VNQ Options History — June 2024

In June 2024, VNQ traded between $82.88 and $84.75. ATM implied volatility averaged 15.3%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.4% (HV 20d: 14.0%). Max pain ranged from $81.00 to $84.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.84.

Notable Days

  • 2024-06-11: Highest Volume — 3,391 contracts
  • 2024-06-12: Largest IV drop — 7.3% change
  • 2024-06-05: Highest IV Rank — 30.5%
  • 2024-06-05: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.61$82.88$84.75$82.91$83.44
Max Pain$82.58$81.00$84.00$83.00$84.00
ATM IV15.3%13.9%16.9%16.9%14.7%
Expected Move4.4%4.0%4.8%4.8%4.2%
HV 20d14.0%11.6%16.2%15.8%11.9%
HV 60d16.9%15.9%17.6%17.5%15.9%
IV Rank19.3%8.9%30.5%30.3%15.0%
IV Percentile15.8%4.4%32.9%32.1%9.5%
Term Structure0.9%-0.7%1.7%-0.3%0.7%
VWIV15.6%13.9%17.8%16.6%15.2%
Skew 25d2.2%1.3%3.0%2.1%2.6%
Skew 10d4.4%2.7%6.1%6.1%5.7%
Call IV 25d14.4%13.4%16.2%16.2%13.4%
Put IV 25d16.7%14.8%18.3%18.3%16.0%
Bid-Ask Spread %17.774.5767.744.5714.04
Gamma HHI0.260.080.530.290.08
Net GEX-3.1M-10.4M3.3M-3.6M186.8K
Net DEX16.1M-1.0M35.4M35.4M9.2M
Net VEX-528.9K-567.8K-489.3K-544.8K-504.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.118.390.560.29
Total Volume1,160.5263443,391785891
Total OI63,426.31638,87276,62566,82140,232

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-06-03$82.91$83.0016.9%4.8%15.8%30.3%16.6%2.1%-0.3%-3.6M35.4M-544.8K0.564.57N/AN/A50428135,20731,614
2024-06-04$83.88$83.0016.3%4.7%16.2%26.0%16.8%1.9%-0.7%-1.4M14.6M-553.3K1.234.64N/AN/A42952735,40031,764
2024-06-05$83.48$83.0016.9%4.8%16.0%30.5%16.8%1.8%-0.6%-2.7M22.9M-542.0K0.765.52N/AN/A19614835,59031,690
2024-06-06$83.65$83.0015.9%4.5%15.7%23.1%17.8%2.9%0.8%-2.5M19.1M-542.7K0.1121.04N/AN/A2,42527335,72331,743
2024-06-07$82.88$83.0015.1%4.5%14.6%17.4%15.7%2.8%1.0%-4.2M33.6M-551.3K0.2416.99N/AN/A83019737,95631,942
2024-06-10$83.27$83.0016.2%4.6%14.6%25.2%16.2%2.6%1.0%-4.4M25.8M-543.5K0.6111.80N/AN/A33420338,61531,995
2024-06-11$83.06$82.0016.3%4.5%14.6%25.9%16.3%2.4%1.0%-4.5M29.7M-542.5K8.3911.36N/AN/A3613,03038,79532,129
2024-06-12$83.60$82.0015.1%4.3%14.5%17.3%15.5%1.9%1.4%-5.0M19.7M-553.3K0.3067.74N/AN/A1,24537538,97934,771
2024-06-13$84.07$82.0015.3%4.4%13.6%19.2%14.5%2.3%1.2%-2.6M6.3M-567.8K0.1247.63N/AN/A6017439,68334,824
2024-06-14$83.82$81.0015.5%4.4%13.6%20.6%16.6%2.8%1.4%-5.7M13.9M-551.2K0.1814.10N/AN/A57010240,16234,840
2024-06-17$83.72$82.0015.8%4.5%13.6%22.8%16.4%3.0%1.0%-7.4M15.4M-531.2K0.3511.84N/AN/A34712140,26634,806
2024-06-18$83.97$82.0015.5%4.4%13.6%20.2%16.2%2.5%1.6%-7.5M8.3M-524.6K0.7814.62N/AN/A33125840,41434,787
2024-06-20$83.87$82.0015.0%4.3%13.6%17.2%15.3%2.3%1.4%-10.4M8.6M-510.3K0.4519.86N/AN/A1,28257440,52134,921
2024-06-21$83.81$82.0014.1%4.0%13.2%10.3%14.3%2.2%1.7%3.3M4.5M-499.6K0.1713.77N/AN/A1,21820541,33435,291
2024-06-24$84.75$83.0014.1%4.0%11.6%10.3%14.0%1.9%1.3%527.0K-1.0M-501.4K0.3614.94N/AN/A1,36749618,05320,819
2024-06-25$83.47$83.0014.5%4.2%13.1%13.6%14.4%1.8%1.2%19.5K12.4M-496.6K0.4412.12N/AN/A67729918,64121,179
2024-06-26$83.18$83.0014.4%4.1%13.0%12.3%14.2%1.8%1.2%-328.7K15.5M-498.4K0.5315.15N/AN/A37520018,72821,417
2024-06-27$83.70$83.0013.9%4.0%12.3%8.9%13.9%1.3%1.1%-128.3K12.3M-489.3K0.1815.91N/AN/A59810618,77321,496
2024-06-28$83.44$84.0014.7%4.2%11.9%15.0%15.2%2.6%0.7%186.8K9.2M-504.9K0.2914.04N/AN/A69319818,65821,574