Options/VNQ

VNQVanguard Real Estate ETF

Options Analysis Report

AUM $73.1B|ARCX

● 2026-08-31$97.24

BEARISH

Analysis: 2026-08-28 EOD data

1Y +7.2%YTD +9.9%7D -1.9%

Options Vol

673

30D

Implied Move

±3.6%

IV Rank

VNQ Options Overview

IV is low with bearish flow. Conditions favor option buyers.

REWARDS

RISK ANALYSIS

Snowflake Analysis

Favorable conditions for option buyers

Learn

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VNQ Gamma Walls

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VNQ Hedge Radar

Neutral

Full Hedge Radar

Neither score is at an extreme today. Neither axis is a forecast — this is where VNQ sits on protection cost vs. fragility today.

Protection is priced in the fair band (4.41) — implied vol sits in the 2th percentile of its own past year, and downside puts carry 1.1 IV points more than at-the-money, measured against this name's own rolling 21-trading-day realized moves (483 overlapping windows). Fragility reads neutral (4.85): it is trading 1% above its hedge wall on a wall graded HIGH for reliability, and its realized-vol regime is stable.

Protection cost

4.41/ 10fair

Basis: cross_sectional

Fragility

4.85/ 10neutral

Basis: per_ticker

Value

Is IV priced right?

8.7

ExpensiveCheap

Measures whether options are cheap, fair, or rich relative to historical and peer

levels.

Risk Checks7/9 checks passed

IV Rank

≤35%

IV Rank 8.4% — cheap vs history

IV/HV Ratio

<1.05x

IV/HV 1.27x — IV premium over HV

Sector Relative≤50%

Sector percentile 15% — below sector median

Term Structure

<1.1x

Front/Back 0.82x — contango

Skew Normal

<1.25x

Put/Call IV 1.16x — elevated

Absolute IV

<80%

ATM IV 14.5% — normal range

Spread-Adjusted Value

<80%

Effective IV 52.0% (ATM 14.5% + spread 18.8% + bias) — good value

Execution Efficiency

<3.0%

Total drag 28.57% (spread 18.76% + slippage 9.81%) — high friction

Vega Efficiency

≥5.0

Vega efficiency 12.39 (vega 23.236 / spread 18.76%) — efficient

Sentiment

Bullish or bearish?

1.1

BearishBullish

Analyzes

put/call ratios

open interest skew

, and flow direction to determine market bias.

Risk ChecksVery Bearish - Strong signal (Conviction: -69%, Raw: -59%)

Flow Direction

|net sentiment| ≥25%

Conviction-weighted: -69% (strong bearish) — Raw: -59%

OI Skew Magnitude

≥15%

|OI skew| 15.8% — put-heavy

Volume-OI Alignment

Same sign, |vol skew| ≥10%

Vol skew -42.1%, OI skew -15.8% — aligned

Conviction Quality

≥2/3 conditions

0-DTE 0%, far-OTM 15%, avg DTE 30

OI Momentum

|change| ≥3%

OI change +0.0% (5d) — stable

Smart Money Flow

|weighted flow| ≥20%

ITM: +100%, ATM: -75%, OTM: +30% — strong bullish (ITM/ATM divergent)

Sector Relative≤40% or ≥60%

Sector P/C percentile 94% — very bearish vs sector

Activity

Unusual activity?

3.9

QuietActive

Detects volume surges,

block trades

, and unusual options activity that may signal moves.

Risk Checks2/8 checks passed

Volume Surge

≥1.5x

Volume 0.8x avg — normal

Turnover Rate

≥15%

Vol/OI 2.2% — normal turnover

Multi-Day Persistence

≥2 days

1 day(s) elevated — may be one-day event

OI Build

≥5%

OI change +3.0% (5d) — building

Sector Relative≥60%

Sector activity percentile 49% — neutral vs sector

Trade Quality

≥30%

Large trade volume 59% — heavy institutional

Execution Urgency

≥60%

Aggressive execution 35% — patient

Flow Conviction

≥30

Conviction -69 (bearish) — strong conviction

Liquidity

Can I trade efficiently?

3.5

IlliquidLiquid

Evaluates

bid-ask spreads

, volume depth, and open interest for trade execution quality.

Risk Checks4/8 checks passed

Tradeable Spread

≤5.0%

Spread 18.8% — wide

Adequate OI

≥10,000

OI 30,831 — adequate

Active Volume

≥500

Volume 673/day — adequate

Reasonable Cost

≤$0.50

$0.94 to cross — expensive

Strike Coverage

≥5 strikes

0 liquid strikes — limited options

Sector Relative≤40%

Sector spread percentile 36% — tighter than sector

Order Book Depth

≥100 contracts

Depth 120.5 contracts (bid:52.6 ask:67.9) — adequate

Execution Quality

<1.0%

Avg slippage 9.81% — poor

Timing

Is now a good time?

7.4

RiskyFavorable

Considers earnings proximity,

time decay

, and event calendar for optimal entry timing.

Risk Checks8/9 checks passed

Term Structure Clarity

|slope| ≥5%

Slope -17.5% — contango

IV Percentile Clarity

<30 or >70

IV percentile 8% — buyer opportunity

Event Detection

≥10pts kink

IV kink -1.9pts — no clear event

Theta/Vega Clarity

<0.5 or >2.0

θ/ν ratio 1636.37 — favors income trades

Expiration Distribution

≥3 expirations

3 liquid expirations — flexible

Event Risk

≥60% (safe)

safe window: No earnings detected

Spread Momentum

<1.2 ratio

Spread ratio 1.00x — stable

Flow Momentum

≥25% strength + ≥50% consistency

Flow -69% @ 85% consistency — STRONG directional (bearish)

Smart Money Timing

≥40 composite score

Score 89 (ITM 20% + inst 59%) — HIGH institutional

Directional Strategy Fit

Option Buyers

Long Calls5.0

bullishIV cheap, bearish flow

Long Puts8.6

bearishIV cheap, bearish flow

Premium Sellers

Cash-Secured Put2.6

bullishIV too cheap, bearish flow

Covered Call5.3

bearishIV too cheap, bearish flow

For educational purposes only. Not investment advice.

The Options Desk tracks the move options price into every US earnings report the week of Aug 31, next to how much each stock has actually moved on its past prints — plus the SPY, QQQ and IWM expected ranges and the gamma walls that box them in.

More on VNQ

VNQ gamma walls VNQ max pain VNQ IV rank VNQ options flow