VNQ Options History — November 2024 In November 2024, VNQ traded between $93.34 and $98.87. ATM implied volatility averaged 16.2%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.2% (HV 20d: 16.0%). Max pain ranged from $92.00 to $96.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.65.
Notable Days 2024-11-01 : Highest Volume — 3,675 contracts2024-11-06 : Largest IV drop — 16.2% change2024-11-04 : Highest IV Rank — 47.1%2024-11-01 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $95.35 $93.34 $98.87 $93.34 $98.87 Max Pain $93.40 $92.00 $96.00 $96.00 $94.00 ATM IV 16.2% 15.0% 19.5% 19.2% 15.3% Expected Move 4.6% 4.2% 6.3% 6.3% 4.2% HV 20d 16.0% 14.4% 17.0% 14.5% 15.4% HV 60d 13.2% 12.3% 13.7% 12.3% 13.5% IV Rank 22.4% 13.2% 47.1% 45.0% 15.4% IV Percentile 29.6% 10.3% 82.5% 79.0% 14.7% Term Structure 0.2% -0.8% 1.3% -0.5% -0.6% VWIV 15.9% 12.1% 20.5% 20.5% 14.6% Skew 25d 2.8% 0.8% 4.3% 4.2% 2.6% Skew 10d 6.5% 4.3% 9.8% 9.2% 4.8% Call IV 25d 14.8% 13.7% 17.6% 17.6% 14.5% Put IV 25d 17.6% 15.8% 21.8% 21.8% 17.1% Bid-Ask Spread % 18.13 12.30 47.31 12.48 12.30 Gamma HHI 0.09 0.06 0.13 0.07 0.11 Net GEX 613.1K -2.2M 3.7M -597.8K 3.7M Net DEX -38.1M -89.3M -5.2M -19.3M -89.3M Net VEX -623.0K -701.9K -556.2K -584.5K -556.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.65 0.17 3.02 3.02 1.35 Total Volume 1,215.3 435 3,675 3,675 736 Total OI 54,214.55 50,872 55,548 50,872 54,521
Daily Data (20 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 2024-11-01 $93.34 $96.00 19.2% 6.3% 14.5% 45.0% 20.5% 4.2% -0.5% -597.8K -19.3M -584.5K 3.02 12.48 N/A N/A 914 2,761 21,880 28,992 2024-11-04 $93.93 $93.00 19.5% 5.4% 14.4% 47.1% 17.6% 4.1% -0.4% -968.0K -12.6M -689.1K 0.61 36.38 N/A N/A 1,180 718 21,437 32,378 2024-11-05 $95.16 $93.00 19.3% 5.4% 15.1% 45.8% 19.2% 4.3% -0.3% -285.8K -27.9M -701.9K 0.59 14.54 N/A N/A 474 280 21,853 32,982 2024-11-06 $93.47 $93.00 16.2% 4.9% 16.4% 22.3% 15.8% 3.6% 0.2% -2.2M -5.2M -675.0K 0.56 18.67 N/A N/A 1,582 887 22,150 33,165 2024-11-07 $94.64 $92.00 15.5% 4.5% 16.8% 16.9% 17.6% 2.9% 0.5% 159.8K -27.6M -662.6K 0.47 15.20 N/A N/A 720 341 22,409 32,953 2024-11-08 $95.88 $92.00 15.0% 4.5% 17.0% 13.2% 15.6% 2.6% 0.6% 2.6M -50.8M -655.3K 0.33 24.29 N/A N/A 1,269 415 22,622 32,926 2024-11-11 $95.44 $93.00 15.9% 4.7% 16.9% 20.1% 16.0% 2.6% 0.1% 715.8K -40.4M -662.4K 0.42 14.04 N/A N/A 797 337 22,266 32,268 2024-11-12 $94.18 $92.00 16.0% 4.7% 16.8% 21.3% 12.1% 2.5% 0.2% -745.6K -22.1M -629.5K 0.54 21.90 N/A N/A 558 301 22,322 32,416 2024-11-13 $94.84 $93.00 15.0% 4.4% 16.5% 13.5% 15.1% 2.5% 0.4% 143.3K -30.4M -630.3K 0.25 14.82 N/A N/A 756 187 22,446 32,488 2024-11-14 $93.68 $94.00 15.5% 4.5% 16.8% 17.3% 15.1% 0.8% 0.2% -958.1K -13.7M -623.3K 0.35 47.31 N/A N/A 758 263 22,632 32,578 2024-11-15 $93.72 $93.00 15.7% 4.5% 16.5% 18.7% 16.1% 2.7% 0.3% -1.4M -12.5M -628.9K 1.12 13.15 N/A N/A 480 536 22,743 32,508 2024-11-18 $94.25 $93.00 15.6% 4.5% 15.4% 17.8% 15.2% 3.0% 1.3% -378.6K -22.6M -600.2K 0.25 13.00 N/A N/A 566 143 20,907 31,715 2024-11-19 $94.96 $93.00 15.3% 4.4% 15.6% 16.1% 15.8% 2.9% 1.1% 409.5K -32.0M -610.7K 0.60 13.83 N/A N/A 389 234 21,337 31,802 2024-11-20 $94.75 $94.00 16.2% 4.7% 15.5% 22.7% 15.8% 3.5% 1.1% 491.7K -29.4M -611.5K 0.36 14.39 N/A N/A 320 115 21,564 31,951 2024-11-21 $95.59 $94.00 15.8% 4.5% 15.9% 19.4% 14.8% 2.6% 1.0% 1.5M -44.7M -592.9K 0.17 14.01 N/A N/A 879 149 21,696 31,967 2024-11-22 $96.13 $94.00 15.4% 4.3% 15.8% 16.9% 15.3% 1.6% 0.9% 1.7M -53.3M -597.2K 0.31 14.05 N/A N/A 821 254 22,178 32,060 2024-11-25 $97.50 $94.00 15.7% 4.3% 16.5% 18.5% 15.0% 2.8% -0.8% 2.2M -66.7M -594.8K 0.58 16.84 N/A N/A 852 493 21,783 31,927 2024-11-26 $98.00 $94.00 15.8% 4.2% 16.3% 19.7% 14.7% 2.8% -0.6% 2.8M -75.2M -579.7K 0.60 17.35 N/A N/A 391 236 21,960 32,199 2024-11-27 $98.66 $94.00 16.0% 4.3% 16.4% 20.8% 15.2% 2.1% -0.7% 3.4M -85.8M -573.7K 0.44 13.93 N/A N/A 845 369 22,060 32,250 2024-11-29 $98.87 $94.00 15.3% 4.2% 15.4% 15.4% 14.6% 2.6% -0.6% 3.7M -89.3M -556.2K 1.35 12.30 N/A N/A 313 423 22,153 32,368
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