VNQ Options History — April 2024

In April 2024, VNQ traded between $78.63 and $85.73. ATM implied volatility averaged 19.5%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.6% (HV 20d: 20.1%). Max pain ranged from $82.00 to $86.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 2.99.

Notable Days

  • 2024-04-17: Highest Volume — 6,279 contracts
  • 2024-04-04: Largest IV spike — 17.2% change
  • 2024-04-15: Highest IV Rank — 72.6%
  • 2024-04-15: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.60$78.63$85.73$84.97$79.72
Max Pain$83.86$82.00$86.00$85.00$82.00
ATM IV19.5%16.4%22.7%16.4%19.1%
Expected Move5.6%4.7%6.5%4.7%5.5%
HV 20d20.1%16.5%22.4%17.6%19.9%
HV 60d18.1%16.8%18.9%16.8%18.4%
IV Rank49.4%27.3%72.6%27.3%46.7%
IV Percentile61.7%21.8%92.1%21.8%61.9%
Term Structure-0.4%-1.6%0.6%0.6%-1.6%
VWIV18.9%16.4%22.8%16.6%18.6%
Skew 25d2.9%1.4%4.1%1.4%2.8%
Skew 10d6.0%3.4%8.6%3.4%4.6%
Call IV 25d17.9%15.9%20.7%15.9%17.7%
Put IV 25d20.8%17.2%24.8%17.2%20.5%
Bid-Ask Spread %9.166.2013.718.428.81
Gamma HHI0.080.060.120.120.07
Net GEX1.7M-1.6M7.7M7.1M-580.8K
Net DEX16.7M-44.1M53.1M-33.5M33.7M
Net VEX-561.0K-706.8K-452.3K-674.5K-452.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.990.2917.012.283.83
Total Volume2,412.3644666,2797801,503
Total OI57,907.77350,72362,39258,12253,675

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-04-01$84.97$85.0016.4%4.7%17.6%27.3%16.6%1.4%0.6%7.1M-33.5M-674.5K2.288.42N/AN/A23854235,39322,729
2024-04-02$83.90$85.0017.3%5.0%17.4%33.6%16.6%2.1%0.6%4.7M-11.1M-662.6K0.299.61N/AN/A58916935,41123,110
2024-04-03$84.06$85.0017.3%5.0%16.8%33.4%17.4%2.3%0.6%5.0M-12.6M-662.2K1.7410.17N/AN/A40670835,46223,204
2024-04-04$83.44$86.0020.3%5.7%16.6%54.8%20.3%2.5%-0.3%3.9M-3.8M-663.6K1.1713.71N/AN/A60470635,60623,326
2024-04-05$83.90$86.0018.8%5.4%16.8%43.9%19.0%3.2%-0.1%4.6M-9.2M-672.6K0.377.78N/AN/A34012635,78123,741
2024-04-08$84.75$85.0019.0%5.2%16.5%46.0%18.4%2.6%0.2%6.2M-24.0M-671.9K2.7813.20N/AN/A35398035,88523,827
2024-04-09$85.73$86.0019.9%5.3%17.2%52.4%17.8%3.1%0.0%7.7M-44.1M-706.8K0.5411.48N/AN/A63234336,17224,452
2024-04-10$82.38$85.0021.5%6.2%22.0%63.9%22.8%3.7%-0.6%1.7M15.2M-619.1K1.498.01N/AN/A2,0163,00636,48024,280
2024-04-11$82.81$85.0019.1%5.5%22.2%46.3%19.4%3.2%-0.0%2.1M10.6M-615.3K1.407.79N/AN/A8041,12936,98124,997
2024-04-12$81.73$85.0020.1%5.8%21.5%53.7%20.1%3.4%-0.3%606.4K27.8M-577.5K1.389.16N/AN/A48767436,89424,865
2024-04-15$80.19$85.0022.7%6.5%22.2%72.6%21.4%4.1%-0.9%-845.9K44.8M-546.7K0.887.19N/AN/A1,7221,52237,08424,882
2024-04-16$79.38$85.0021.6%6.2%22.4%64.6%20.8%3.2%-0.6%-1.2M51.8M-516.8K2.7211.62N/AN/A1,0432,83437,57624,816
2024-04-17$78.85$84.0020.9%6.0%22.4%59.2%19.7%3.2%-0.3%-1.3M53.1M-495.2K8.347.44N/AN/A6725,60738,05724,214
2024-04-18$78.63$82.0021.0%6.0%22.0%60.2%20.3%3.4%-0.6%-1.6M51.6M-483.9K2.867.88N/AN/A8402,39938,31923,637
2024-04-19$78.90$82.0021.6%6.2%21.7%64.7%20.6%3.9%-0.6%-554.6K47.2M-490.2K2.368.72N/AN/A6771,59938,40523,523
2024-04-22$79.62$82.0019.7%5.6%21.4%50.4%17.5%2.9%-0.3%-612.1K36.4M-471.3K1.366.20N/AN/A9641,31228,68122,042
2024-04-23$80.50$82.0019.4%5.6%21.9%48.6%18.6%3.0%-0.9%316.8K26.2M-483.3K1.439.45N/AN/A8571,22929,19322,089
2024-04-24$80.63$82.0018.4%5.3%22.0%41.2%18.2%2.8%-0.6%535.1K24.6M-482.1K17.017.20N/AN/A2864,86429,80522,118
2024-04-25$80.00$82.0019.1%5.5%20.6%46.7%17.6%3.1%-0.9%-33.0K31.4M-462.7K7.496.39N/AN/A3992,98829,87822,159
2024-04-26$80.27$82.0017.6%5.1%20.2%35.8%16.4%2.5%-0.5%-44.7K28.5M-463.5K1.1911.17N/AN/A9611,14030,03322,310
2024-04-29$80.75$82.0018.2%5.2%19.9%39.8%17.7%2.5%-1.1%350.5K23.6M-467.4K2.9610.03N/AN/A7082,09430,49122,388
2024-04-30$79.72$82.0019.1%5.5%19.9%46.7%18.6%2.8%-1.6%-580.8K33.7M-452.3K3.838.81N/AN/A3111,19230,97822,697