,120
2024-01-24$84.19$86.0018.3%5.2%15.7%19.5%18.2%2.8%0.1%-5.1M34.4M-528.3K0.9412.80N/AN/A60557013,07532,298
2024-01-25$85.05$86.0018.0%5.2%15.7%18.6%17.8%1.4%-0.2%-4.5M23.8M-533.8K0.858.60N/AN/A35229813,41332,619
2024-01-26$84.90$86.0018.2%5.2%15.7%19.2%18.1%1.4%-0.3%-4.5M24.4M-530.4K0.6813.15N/AN/A41128013,52632,691
2024-01-29$85.43$86.0018.6%5.3%15.5%20.7%18.4%1.7%-0.3%-4.1M16.3M-518.0K0.116.94N/AN/A6,98874113,65832,802
2024-01-30$84.75$86.0018.7%5.4%15.6%21.0%18.5%1.2%-0.6%-3.1M10.3M-649.1K0.6914.55N/AN/A32922720,61333,355
2024-01-31$83.87$86.0020.0%5.7%15.8%25.6%20.3%1.9%-1.5%-4.0M24.7M-644.7K3.546.07N/AN/A5531,95620,69933,451