VNQ Options History — May 2024

In May 2024, VNQ traded between $80.22 and $85.00. ATM implied volatility averaged 16.3%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.1% (HV 20d: 15.2%). Max pain ranged from $81.00 to $84.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 4.48.

Notable Days

  • 2024-05-08: Highest Volume — 9,835 contracts
  • 2024-05-13: Largest IV spike — 48.6% change
  • 2024-05-14: Highest IV Rank — 76.4%
  • 2024-05-01: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.58$80.22$85.00$80.22$82.98
Max Pain$83.41$81.00$84.00$82.00$83.00
ATM IV16.3%13.6%23.3%19.9%16.2%
Expected Move4.5%3.9%5.7%5.7%4.6%
HV 20d15.2%12.3%20.2%20.1%15.9%
HV 60d17.5%17.1%18.2%18.1%17.5%
IV Rank26.1%6.6%76.4%52.4%25.6%
IV Percentile24.9%1.6%94.4%69.4%25.8%
Term Structure0.8%-1.8%2.2%-1.8%-0.1%
VWIV14.5%11.5%19.3%19.3%16.4%
Skew 25d2.2%1.4%3.6%2.6%2.1%
Skew 10d4.8%2.7%6.8%4.2%5.0%
Call IV 25d14.5%12.8%18.1%18.1%15.6%
Put IV 25d16.8%14.3%20.7%20.7%17.7%
Bid-Ask Spread %8.384.5318.658.288.15
Gamma HHI0.180.060.350.070.27
Net GEX164.4K-5.3M5.7M-94.5K-2.9M
Net DEX17.6M-35.3M77.4M28.5M32.5M
Net VEX-535.1K-618.6K-450.1K-459.9K-561.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.480.4241.032.291.27
Total Volume2,645.2737169,8353,157766
Total OI62,988.81853,89369,71253,89366,680

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-05-01$80.22$82.0019.9%5.7%20.1%52.4%19.3%2.6%-1.8%-94.5K28.5M-459.9K2.298.28N/AN/A9592,19831,07822,815
2024-05-02$80.69$81.0018.8%5.4%20.2%44.4%18.8%2.2%-1.3%587.8K22.0M-467.2K3.537.40N/AN/A3771,33131,48522,876
2024-05-03$81.19$81.0016.7%4.8%20.2%29.4%15.7%2.6%0.1%1.2M15.9M-466.8K1.5910.05N/AN/A1,0051,60331,67023,082
2024-05-06$81.30$84.0016.5%4.7%19.8%27.5%14.4%3.6%1.5%1.4M14.0M-450.1K8.565.81N/AN/A1651,41332,23622,975
2024-05-07$82.16$84.0015.4%4.6%19.7%20.0%13.5%3.0%1.3%2.5M2.4M-458.1K0.827.69N/AN/A2,1461,76232,35923,124
2024-05-08$81.50$84.0015.9%4.6%14.1%23.1%14.8%2.8%1.6%1.8M12.5M-451.8K41.037.21N/AN/A2349,60133,87323,304
2024-05-09$83.09$84.0015.4%4.4%15.6%19.7%13.4%2.5%1.7%705.8K8.3M-558.7K0.8311.29N/AN/A2,7912,30933,97829,720
2024-05-10$82.87$84.0015.4%4.3%14.9%20.1%12.6%2.3%1.8%1.2M9.6M-567.4K8.406.55N/AN/A2812,36136,14029,739
2024-05-13$83.05$84.0023.0%4.7%12.9%74.2%13.0%2.6%0.8%1.3M8.2M-564.3K5.075.45N/AN/A3231,63836,16330,268
2024-05-14$83.78$84.0023.3%4.6%12.3%76.4%13.1%2.3%1.0%2.8M-10.1M-576.9K3.297.14N/AN/A1,1393,75336,19030,344
2024-05-15$85.00$84.0014.3%4.1%12.5%12.2%12.0%1.9%2.2%5.7M-35.3M-618.6K2.9710.35N/AN/A1,1453,40636,79532,302
2024-05-16$84.93$84.0014.0%4.0%12.4%9.6%11.5%1.6%1.3%4.9M-32.8M-609.4K4.788.01N/AN/A4181,99736,76032,568
2024-05-17$84.78$84.0013.7%3.9%12.5%7.1%12.6%1.8%1.4%4.7M-27.3M-600.6K1.815.44N/AN/A7221,30536,91132,801
2024-05-20$84.32$84.0013.6%3.9%12.7%6.7%13.1%1.4%1.8%1.4M1.5M-588.2K2.169.85N/AN/A6001,29633,38429,610
2024-05-21$84.20$84.0013.6%3.9%12.5%6.6%13.0%1.5%1.5%925.6K5.7M-584.4K3.525.00N/AN/A18464733,64529,977
2024-05-22$83.44$84.0014.2%4.1%13.1%10.8%12.4%1.8%1.3%-994.4K21.9M-573.9K2.7314.34N/AN/A8482,31233,71630,199
2024-05-23$81.87$84.0014.9%4.3%14.7%15.9%14.8%2.3%0.7%-4.2M54.0M-533.4K1.4818.65N/AN/A62391934,33530,282
2024-05-24$81.85$83.0014.2%4.1%14.7%11.3%14.1%1.8%0.7%-4.3M54.4M-539.7K0.424.53N/AN/A50521134,47830,555
2024-05-28$81.43$83.0015.9%4.6%14.7%23.4%16.0%2.2%0.4%-5.1M63.3M-513.6K0.4812.38N/AN/A86441734,53030,640
2024-05-29$80.59$83.0016.1%4.6%14.4%24.4%16.1%2.0%-0.3%-5.3M77.4M-495.2K0.745.84N/AN/A49136534,70731,225
2024-05-30$81.55$83.0017.3%5.0%14.8%33.4%17.5%2.1%-0.8%-4.8M60.6M-532.0K0.804.96N/AN/A42534134,91331,322
2024-05-31$82.98$83.0016.2%4.6%15.9%25.6%16.4%2.1%-0.1%-2.9M32.5M-561.8K1.278.15N/AN/A33742935,11431,566