VGIT Options History — October 2020

In October 2020, VGIT traded between $69.98 and $70.44. ATM implied volatility averaged 21.7%. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 19.9% (HV 20d: 1.8%). Max pain ranged from $70.00 to $71.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.11.

Notable Days

  • 2020-10-19: Highest Volume — 10 contracts
  • 2020-10-09: Largest IV spike — 696.7% change
  • 2020-10-02: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.18$69.98$70.44$70.44$69.99
Max Pain$70.09$70.00$71.00$71.00$70.00
ATM IV21.7%4.9%62.0%29.9%5.2%
Expected Move4.3%1.4%9.1%8.6%1.5%
HV 20d1.8%1.5%2.0%1.7%2.0%
HV 60d1.8%1.7%1.8%1.8%1.7%
Term Structure-4.4%-11.5%-0.5%-11.5%-0.5%
Skew 25d2.9%-5.5%16.0%-4.0%0.4%
Skew 10d1.2%-10.1%16.0%13.1%-0.4%
Call IV 25d21.6%9.4%37.2%37.2%12.2%
Put IV 25d24.4%9.8%41.1%33.3%12.6%
Bid-Ask Spread %196.99188.69198.42188.69196.99
Gamma HHI0.230.220.310.230.23
Net GEX-6.6K-12.3K-4.1K-5.3K-7.5K
Net DEX83.8K51.0K159.9K82.2K62.4K
Net VEX-495-542-401-542-488
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.110.110.110.11
Total Volume0.59101000
Total OI40.09124474434

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$70.44$71.0029.9%8.6%1.7%0.0%0.0%-4.0%-11.5%-5.3K82.2K-5420.00188.69N/AN/A001232
2020-10-02$70.38$71.0031.9%9.1%1.6%0.0%0.0%8.6%-11.3%-4.6K79.4K-5410.00192.65N/AN/A001232
2020-10-05$70.17$70.0034.0%5.3%1.5%0.0%0.0%-0.1%-4.5%-5.4K85.2K-5210.00198.08N/AN/A001232
2020-10-06$70.26$70.0028.0%4.2%1.5%0.0%0.0%0.9%-4.5%-5.6K84.3K-5160.00198.38N/AN/A031232
2020-10-07$70.12$70.0029.6%4.3%1.6%0.0%0.0%4.2%-4.8%-6.6K102.1K-5200.00197.78N/AN/A001235
2020-10-08$70.20$70.007.8%1.4%1.7%0.0%0.0%-0.9%-0.6%-10.4K129.8K-4690.00198.08N/AN/A001235
2020-10-09$70.16$70.0062.0%4.8%1.7%0.0%0.0%0.3%-7.3%-4.9K90.1K-5130.00198.42N/AN/A001235
2020-10-12$70.20$70.0035.3%1.4%1.7%0.0%0.0%14.0%-0.8%-8.2K126.5K-4570.00198.08N/AN/A001235
2020-10-13$70.30$70.0043.2%4.6%1.8%0.0%0.0%0.4%-5.6%-6.7K98.0K-4720.00198.01N/AN/A001235
2020-10-14$70.31$70.004.9%1.4%1.8%0.0%0.0%1.0%-0.8%-9.2K119.8K-4400.00194.88N/AN/A001235
2020-10-15$70.27$70.0016.5%4.7%1.8%0.0%0.0%15.8%-4.4%-6.7K101.8K-4440.00197.81N/AN/A001235
2020-10-16$70.26$70.0014.4%4.1%1.8%0.0%0.0%1.1%-4.2%-12.3K159.9K-4060.00198.01N/AN/A001235
2020-10-19$70.19$70.0015.1%4.3%1.7%0.0%0.0%1.1%-4.7%-7.5K82.0K-4010.11197.93N/AN/A91123
2020-10-20$70.13$70.004.9%1.4%1.8%0.0%0.0%0.4%-0.8%-7.4K58.8K-5160.00197.78N/AN/A001024
2020-10-21$70.09$70.0015.6%4.5%1.8%0.0%0.0%0.9%-5.2%-4.9K54.0K-5320.00197.53N/AN/A001024
2020-10-22$69.98$70.0012.7%3.6%1.8%0.0%0.0%16.0%-3.7%-6.3K58.5K-5170.00197.26N/AN/A001024
2020-10-23$70.01$70.0012.9%3.7%1.8%0.0%0.0%-5.5%-5.4%-6.6K58.0K-5150.00197.26N/AN/A001024
2020-10-26$70.12$70.0017.1%4.9%1.9%0.0%0.0%8.6%-3.0%-5.0K52.7K-5200.00197.64N/AN/A001024
2020-10-27$70.19$70.0019.1%5.5%1.9%0.0%0.0%0.1%-6.2%-4.3K51.0K-5210.00197.61N/AN/A001024
2020-10-28$70.17$70.0019.6%5.6%1.9%0.0%0.0%0.1%-6.5%-4.1K51.2K-5190.00197.56N/AN/A001024
2020-10-29$70.03$70.0016.9%4.9%2.0%0.0%0.0%-0.1%-1.4%-5.3K55.3K-5120.00197.39N/AN/A001024
2020-10-30$69.99$70.005.2%1.5%2.0%0.0%0.0%0.4%-0.5%-7.5K62.4K-4880.00196.99N/AN/A001024