VNQ Options History — July 2024

In July 2024, VNQ traded between $82.91 and $90.81. ATM implied volatility averaged 16.5%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.4% (HV 20d: 13.1%). Max pain ranged from $83.00 to $86.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2024-07-11: Highest Volume — 3,971 contracts
  • 2024-07-31: Largest IV drop — 10.7% change
  • 2024-07-30: Highest IV Rank — 41.5%
  • 2024-07-30: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.35$82.91$90.81$82.91$90.81
Max Pain$84.41$83.00$86.00$83.00$86.00
ATM IV16.5%14.5%18.4%15.3%16.4%
Expected Move4.8%4.2%5.7%4.4%5.3%
HV 20d13.1%9.0%15.3%10.5%14.6%
HV 60d14.0%12.9%15.9%15.9%13.9%
IV Rank27.4%13.0%41.5%19.2%27.3%
IV Percentile31.2%8.3%59.1%15.5%28.2%
Term Structure-0.0%-0.5%0.7%0.4%0.1%
VWIV16.9%14.5%20.4%15.3%18.4%
Skew 25d1.8%0.9%2.8%2.4%1.7%
Skew 10d4.3%-3.1%7.7%5.8%7.7%
Call IV 25d15.8%13.7%17.4%14.5%16.0%
Put IV 25d17.6%16.0%19.0%16.9%17.7%
Bid-Ask Spread %17.1510.9321.1615.8216.93
Gamma HHI0.090.080.120.080.10
Net GEX2.9M-960.6K5.3M82.1K4.9M
Net DEX-39.3M-76.5M11.4M11.4M-76.5M
Net VEX-546.5K-585.9K-489.7K-489.7K-578.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.094.580.670.22
Total Volume1,280.7732003,9715221,474
Total OI45,571.27340,43750,00540,48448,106

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$82.91$83.0015.3%4.4%10.5%19.2%15.3%2.4%0.4%82.1K11.4M-489.7K0.6715.82N/AN/A31221018,99121,493
2024-07-02$83.30$83.0014.7%4.2%10.6%14.4%15.7%2.3%0.7%307.2K6.8M-491.4K4.5810.93N/AN/A4902,24619,04021,397
2024-07-03$83.34$83.0015.2%4.4%9.7%18.4%15.8%2.4%0.6%-960.6K10.6M-506.5K0.8317.15N/AN/A1099119,02323,505
2024-07-05$83.53$83.0014.5%4.4%9.6%13.0%15.0%2.8%0.2%-882.8K9.1M-499.4K0.3016.77N/AN/A2567719,12623,544
2024-07-08$83.85$83.0015.1%4.4%9.7%17.8%14.8%2.6%0.1%-347.6K3.1M-495.2K0.2019.36N/AN/A3276519,24723,589
2024-07-09$83.82$83.0014.8%4.4%9.0%15.3%14.5%2.2%0.0%-342.8K2.6M-493.3K0.5414.85N/AN/A41322519,46123,600
2024-07-10$84.18$83.0016.1%4.6%9.0%24.8%16.4%2.4%0.4%245.2K-2.4M-494.3K2.5119.97N/AN/A5071,27419,74623,720
2024-07-11$86.81$84.0016.2%4.7%13.9%25.8%16.1%1.4%-0.1%2.5M-32.2M-535.0K0.2619.14N/AN/A3,16480719,93124,898
2024-07-12$87.81$84.0016.3%4.7%14.2%26.1%16.4%0.9%-0.2%4.2M-50.7M-561.9K0.5117.76N/AN/A1,18360421,54225,307
2024-07-15$87.94$85.0016.6%4.8%14.2%28.6%17.3%1.1%-0.1%4.5M-53.3M-565.1K0.2517.35N/AN/A1,18829321,90725,507
2024-07-16$89.03$84.0017.0%4.9%14.5%30.9%16.9%1.3%-0.1%4.9M-66.0M-566.4K0.4616.55N/AN/A97744522,12725,664
2024-07-17$89.65$84.0016.5%4.7%14.4%27.7%16.6%0.9%0.4%5.3M-75.5M-570.7K0.3915.42N/AN/A1,08742122,53725,857
2024-07-18$88.94$84.0017.6%5.0%15.0%35.3%17.3%2.0%-0.2%5.0M-63.3M-575.3K0.2015.30N/AN/A1,54230422,62126,149
2024-07-19$88.78$85.0017.4%5.0%15.0%34.0%16.8%2.3%-0.3%4.3M-62.7M-579.0K0.4219.14N/AN/A83134623,59826,407
2024-07-22$89.62$85.0016.2%4.7%15.1%25.8%16.6%1.6%-0.5%4.6M-63.0M-556.6K0.0921.16N/AN/A2,47121622,03323,147
2024-07-23$89.81$85.0016.2%4.6%14.9%25.2%17.8%1.3%-0.1%4.9M-65.5M-562.4K0.6721.13N/AN/A36124222,48923,307
2024-07-24$88.59$86.0017.6%5.0%14.6%35.3%17.3%2.0%-0.3%4.1M-48.6M-580.8K0.6313.67N/AN/A29018422,64023,482
2024-07-25$88.31$86.0018.4%5.5%14.6%41.2%18.6%1.4%-0.5%3.8M-43.9M-581.4K1.8120.16N/AN/A39771922,54723,496
2024-07-26$89.72$86.0017.7%5.3%15.3%36.5%18.9%1.5%-0.1%4.3M-62.1M-580.2K2.1016.84N/AN/A28660122,70524,069
2024-07-29$90.19$86.0018.0%5.6%15.1%38.2%19.7%1.5%-0.2%4.4M-68.1M-573.6K0.4418.03N/AN/A39217222,81624,469
2024-07-30$90.73$86.0018.4%5.7%14.6%41.5%20.4%1.6%-0.4%4.5M-74.9M-585.9K0.7413.93N/AN/A33324523,15524,573
2024-07-31$90.81$86.0016.4%5.3%14.6%27.3%18.4%1.7%0.1%4.9M-76.5M-578.0K0.2216.93N/AN/A1,21326123,30424,802