VGIT Options History — November 2020

In November 2020, VGIT traded between $69.63 and $70.16. ATM implied volatility averaged 20.9%. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 18.2% (HV 20d: 2.7%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2020-11-10: Highest Volume — 2 contracts
  • 2020-11-24: Largest IV spike — 242.0% change
  • 2020-11-27: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.91$69.63$70.16$69.92$70.01
Max Pain$70.00$70.00$70.00$70.00$70.00
ATM IV20.9%5.0%28.7%21.8%24.2%
Expected Move5.8%1.4%7.4%6.2%6.9%
HV 20d2.7%1.7%3.0%1.7%2.9%
HV 60d2.1%1.7%2.2%1.7%2.2%
Term Structure-8.9%-24.3%13.2%-8.9%-4.0%
Skew 25d1.2%-1.4%11.7%-0.0%1.1%
Skew 10d1.3%-2.4%12.1%-1.8%1.6%
Call IV 25d24.0%11.1%38.2%37.2%34.2%
Put IV 25d25.1%9.7%38.0%37.2%35.3%
Bid-Ask Spread %197.74194.85200.00197.09194.85
Gamma HHI0.220.210.270.270.21
Net GEX-4.5K-8.6K-2.3K-2.3K-4.6K
Net DEX61.7K51.7K73.5K60.7K60.8K
Net VEX-466-499-418-489-428
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.20202
Total OI34.233363433

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$69.92$70.0021.8%6.2%1.7%0.0%0.0%-0.0%-8.9%-2.3K60.7K-4890.00197.09N/AN/A001024
2020-11-03$69.84$70.0022.0%6.3%1.7%0.0%0.0%-0.2%-9.3%-4.7K57.1K-4960.00196.79N/AN/A001024
2020-11-04$70.16$70.0021.3%6.1%2.3%0.0%0.0%0.0%-6.3%-4.1K51.7K-4990.00196.67N/AN/A001024
2020-11-05$70.13$70.0028.7%5.5%2.3%0.0%0.0%1.6%-3.0%-4.0K51.7K-4980.00200.00N/AN/A001024
2020-11-06$69.99$70.0016.7%4.5%2.4%0.0%0.0%11.7%-14.6%-4.6K57.5K-4870.00200.00N/AN/A001024
2020-11-09$69.69$70.0022.1%5.8%2.8%0.0%0.0%-0.3%-18.2%-3.7K58.9K-4790.00199.58N/AN/A001024
2020-11-10$69.63$70.0023.2%5.8%2.7%0.0%0.0%-0.6%-18.0%-3.6K59.9K-4760.00199.18N/AN/A021024
2020-11-11$69.67$70.0020.5%5.9%2.7%0.0%0.0%8.8%-18.2%-5.5K73.5K-4860.00199.17N/AN/A001026
2020-11-12$69.88$70.0020.5%5.9%3.0%0.0%0.0%0.6%-18.8%-4.0K61.6K-4820.00199.78N/AN/A001025
2020-11-13$69.83$70.0020.8%6.0%3.0%0.0%0.0%0.4%-19.1%-4.1K63.0K-4770.00200.00N/AN/A001025
2020-11-16$69.83$70.0021.5%6.2%3.0%0.0%0.0%0.4%-4.4%-4.2K61.6K-4700.00199.78N/AN/A001025
2020-11-17$69.92$70.0021.5%6.2%3.0%0.0%0.0%0.0%-4.5%-4.2K61.7K-4640.00200.00N/AN/A001025
2020-11-18$69.90$70.0021.9%6.3%3.0%0.0%0.0%0.7%-4.7%-4.6K61.8K-4630.00195.26N/AN/A001025
2020-11-19$69.94$70.0019.1%5.5%3.0%0.0%0.0%-0.1%-2.3%-5.2K64.9K-4500.00196.09N/AN/A001025
2020-11-20$69.99$70.0019.4%5.6%3.0%0.0%0.0%-1.2%-2.5%-5.1K64.7K-4460.00196.09N/AN/A001025
2020-11-23$69.94$70.005.0%1.4%2.9%0.0%0.0%-1.4%13.2%-8.6K70.9K-4180.00196.09N/AN/A00924
2020-11-24$69.91$70.0016.9%4.9%2.9%0.0%0.0%0.3%-2.9%-5.0K65.1K-4350.00196.18N/AN/A00924
2020-11-25$69.92$70.0024.6%7.1%2.9%0.0%0.0%-0.2%-7.1%-4.1K64.8K-4340.00196.09N/AN/A00924
2020-11-27$70.01$70.0025.7%7.4%2.9%0.0%0.0%1.5%-24.3%-4.6K61.4K-4340.00196.06N/AN/A00924
2020-11-30$70.01$70.0024.2%6.9%2.9%0.0%0.0%1.1%-4.0%-4.6K60.8K-4280.00194.85N/AN/A20924