VGIT Options History — September 2020 In September 2020, VGIT traded between $70.34 and $70.58. ATM implied volatility averaged 22.4%. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 20.6% (HV 20d: 1.8%). Max pain ranged from $71.00 to $71.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2020-09-17 : Highest Volume — 2 contracts2020-09-08 : Largest IV spike — 105.6% change2020-09-02 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $70.48 $70.34 $70.58 $70.48 $70.49 Max Pain $71.00 $71.00 $71.00 $71.00 $71.00 ATM IV 22.4% 11.2% 35.5% 28.4% 24.2% Expected Move 6.1% 2.6% 8.3% 8.2% 6.9% HV 20d 1.8% 1.6% 2.1% 1.7% 1.6% Term Structure -9.2% -21.1% 8.3% -19.7% -21.1% VWIV 15.0% 14.0% 15.9% 14.0% 15.9% Skew 25d 0.8% -15.3% 13.8% 0.2% 2.2% Skew 10d 3.9% -1.0% 14.7% 1.8% 9.0% Call IV 25d 23.4% 6.0% 39.3% 37.3% 15.0% Put IV 25d 24.2% 12.7% 39.8% 37.5% 17.2% Bid-Ask Spread % 188.19 181.69 195.49 191.12 188.22 Gamma HHI 0.26 0.20 0.50 0.30 0.25 Net GEX -4.4K -8.4K 5.5K -353 -7.1K Net DEX 82.4K 67.9K 104.6K 93.3K 84.9K Net VEX -579 -650 -533 -600 -542 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.238 0 2 0 0 Total OI 42.905 41 44 43 44
Daily Data (21 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 2020-09-01 $70.48 $0.00 28.4% 8.2% 1.7% 0.0% 0.0% 0.2% -19.7% -353 93.3K -600 0.00 191.12 N/A N/A 0 0 13 30 2020-09-02 $70.51 $0.00 29.1% 8.3% 1.7% 0.0% 0.0% 0.5% -10.0% -4.3K 68.8K -650 0.00 195.49 N/A N/A 0 0 13 30 2020-09-03 $70.58 $71.00 26.1% 7.9% 1.7% 0.0% 0.0% -5.1% -21.0% -7.5K 67.9K -639 0.00 191.68 N/A N/A 0 0 13 30 2020-09-04 $70.34 $71.00 17.3% 2.6% 2.0% 0.0% 0.0% 0.1% -1.2% -7.2K 90.4K -600 0.00 188.57 N/A N/A 0 0 13 30 2020-09-08 $70.44 $71.00 35.5% 5.7% 2.1% 0.0% 0.0% 0.1% -6.4% -4.4K 70.3K -627 0.00 189.74 N/A N/A 0 0 13 30 2020-09-09 $70.42 $71.00 11.2% 3.2% 2.0% 0.0% 0.0% 10.8% -1.6% -6.0K 83.2K -603 0.00 188.62 N/A N/A 0 0 13 30 2020-09-10 $70.47 $71.00 14.9% 4.3% 1.9% 0.0% 0.0% 0.1% -7.0% -5.1K 73.7K -613 0.00 185.27 N/A N/A 0 0 13 30 2020-09-11 $70.52 $71.00 20.8% 6.0% 1.9% 0.0% 0.0% -0.1% -7.4% -4.3K 68.8K -618 0.00 189.81 N/A N/A 0 0 13 30 2020-09-14 $70.49 $71.00 17.7% 5.1% 1.9% 0.0% 0.0% 6.7% -13.6% 2.1K 104.6K -533 0.00 181.86 N/A N/A 0 0 13 30 2020-09-15 $70.49 $71.00 22.0% 6.3% 1.9% 0.0% 0.0% 13.1% -8.3% 5.5K 101.5K -542 0.00 181.69 N/A N/A 0 0 13 30 2020-09-16 $70.44 $71.00 22.4% 6.4% 1.8% 0.0% 0.0% 13.8% -8.7% 5.2K 102.5K -541 0.00 181.80 N/A N/A 0 0 13 30 2020-09-17 $70.45 $71.00 22.8% 6.5% 1.8% 0.0% 14.0% 0.4% -6.1% -4.3K 72.0K -589 0.00 189.50 N/A N/A 2 0 13 30 2020-09-18 $70.42 $71.00 18.6% 5.3% 1.7% 0.0% 0.0% 0.0% -15.5% -7.3K 92.0K -547 0.00 188.47 N/A N/A 0 0 11 30 2020-09-21 $70.49 $71.00 24.1% 6.9% 1.8% 0.0% 0.0% 0.0% -7.3% -5.4K 75.9K -564 0.00 188.74 N/A N/A 0 0 11 30 2020-09-22 $70.49 $71.00 24.3% 7.0% 1.8% 0.0% 0.0% 0.0% -7.4% -6.3K 78.3K -553 0.00 188.81 N/A N/A 1 0 11 30 2020-09-23 $70.49 $71.00 20.2% 5.8% 1.7% 0.0% 15.9% -15.3% -16.7% -8.4K 79.3K -547 0.00 188.81 N/A N/A 0 2 12 30 2020-09-24 $70.51 $71.00 18.3% 5.3% 1.7% 0.0% 0.0% 4.8% 3.4% -7.6K 84.1K -569 0.00 188.74 N/A N/A 0 0 12 32 2020-09-25 $70.55 $71.00 17.6% 5.1% 1.6% 0.0% 0.0% -0.3% 8.3% -7.6K 81.4K -566 0.00 188.43 N/A N/A 0 0 12 32 2020-09-28 $70.53 $71.00 27.1% 7.8% 1.6% 0.0% 0.0% -1.0% -15.4% -6.3K 79.5K -558 0.00 188.43 N/A N/A 0 0 12 32 2020-09-29 $70.58 $71.00 28.2% 8.1% 1.6% 0.0% 0.0% -14.0% -10.1% -5.4K 78.4K -556 0.00 188.16 N/A N/A 0 0 12 32 2020-09-30 $70.49 $71.00 24.2% 6.9% 1.6% 0.0% 0.0% 2.2% -21.1% -7.1K 84.9K -542 0.00 188.22 N/A N/A 0 0 12 32
« Aug 2020 | All History | Oct 2020 » Home VGIT History September 2020