VNQ Options History — September 2024

In September 2024, VNQ traded between $94.75 and $99.12. ATM implied volatility averaged 16.3%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 5.3% (HV 20d: 11.0%). Max pain ranged from $88.00 to $97.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2024-09-20: Highest Volume — 4,648 contracts
  • 2024-09-20: Largest IV drop — 9.2% change
  • 2024-09-06: Highest IV Rank — 41.4%
  • 2024-09-03: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.23$94.75$99.12$94.75$96.98
Max Pain$94.35$88.00$97.00$88.00$97.00
ATM IV16.3%13.2%18.5%18.1%15.8%
Expected Move4.6%3.7%5.2%5.2%4.6%
HV 20d11.0%9.6%13.4%13.4%10.5%
HV 60d13.9%13.6%14.2%13.9%14.0%
IV Rank23.9%0.0%41.4%39.3%19.3%
IV Percentile28.6%0.0%57.9%50.8%19.8%
Term Structure-0.0%-0.6%1.2%-0.1%1.2%
VWIV16.4%13.3%18.2%17.7%16.4%
Skew 25d3.1%2.1%4.6%3.7%3.0%
Skew 10d6.7%4.3%11.7%7.2%7.7%
Call IV 25d14.7%12.3%16.2%15.7%13.9%
Put IV 25d17.8%14.3%20.9%19.4%17.0%
Bid-Ask Spread %17.0810.0723.4315.1114.81
Gamma HHI0.100.080.160.120.10
Net GEX3.8M-3.5M8.7M7.3M-284.6K
Net DEX-131.6M-189.2M-51.2M-128.5M-57.3M
Net VEX-537.1K-614.6K-485.5K-544.1K-593.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.344.470.560.77
Total Volume2,298.158734,6482,366873
Total OI57,863.647,01966,74256,63349,092

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$94.75$88.0018.1%5.2%13.4%39.3%17.7%3.7%-0.1%7.3M-128.5M-544.1K0.5615.11N/AN/A1,51385327,49929,134
2024-09-04$95.22$88.0018.0%5.2%11.7%37.9%18.1%3.8%-0.5%8.2M-136.0M-552.3K0.9515.72N/AN/A1,4891,41128,50529,832
2024-09-05$95.07$92.0018.3%5.0%11.1%40.3%17.6%4.1%-0.3%7.8M-130.8M-562.9K2.2321.29N/AN/A41392228,35730,766
2024-09-06$94.87$92.0018.5%5.1%11.0%41.4%17.7%4.6%-0.1%8.7M-125.7M-563.9K3.5519.53N/AN/A5902,09428,43031,455
2024-09-09$96.03$91.0017.8%4.9%11.6%36.4%17.3%3.2%-0.4%6.5M-142.5M-538.9K0.7522.85N/AN/A77057428,03933,079
2024-09-10$97.27$92.0017.8%5.0%11.0%36.2%18.2%3.6%-0.0%6.0M-167.7M-511.9K1.1116.76N/AN/A9151,01528,44033,516
2024-09-11$97.00$95.0017.5%4.8%10.9%31.4%17.5%3.5%-0.6%7.0M-162.5M-516.0K3.4823.43N/AN/A9263,22228,67733,768
2024-09-12$97.68$95.0017.0%4.7%11.0%27.5%17.2%3.7%-0.6%5.9M-178.8M-515.9K0.4118.78N/AN/A86535529,19433,504
2024-09-13$98.40$95.0016.5%4.7%11.0%24.0%16.8%3.0%-0.1%3.7M-189.2M-503.8K0.5414.55N/AN/A1,24667629,25733,702
2024-09-16$99.12$95.0016.9%4.8%10.6%27.4%17.1%2.8%-0.2%3.4M-183.8M-485.5K0.3418.58N/AN/A1,58053428,08233,467
2024-09-17$98.31$95.0017.3%4.9%11.3%30.1%17.1%2.9%-0.3%4.0M-170.3M-515.6K1.5821.54N/AN/A1,2051,90128,63833,807
2024-09-18$98.12$95.0016.3%4.7%11.4%22.5%17.2%2.7%0.2%3.8M-170.1M-526.6K0.3922.10N/AN/A1,00638928,95435,187
2024-09-19$98.15$95.0015.4%4.4%11.4%15.7%16.0%2.4%-0.1%3.8M-177.1M-493.0K0.8318.45N/AN/A1,6881,40029,43635,443
2024-09-20$97.89$97.0014.0%4.0%11.6%5.0%15.9%2.3%-0.1%1.8M-169.6M-510.5K1.9614.95N/AN/A1,5683,08029,92936,813
2024-09-23$98.63$97.0013.7%3.8%9.6%2.6%14.4%2.2%0.2%517.9K-76.9M-534.6K1.4111.68N/AN/A8821,24619,07627,943
2024-09-24$98.98$97.0013.2%3.7%9.6%0.0%13.3%2.1%0.5%1.3M-83.3M-526.2K0.5114.80N/AN/A1,65784919,32827,960
2024-09-25$98.15$97.0014.1%4.0%10.3%6.9%13.4%2.5%0.4%336.7K-73.4M-549.7K0.8214.53N/AN/A1,10990420,10428,486
2024-09-26$97.27$97.0015.1%4.2%10.8%14.0%14.8%2.4%0.3%-3.5M-57.3M-583.1K0.7012.10N/AN/A1,03271820,62929,364
2024-09-27$96.69$97.0015.8%4.5%11.0%19.6%15.2%3.0%0.0%-1.1M-51.2M-614.6K4.4710.07N/AN/A4562,03720,59829,782
2024-09-30$96.98$97.0015.8%4.6%10.5%19.3%16.4%3.0%1.2%-284.6K-57.3M-593.6K0.7714.81N/AN/A49437920,04229,050