VNQ Options History — October 2024 In October 2024, VNQ traded between $93.66 and $97.66. ATM implied volatility averaged 17.7%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 6.1% (HV 20d: 11.7%). Max pain ranged from $96.00 to $98.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.83.
Notable Days 2024-10-07 : Highest Volume — 2,752 contracts2024-10-07 : Largest IV spike — 13.3% change2024-10-31 : Highest IV Rank — 44.5%2024-10-31 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $95.73 $93.66 $97.66 $96.83 $94.53 Max Pain $96.57 $96.00 $98.00 $97.00 $96.00 ATM IV 17.7% 15.8% 19.1% 16.2% 19.1% Expected Move 5.3% 4.5% 6.2% 4.8% 6.2% HV 20d 11.7% 9.2% 13.9% 10.5% 13.9% HV 60d 13.1% 11.9% 14.3% 14.0% 12.1% IV Rank 34.1% 19.6% 44.5% 22.8% 44.5% IV Percentile 50.6% 20.2% 77.8% 25.4% 77.8% Term Structure -0.1% -1.0% 1.5% 1.2% -0.3% VWIV 18.3% 15.8% 21.2% 16.7% 21.2% Skew 25d 4.0% 2.9% 4.8% 3.1% 4.2% Skew 10d 9.6% 7.1% 14.6% 7.2% 8.9% Call IV 25d 15.9% 14.2% 17.2% 14.5% 17.2% Put IV 25d 19.8% 17.2% 21.6% 17.6% 21.4% Bid-Ask Spread % 12.84 8.83 19.52 11.98 15.75 Gamma HHI 0.13 0.06 0.28 0.10 0.07 Net GEX 144.3K -4.9M 4.7M -349.4K 313.5K Net DEX -44.6M -79.3M -4.1M -53.8M -32.4M Net VEX -606.3K -636.0K -576.6K -607.2K -589.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.16 2.38 1.52 0.16 Total Volume 1,136.957 410 2,752 673 787 Total OI 51,281.174 48,748 53,548 49,432 50,821
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2024-10-01 $96.83 $97.00 16.2% 4.8% 10.5% 22.8% 16.7% 3.1% 1.2% -349.4K -53.8M -607.2K 1.52 11.98 N/A N/A 267 406 20,215 29,217 2024-10-02 $96.34 $97.00 15.8% 4.5% 10.6% 19.6% 15.8% 2.9% 1.4% -765.8K -48.7M -586.4K 2.38 8.83 N/A N/A 304 724 20,304 29,411 2024-10-03 $95.50 $98.00 17.3% 5.3% 11.1% 31.0% 18.9% 3.8% 1.5% -2.2M -31.8M -632.1K 0.75 12.34 N/A N/A 731 549 20,392 29,775 2024-10-04 $95.04 $98.00 16.6% 5.0% 11.2% 25.6% 17.0% 4.2% 0.6% -3.0M -26.4M -623.9K 0.86 19.52 N/A N/A 1,363 1,167 20,479 29,888 2024-10-07 $94.22 $98.00 18.8% 5.4% 10.7% 42.1% 19.4% 4.8% -0.3% -2.7M -14.6M -628.7K 2.09 12.34 N/A N/A 891 1,861 20,673 29,804 2024-10-08 $94.53 $97.00 18.0% 5.1% 9.5% 35.7% 20.9% 4.3% -0.3% -3.0M -19.5M -636.0K 0.97 12.47 N/A N/A 208 202 21,145 31,423 2024-10-09 $94.32 $97.00 17.6% 5.1% 9.5% 33.3% 18.4% 4.5% 0.3% -3.6M -14.9M -633.7K 0.44 11.41 N/A N/A 331 147 21,219 31,484 2024-10-10 $93.66 $97.00 18.2% 5.1% 9.2% 37.6% 16.1% 4.5% -0.4% -4.9M -4.1M -626.3K 0.20 9.53 N/A N/A 1,056 214 21,441 31,533 2024-10-11 $94.68 $97.00 17.7% 5.0% 9.7% 33.5% 16.8% 4.1% -0.2% -3.4M -28.6M -632.7K 0.61 9.07 N/A N/A 667 405 21,914 31,089 2024-10-14 $95.41 $97.00 17.9% 5.1% 9.7% 35.5% 18.0% 4.4% -0.3% -2.4M -40.3M -611.9K 0.51 12.38 N/A N/A 711 360 21,093 30,968 2024-10-15 $96.63 $96.00 17.8% 5.1% 10.7% 34.2% 17.9% 3.6% -0.2% 578.6K -62.1M -602.4K 0.23 17.42 N/A N/A 1,117 256 21,395 31,123 2024-10-16 $97.66 $96.00 16.9% 4.9% 11.5% 28.0% 17.5% 3.5% 0.3% 3.1M -79.3M -598.6K 0.38 13.00 N/A N/A 1,027 391 21,847 31,168 2024-10-17 $96.78 $96.00 16.9% 4.9% 11.9% 28.0% 16.7% 3.4% -0.3% 3.9M -68.4M -586.1K 0.63 15.83 N/A N/A 518 327 21,824 31,370 2024-10-18 $97.45 $96.00 16.8% 4.8% 12.1% 26.8% 17.2% 3.3% -0.2% 4.7M -78.6M -582.7K 0.17 13.03 N/A N/A 1,237 208 22,013 31,535 2024-10-21 $95.65 $96.00 18.2% 5.3% 13.4% 37.7% 18.0% 3.9% -0.6% 1.5M -48.0M -588.2K 1.09 10.37 N/A N/A 899 982 20,886 27,862 2024-10-22 $96.03 $96.00 18.0% 5.3% 13.4% 36.0% 18.1% 3.9% -0.5% 2.2M -55.0M -576.6K 1.12 9.17 N/A N/A 314 352 21,181 28,545 2024-10-23 $96.48 $96.00 18.5% 5.5% 13.4% 39.9% 19.2% 4.0% -0.6% 2.2M -57.6M -602.4K 1.10 11.52 N/A N/A 566 621 21,365 28,800 2024-10-24 $96.69 $96.00 18.2% 5.4% 13.0% 37.7% 19.4% 3.9% -0.6% 2.7M -63.4M -599.6K 0.18 13.17 N/A N/A 636 117 21,735 29,266 2024-10-25 $95.94 $96.00 18.5% 5.5% 13.2% 39.9% 18.4% 4.4% -1.0% 4.0M -52.8M -608.8K 0.29 15.21 N/A N/A 1,199 343 22,121 29,301 2024-10-28 $96.19 $96.00 18.5% 5.7% 13.1% 39.8% 19.2% 4.0% -0.4% 1.7M -53.8M -601.1K 0.75 14.08 N/A N/A 360 270 21,621 28,877 2024-10-29 $95.41 $96.00 18.2% 5.8% 13.4% 37.4% 19.9% 4.0% -0.1% 1.2M -43.0M -604.0K 0.84 12.46 N/A N/A 337 282 21,713 29,085 2024-10-30 $95.78 $96.00 18.3% 5.9% 13.4% 38.2% 20.8% 4.3% -0.4% 1.6M -49.4M -584.8K 1.75 14.46 N/A N/A 160 280 21,603 28,943 2024-10-31 $94.53 $96.00 19.1% 6.2% 13.9% 44.5% 21.2% 4.2% -0.3% 313.5K -32.4M -589.8K 0.16 15.75 N/A N/A 679 108 21,781 29,040
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