VNQ Options History — December 2024

In December 2024, VNQ traded between $88.40 and $96.51. ATM implied volatility averaged 16.0%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 0.7% (HV 20d: 16.7%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2024-12-19: Highest Volume — 5,311 contracts
  • 2024-12-18: Largest IV spike — 23.6% change
  • 2024-12-18: Highest IV Rank — 48.6%
  • 2024-12-18: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.39$88.40$96.51$96.51$88.86
Max Pain$90.76$90.00$95.00$94.00$90.00
ATM IV16.0%14.4%19.7%15.4%16.9%
Expected Move4.6%4.2%5.6%4.4%4.8%
HV 20d16.7%13.6%19.9%17.3%17.4%
HV 60d15.0%13.8%16.6%14.4%16.6%
IV Rank20.9%8.8%48.6%16.8%27.6%
IV Percentile30.7%7.5%89.7%18.3%47.2%
Term Structure0.3%-0.2%1.0%-0.1%0.3%
VWIV15.9%14.1%19.8%15.2%18.2%
Skew 25d2.2%1.2%3.0%3.0%3.0%
Skew 10d4.4%2.9%7.8%5.0%7.8%
Call IV 25d15.1%12.8%19.3%13.5%15.8%
Put IV 25d17.3%15.4%21.4%16.4%18.8%
Bid-Ask Spread %15.658.5938.8212.8713.74
Gamma HHI0.120.060.200.110.07
Net GEX-918.0K-3.4M1.5M980.0K-1.1M
Net DEX6.8M-54.2M62.0M-52.5M40.9M
Net VEX-585.3K-619.1K-544.5K-562.9K-570.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.202.760.220.34
Total Volume1,789.2386315,3114,815894
Total OI57,819.66750,37964,25053,96950,491

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-12-02$96.51$94.0015.4%4.4%17.3%16.8%15.2%3.0%-0.1%980.0K-52.5M-562.9K0.2212.87N/AN/A3,95685921,78932,180
2024-12-03$96.35$95.0015.2%4.4%17.3%15.0%14.1%2.5%0.1%1.5M-54.2M-595.9K0.469.78N/AN/A53724625,23732,740
2024-12-04$95.91$95.0014.9%4.3%16.8%12.6%15.8%2.7%-0.1%1.0M-47.7M-589.0K0.7616.86N/AN/A52340025,46532,764
2024-12-05$95.73$90.0015.2%4.3%15.4%14.6%15.8%3.0%0.1%627.5K-45.0M-587.2K0.3215.21N/AN/A59619125,48033,005
2024-12-06$95.49$90.0014.4%4.2%14.8%8.8%14.2%2.6%-0.1%1.1M-38.5M-590.5K0.2320.02N/AN/A1,30930225,78933,147
2024-12-09$95.81$90.0014.6%4.2%14.1%10.9%14.2%2.4%0.2%296.1K-47.4M-583.4K1.1020.11N/AN/A46751325,76233,195
2024-12-10$94.34$90.0015.1%4.5%15.1%14.0%15.4%2.1%0.7%-1.7M-21.9M-591.3K2.7624.57N/AN/A8462,33725,98333,727
2024-12-11$94.10$90.0014.8%4.5%14.4%12.4%15.7%1.4%1.0%-2.8M-6.2M-619.1K0.4112.70N/AN/A80233226,04535,667
2024-12-12$94.35$90.0015.2%4.5%14.2%15.1%15.8%1.7%0.6%-2.3M-11.3M-616.1K0.5711.66N/AN/A40222926,35435,843
2024-12-13$93.80$90.0014.6%4.3%13.6%10.5%15.1%1.9%0.7%-1.9M-432.8K-602.0K0.7438.82N/AN/A90467026,59435,781
2024-12-16$93.66$90.0015.9%4.6%13.6%20.5%15.8%1.2%0.5%-3.4M1.9M-601.1K0.2015.35N/AN/A66513126,22136,223
2024-12-17$93.06$90.0015.9%4.6%13.6%20.5%16.1%1.6%-0.1%-3.0M12.0M-582.1K0.8914.40N/AN/A86076926,24636,261
2024-12-18$89.45$90.0019.7%5.6%19.0%48.6%18.5%2.1%-0.2%-1.9M62.0M-553.7K0.3113.47N/AN/A2,02063126,37936,745
2024-12-19$88.40$90.0019.6%5.6%19.3%48.2%19.8%2.2%-0.2%-2.0M58.2M-544.5K0.9612.54N/AN/A2,7062,60527,38435,192
2024-12-20$89.68$90.0017.1%4.8%19.9%28.9%16.8%1.6%0.4%245.8K46.0M-586.3K0.2421.03N/AN/A1,50435927,88036,370
2024-12-23$88.72$91.0017.1%4.9%19.7%28.9%17.2%2.1%0.6%-1.5M61.8M-588.2K0.978.59N/AN/A1,3451,30221,07230,502
2024-12-24$89.30$91.0015.6%4.3%19.0%18.3%14.8%1.9%0.6%-414.5K44.7M-594.9K2.4712.83N/AN/A20650821,89629,500
2024-12-26$89.62$90.0015.3%4.3%18.9%15.4%14.7%2.2%0.9%49.2K39.2M-594.7K1.1511.51N/AN/A47854921,99129,413
2024-12-27$88.58$90.0016.4%4.7%18.6%23.8%16.0%1.8%0.6%-1.4M50.4M-575.9K0.6912.82N/AN/A1,02170122,32329,198
2024-12-30$88.41$90.0016.8%4.7%18.4%27.1%15.4%2.6%0.2%-1.7M51.2M-562.3K1.169.77N/AN/A8781,02121,39728,982
2024-12-31$88.86$90.0016.9%4.8%17.4%27.6%18.2%3.0%0.3%-1.1M40.9M-570.9K0.3413.74N/AN/A66822621,67028,821