VNQ Options History — February 2024

In February 2024, VNQ traded between $82.25 and $85.69. ATM implied volatility averaged 19.0%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.1% (HV 20d: 17.9%). Max pain ranged from $86.00 to $86.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.31.

Notable Days

  • 2024-02-15: Highest Volume — 7,021 contracts
  • 2024-02-14: Largest IV drop — 10.0% change
  • 2024-02-05: Highest IV Rank — 28.2%
  • 2024-02-13: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.26$82.25$85.69$85.25$85.69
Max Pain$86.00$86.00$86.00$86.00$86.00
ATM IV19.0%17.5%20.8%19.6%17.5%
Expected Move5.4%5.0%5.8%5.3%5.0%
HV 20d17.9%15.7%19.6%15.7%18.7%
HV 60d18.8%16.6%20.4%20.4%17.9%
IV Rank21.9%17.0%28.2%24.1%17.0%
IV Percentile47.2%30.2%63.9%51.2%30.2%
Term Structure-0.1%-1.1%0.6%0.2%0.1%
VWIV18.8%17.3%22.2%19.7%18.1%
Skew 25d2.3%0.7%3.3%2.7%1.5%
Skew 10d5.5%1.3%8.2%6.4%2.4%
Call IV 25d17.8%16.9%19.2%17.2%17.1%
Put IV 25d20.1%18.7%21.9%20.0%18.7%
Bid-Ask Spread %11.467.3316.727.949.59
Gamma HHI0.110.100.140.130.10
Net GEX-1.5M-5.1M2.8M-3.1M2.8M
Net DEX1.1M-41.2M49.4M3.9M-41.2M
Net VEX-740.4K-831.4K-648.3K-648.3K-801.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.124.000.342.35
Total Volume2,116.52637,0213,2101,492
Total OI67,431.6555,37175,45455,37175,454

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$85.25$86.0019.6%5.3%15.7%24.1%19.7%2.7%0.2%-3.1M3.9M-648.3K0.347.94N/AN/A2,39381720,84134,530
2024-02-02$84.38$86.0019.6%5.5%16.0%23.9%19.3%2.9%-0.2%-2.5M11.1M-660.1K0.998.82N/AN/A84683523,03934,973
2024-02-05$82.94$86.0020.8%5.6%16.8%28.2%19.6%3.3%-0.4%-4.6M41.2M-648.7K1.0311.47N/AN/A43845023,18035,597
2024-02-06$83.78$86.0020.2%5.4%16.5%26.1%17.3%2.8%0.1%-3.7M24.4M-657.9K0.1211.12N/AN/A4,36651823,25035,859
2024-02-07$83.69$86.0018.5%5.3%16.4%20.3%17.7%2.3%0.2%-2.7M14.8M-728.2K0.6011.27N/AN/A27216327,48036,107
2024-02-08$84.28$86.0018.3%5.2%16.7%19.6%18.0%2.6%0.6%-1.6M1.6M-709.0K1.437.33N/AN/A38555027,65136,165
2024-02-09$84.22$86.0018.5%5.3%16.4%20.4%19.1%2.5%0.2%-1.9M2.7M-714.8K0.918.53N/AN/A35632527,92436,033
2024-02-12$84.55$86.0019.0%5.4%16.1%22.0%18.8%2.7%-0.2%-1.2M-3.3M-701.5K0.5815.77N/AN/A1669728,11236,154
2024-02-13$82.25$86.0020.2%5.8%18.5%26.1%22.2%3.2%-0.7%-5.1M49.4M-666.2K3.199.53N/AN/A9963,17628,22936,166
2024-02-14$83.59$86.0018.1%5.2%18.6%19.0%17.7%2.8%0.5%-3.3M22.1M-714.3K0.1511.81N/AN/A1,85327528,73238,342
2024-02-15$85.05$86.0018.4%5.3%19.6%19.9%17.8%2.4%0.3%-430.6K-20.4M-739.3K0.1213.73N/AN/A6,25676530,19338,387
2024-02-16$84.45$86.0018.7%5.4%19.3%21.1%18.3%3.1%0.1%-979.6K-5.1M-774.7K0.1711.38N/AN/A4,02368833,85738,424
2024-02-20$83.91$86.0019.8%5.7%19.2%24.9%19.8%2.7%-0.6%-886.0K-1.1M-779.8K0.4515.35N/AN/A2,5251,14033,53835,946
2024-02-21$84.62$86.0019.0%5.5%19.4%22.1%19.1%2.3%-0.2%73.0K-16.6M-829.0K1.2016.72N/AN/A58469935,69636,774
2024-02-22$84.90$86.0018.5%5.3%18.7%20.4%19.0%1.7%0.6%507.0K-19.6M-831.4K2.529.45N/AN/A31479235,97237,376
2024-02-23$84.94$86.0017.7%5.1%18.4%17.7%18.2%1.3%0.4%891.2K-25.4M-815.6K2.3411.49N/AN/A35984136,13837,680
2024-02-26$84.00$86.0019.2%5.5%18.8%22.9%19.4%1.7%-0.7%-1.5M2.5M-801.2K4.0012.85N/AN/A21887236,32438,314
2024-02-27$83.94$86.0018.2%5.2%18.6%19.3%18.3%1.1%-0.4%-1.5M1.3M-777.8K2.919.16N/AN/A19155536,38238,523
2024-02-28$84.82$86.0019.3%5.5%18.8%23.0%19.4%0.7%-1.1%656.9K-19.6M-808.8K0.8115.87N/AN/A40933036,42938,862
2024-02-29$85.69$86.0017.5%5.0%18.7%17.0%18.1%1.5%0.1%2.8M-41.2M-801.8K2.359.59N/AN/A4461,04636,58338,871