VNQ Options History — March 2024

In March 2024, VNQ traded between $84.03 and $87.72. ATM implied volatility averaged 18.3%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.1% (HV 20d: 16.2%). Max pain ranged from $85.00 to $86.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.56.

Notable Days

  • 2024-03-14: Highest Volume — 4,220 contracts
  • 2024-03-11: Largest IV spike — 36.2% change
  • 2024-03-11: Highest IV Rank — 48.2%
  • 2024-03-11: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.97$84.03$87.72$86.19$86.40
Max Pain$85.05$85.00$86.00$86.00$85.00
ATM IV18.3%15.0%26.5%19.0%15.0%
Expected Move5.0%4.3%5.6%5.4%4.3%
HV 20d16.2%14.0%18.0%18.0%16.7%
HV 60d17.1%16.1%18.5%17.9%17.0%
IV Rank25.2%16.7%48.2%21.9%16.7%
IV Percentile39.6%6.3%96.4%52.4%6.3%
Term Structure0.3%-0.7%1.3%-0.5%1.3%
VWIV17.7%15.1%20.4%19.1%15.1%
Skew 25d1.7%0.5%2.6%0.6%1.4%
Skew 10d4.0%1.6%7.0%1.7%2.7%
Call IV 25d16.8%14.3%18.9%18.9%14.3%
Put IV 25d18.5%15.7%21.0%19.5%15.7%
Bid-Ask Spread %14.876.5820.486.588.67
Gamma HHI0.120.100.150.100.13
Net GEX5.6M-1.9M9.5M4.2M9.5M
Net DEX-50.2M-96.3M-18.0M-56.7M-60.7M
Net VEX-744.2K-808.3K-681.4K-808.3K-735.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.0511.710.410.94
Total Volume1,409.15234,2201,1951,062
Total OI67,052.852,74378,58575,38457,753

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$86.19$86.0019.0%5.4%18.0%21.9%19.1%0.6%-0.5%4.2M-56.7M-808.3K0.416.58N/AN/A85034536,73238,652
2024-03-04$87.22$85.0020.5%5.3%17.9%27.3%19.2%2.4%-0.4%6.9M-83.0M-806.7K0.8914.16N/AN/A41837337,02338,803
2024-03-05$85.98$85.0022.0%5.6%17.5%32.3%19.4%2.5%-0.6%3.3M-47.4M-795.1K0.7713.08N/AN/A34226337,08138,915
2024-03-06$86.69$85.0021.5%5.5%17.4%30.8%19.5%2.6%-0.7%5.6M-67.9M-792.3K1.1317.02N/AN/A40245637,12439,041
2024-03-07$86.62$85.0020.3%5.4%17.4%26.6%19.6%2.3%-0.6%4.8M-66.8M-788.3K1.7812.05N/AN/A19033937,36639,388
2024-03-08$87.72$85.0019.5%5.4%17.8%23.7%19.2%2.3%-0.1%8.5M-96.3M-793.5K0.5813.27N/AN/A60635237,41939,371
2024-03-11$87.38$85.0026.5%5.6%17.9%48.2%20.4%2.5%-0.7%6.8M-85.5M-777.4K1.0115.32N/AN/A70570937,59539,321
2024-03-12$87.03$85.0019.3%5.1%17.9%23.1%18.0%1.8%0.1%8.0M-79.6M-752.9K0.8519.88N/AN/A38632837,73039,448
2024-03-13$86.70$85.0017.8%5.1%14.5%17.9%18.2%1.1%0.4%7.2M-68.8M-732.6K0.0518.68N/AN/A2,14911537,83639,628
2024-03-14$84.94$85.0018.5%5.3%15.8%25.5%19.3%2.2%0.5%-1.9M-18.0M-686.0K2.0819.71N/AN/A1,3712,84935,88439,687
2024-03-15$85.28$85.0017.7%5.1%14.6%31.9%17.7%2.3%0.5%2.4M-30.2M-711.5K3.3620.48N/AN/A7222,42436,60741,978
2024-03-18$85.25$85.0017.8%5.1%14.3%32.5%17.7%1.6%0.2%5.1M-30.1M-719.5K0.6312.86N/AN/A96360231,49921,244
2024-03-19$85.19$85.0016.2%4.6%14.1%22.1%16.4%1.7%0.9%5.1M-25.9M-717.1K1.3118.77N/AN/A24532132,04321,469
2024-03-20$85.73$85.0016.5%4.7%14.0%24.4%17.1%1.2%0.9%5.7M-35.1M-723.8K0.9210.79N/AN/A61156032,16021,670
2024-03-21$86.44$85.0015.6%4.5%14.2%18.5%15.2%0.5%1.1%6.9M-42.6M-737.7K0.5517.58N/AN/A94751932,58322,105
2024-03-22$84.66$85.0015.4%4.4%16.2%17.9%15.1%1.3%1.1%5.4M-25.3M-706.5K0.0818.10N/AN/A2,41420032,47622,373
2024-03-25$84.22$85.0016.2%4.6%15.8%22.5%16.0%1.2%1.0%5.7M-21.0M-704.8K0.7711.40N/AN/A29622734,49722,360
2024-03-26$84.03$85.0015.8%4.5%15.8%20.8%16.0%1.3%1.1%5.3M-18.1M-681.4K11.7115.35N/AN/A1001,17134,53122,460
2024-03-27$85.63$85.0015.3%4.4%16.8%18.9%15.8%1.7%1.1%7.9M-44.4M-712.8K1.3313.67N/AN/A53671434,58822,616
2024-03-28$86.40$85.0015.0%4.3%16.7%16.7%15.1%1.4%1.3%9.5M-60.7M-735.9K0.948.67N/AN/A54851434,97622,777