VNQ Options History — August 2024

In August 2024, VNQ traded between $88.91 and $95.00. ATM implied volatility averaged 17.0%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 0.6% (HV 20d: 16.3%). Max pain ranged from $86.00 to $88.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 2.17.

Notable Days

  • 2024-08-12: Highest Volume — 8,040 contracts
  • 2024-08-05: Largest IV spike — 35.8% change
  • 2024-08-05: Highest IV Rank — 96.8%
  • 2024-08-05: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.09$88.91$95.00$91.09$95.00
Max Pain$86.45$86.00$88.00$86.00$88.00
ATM IV17.0%13.3%26.1%17.3%15.4%
Expected Move4.8%3.8%7.3%5.4%4.1%
HV 20d16.3%14.6%19.3%14.6%16.4%
HV 60d14.4%13.8%14.9%13.9%13.9%
IV Rank31.0%4.7%96.8%33.6%20.1%
IV Percentile36.0%1.2%99.2%39.3%19.4%
Term Structure0.1%-0.6%1.4%-0.4%-0.6%
VWIV17.2%12.8%26.1%19.0%14.6%
Skew 25d2.6%1.4%4.2%1.4%2.9%
Skew 10d6.4%3.8%10.9%4.7%8.2%
Call IV 25d15.5%12.2%24.2%16.6%13.6%
Put IV 25d18.1%14.3%28.4%17.9%16.5%
Bid-Ask Spread %13.549.9418.1014.9015.72
Gamma HHI0.120.080.260.090.21
Net GEX4.9M-1.3M10.5M5.2M10.5M
Net DEX-91.3M-133.7M-43.3M-81.8M-133.7M
Net VEX-563.0K-663.6K-489.8K-591.6K-546.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.170.1816.481.580.84
Total Volume2,188.3185698,0401,9541,582
Total OI54,080.09148,45464,30348,93856,585

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$91.09$86.0017.3%5.4%14.6%33.6%19.0%1.4%-0.4%5.2M-81.8M-591.6K1.5814.90N/AN/A7581,19624,03624,902
2024-08-02$91.06$88.0019.2%5.9%14.7%47.2%20.5%1.9%-0.3%3.3M-75.2M-631.0K2.1216.65N/AN/A8431,78624,46026,016
2024-08-05$88.91$86.0026.1%7.3%17.8%96.8%26.1%4.2%-0.3%2.5M-43.3M-663.6K3.6614.10N/AN/A4681,71424,60225,861
2024-08-06$90.78$86.0020.7%5.8%18.8%57.9%23.0%3.4%0.2%3.3M-70.9M-627.5K3.3110.23N/AN/A4361,44524,72926,645
2024-08-07$90.02$86.0022.3%6.3%19.3%69.3%21.8%3.4%0.0%2.8M-60.2M-631.7K1.6213.51N/AN/A30749824,90326,863
2024-08-08$90.72$86.0019.6%5.7%16.5%50.2%19.6%3.0%0.1%3.5M-70.4M-622.6K0.3510.09N/AN/A58620725,05527,117
2024-08-09$91.10$86.0017.4%5.1%16.2%33.9%18.9%2.9%0.3%3.1M-80.5M-590.1K0.4617.82N/AN/A38918025,15727,232
2024-08-12$90.15$86.0018.3%5.3%16.7%40.4%18.1%3.2%-0.2%4.0M-64.8M-586.9K16.4818.10N/AN/A4607,58025,14926,987
2024-08-13$91.16$86.0017.4%4.9%16.6%34.2%18.5%2.9%-0.4%-1.1M-71.8M-584.5K6.8516.85N/AN/A7915,42025,38834,273
2024-08-14$91.55$86.0015.2%4.4%16.5%18.2%15.4%2.1%0.2%-1.3M-84.6M-555.0K2.4210.98N/AN/A6971,68825,53438,769
2024-08-15$91.52$86.0014.2%4.1%16.2%11.2%14.4%2.2%0.2%5.5M-93.7M-527.0K0.189.94N/AN/A95817325,49738,190
2024-08-16$91.11$86.0013.7%4.0%16.3%7.8%12.8%2.0%0.3%5.2M-87.9M-516.5K0.3817.62N/AN/A1,17645025,67638,275
2024-08-19$91.97$86.0013.3%3.8%16.3%4.7%13.4%1.8%0.9%7.0M-89.4M-494.8K1.8710.10N/AN/A7791,45723,71724,737
2024-08-20$92.00$86.0014.1%4.1%16.3%10.5%14.5%2.8%1.1%7.0M-87.9M-523.3K0.6612.90N/AN/A71647224,22625,982
2024-08-21$92.41$86.0013.8%4.0%15.4%8.1%15.4%2.4%1.0%7.5M-95.1M-523.7K1.9314.09N/AN/A21040624,83326,424
2024-08-22$92.63$86.0015.6%4.4%15.2%20.9%15.6%2.5%1.3%7.0M-97.6M-536.1K0.2213.21N/AN/A1,33029524,90726,766
2024-08-23$94.59$86.0015.1%4.2%15.9%17.7%15.1%2.3%1.4%6.6M-128.9M-489.8K0.9610.68N/AN/A1,7861,71624,96726,981
2024-08-26$94.83$87.0015.3%4.1%15.9%18.8%15.0%2.5%-0.3%6.3M-127.8M-500.7K0.4811.39N/AN/A1,51672425,23027,946
2024-08-27$94.91$87.0016.1%4.3%15.8%24.4%14.9%2.8%-0.5%6.2M-125.8M-526.0K0.2014.79N/AN/A2,25446225,58728,314
2024-08-28$94.48$88.0016.7%4.3%16.0%28.7%15.4%2.5%-0.6%6.5M-121.3M-556.2K0.3110.72N/AN/A1,19036926,54528,500
2024-08-29$94.09$88.0016.6%4.3%16.2%28.1%16.1%2.4%-0.5%7.1M-116.7M-560.5K0.9113.39N/AN/A35332027,43228,767
2024-08-30$95.00$88.0015.4%4.1%16.4%20.1%14.6%2.9%-0.6%10.5M-133.7M-546.1K0.8415.72N/AN/A86072227,61328,972