VGIT Options History — December 2020

In December 2020, VGIT traded between $69.30 and $69.95. ATM implied volatility averaged 13.9%. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 11.1% (HV 20d: 2.7%). Max pain ranged from $69.51 to $70.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.13.

Notable Days

  • 2020-12-01: Highest Volume — 10 contracts
  • 2020-12-29: Largest IV spike — 437.8% change
  • 2020-12-16: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.71$69.30$69.95$69.74$69.42
Max Pain$69.88$69.51$70.00$70.00$69.51
ATM IV13.9%4.4%30.6%5.5%17.8%
Expected Move3.6%1.2%8.1%1.6%5.1%
HV 20d2.7%2.0%3.8%3.2%3.5%
HV 60d2.4%2.2%2.9%2.2%2.8%
Term Structure-0.3%-12.7%14.6%-1.6%5.5%
VWIV12.4%9.3%15.5%15.5%9.3%
Skew 25d0.4%-2.8%4.3%2.1%0.3%
Skew 10d0.5%-3.8%4.8%-3.8%1.5%
Call IV 25d14.9%6.6%36.8%10.4%36.8%
Put IV 25d15.3%6.9%37.1%12.4%37.1%
Bid-Ask Spread %172.57129.77182.41140.81164.21
Gamma HHI0.300.230.490.230.30
Net GEX-1.8K-9.9K13.0K-8.6K-790
Net DEX54.4K076.5K70.5K44.1K
Net VEX-421-5150-410-382
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.000.250.250.00
Total Volume1.0910101010
Total OI43.4550483545

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$69.74$70.005.5%1.6%3.2%0.0%0.0%2.1%-1.6%-8.6K70.5K-4100.25140.81N/AN/A821124
2020-12-02$69.70$70.006.1%1.8%3.1%0.0%0.0%-2.8%5.6%-3.5K51.1K-5120.00140.22N/AN/A001926
2020-12-03$69.81$70.0021.0%3.7%2.7%0.0%0.0%0.4%-1.8%-1.4K36.1K-5150.00181.31N/AN/A011925
2020-12-04$69.69$70.0030.6%4.4%2.7%0.0%0.0%0.1%1.9%56546.5K-5110.00182.18N/AN/A001926
2020-12-07$69.81$70.006.4%1.3%2.8%0.0%15.5%0.2%-0.4%-2.0K57.6K-4630.00182.34N/AN/A021926
2020-12-08$69.83$70.006.2%1.2%2.3%0.0%0.0%0.4%-0.4%-4.3K68.3K-4660.00182.09N/AN/A001928
2020-12-09$69.77$70.0016.3%4.7%2.3%0.0%0.0%0.5%1.5%-46255.3K-5020.00182.25N/AN/A001928
2020-12-10$69.87$70.004.4%1.3%2.3%0.0%0.0%0.3%-0.3%-3.1K64.7K-4630.00182.41N/AN/A001928
2020-12-11$69.95$70.006.2%1.8%2.1%0.0%0.0%0.1%-3.3%-9.9K70.2K-4150.00182.09N/AN/A001928
2020-12-14$69.95$70.0018.1%5.2%2.1%0.0%0.0%0.3%-9.0%-3.0K46.7K-4850.00182.13N/AN/A011928
2020-12-15$69.92$70.007.5%2.2%2.1%0.0%0.0%0.3%-2.7%-5.1K66.6K-4530.00182.09N/AN/A001929
2020-12-16$69.91$70.0028.1%8.1%2.0%0.0%0.0%-0.0%-12.7%-2.5K55.9K-4760.00182.13N/AN/A001929
2020-12-17$69.87$70.0010.2%2.9%2.0%0.0%0.0%0.3%14.6%-4.4K66.7K-4430.00181.09N/AN/A001929
2020-12-18$69.85$70.004.5%1.3%2.0%0.0%0.0%4.3%12.7%-4.2K76.5K-4160.00182.13N/AN/A001929
2020-12-21$69.85$70.0022.9%6.6%2.0%0.0%0.0%0.2%5.0%-3.8K45.6K-4350.00181.82N/AN/A001926
2020-12-22$69.92$70.0010.5%3.0%2.0%0.0%0.0%0.1%1.8%-1.7K48.2K-4230.00181.62N/AN/A001926
2020-12-23$69.30$0.0024.8%7.1%3.8%0.0%0.0%0.1%-7.3%0000.00181.73N/AN/A0000
2020-12-24$69.37$69.519.3%2.7%3.8%0.0%0.0%-0.1%-0.9%4.6K63.9K-3740.00133.30N/AN/A001926
2020-12-28$69.37$69.515.1%1.4%3.7%0.0%0.0%1.6%-1.1%13.0K68.7K-3460.00129.77N/AN/A001926
2020-12-29$69.37$69.5127.2%7.8%3.7%0.0%0.0%-0.3%-8.1%-13443.2K-3970.00181.77N/AN/A001926
2020-12-30$69.38$69.5116.1%4.6%3.5%0.0%0.0%0.3%-5.7%1.6K49.4K-3820.00177.00N/AN/A001926
2020-12-31$69.42$69.5117.8%5.1%3.5%0.0%9.3%0.3%5.5%-79044.1K-3820.00164.21N/AN/A1001926