VGIT Options History — January 2021

In January 2021, VGIT traded between $68.84 and $69.44. ATM implied volatility averaged 17.9%. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 14.7% (HV 20d: 3.2%). Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 8 of 19 days.

Notable Days

  • 2021-01-15: Highest Volume — 8 contracts
  • 2021-01-21: Largest IV spike — 323.0% change
  • 2021-01-21: Largest Expected Move — 28.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.07$68.84$69.44$69.44$69.08
ATM IV17.9%2.7%98.6%6.5%3.7%
Expected Move4.3%0.8%28.3%1.3%1.1%
HV 20d3.2%2.0%3.7%3.5%2.1%
HV 60d2.9%2.8%2.9%2.8%2.9%
Term Structure-7.4%-112.2%1.6%-0.1%1.5%
Skew 25d-0.8%-13.6%3.9%0.7%0.3%
Skew 10d3.0%-12.5%30.4%0.7%0.2%
Call IV 25d13.8%2.7%89.5%8.8%3.0%
Put IV 25d13.0%3.0%75.9%9.5%3.3%
Bid-Ask Spread %144.69100.00194.42147.81151.22
Gamma HHI0.300.220.390.390.33
Net GEX-6.5K-15.8K2.6K2.2K-14.9K
Net DEX89.4K52.9K131.9K92.8K80.6K
Net VEX-207-302-118-282-119
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume0.5790800
Total OI27.15816393616

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$69.44$0.006.5%1.3%3.5%0.0%0.0%0.7%-0.1%2.2K92.8K-2820.00147.81N/AN/A001026
2021-01-05$69.35$0.0017.9%4.4%3.5%0.0%0.0%0.3%-5.3%-3.7K80.7K-3020.00147.69N/AN/A001026
2021-01-06$69.12$0.0017.2%4.5%3.5%0.0%0.0%0.4%-3.8%-3.0K92.5K-2820.00148.16N/AN/A001026
2021-01-07$69.01$0.0024.4%4.6%3.5%0.0%0.0%0.4%-5.0%-4.0K87.1K-2860.00148.08N/AN/A001026
2021-01-08$68.91$0.0039.4%6.2%3.6%0.0%0.0%0.3%-7.1%-4.1K82.7K-2890.00148.08N/AN/A001026
2021-01-11$68.84$0.0010.6%1.3%3.5%0.0%0.0%0.6%-0.9%1.8K115.1K-2290.00148.09N/AN/A031026
2021-01-12$68.84$0.0030.0%3.2%3.4%0.0%0.0%-5.4%-3.8%-3.0K120.5K-2440.00148.04N/AN/A001029
2021-01-13$68.94$0.004.5%1.3%3.5%0.0%0.0%3.9%-0.6%880131.9K-2180.00146.41N/AN/A001029
2021-01-14$68.88$0.0016.8%4.8%3.5%0.0%0.0%-5.2%1.0%-5.5K112.9K-2290.00148.15N/AN/A001029
2021-01-15$69.02$0.0014.5%4.2%3.6%0.0%0.0%0.4%1.5%2.6K129.9K-2020.00148.00N/AN/A081029
2021-01-19$69.02$0.0015.4%4.4%3.6%0.0%0.0%0.1%-4.3%-9.3K68.4K-1920.00147.88N/AN/A00016
2021-01-20$69.06$0.0023.3%6.7%3.7%0.0%0.0%0.7%-6.3%-5.4K60.9K-2090.00147.98N/AN/A00016
2021-01-21$69.01$0.0098.6%28.3%3.7%0.0%0.0%-13.6%-112.2%-1.9K52.9K-2120.00194.42N/AN/A00016
2021-01-22$69.08$0.002.7%0.8%3.7%0.0%0.0%1.3%1.2%-14.9K80.8K-1230.00114.18N/AN/A00016
2021-01-25$69.19$0.003.3%1.0%2.0%0.0%0.0%-0.8%0.2%-15.6K78.6K-1250.00148.19N/AN/A00016
2021-01-26$69.19$0.003.9%1.1%2.0%0.0%0.0%-0.6%0.3%-15.8K78.8K-1200.00100.00N/AN/A00016
2021-01-27$69.24$0.003.3%1.0%2.0%0.0%0.0%0.9%1.1%-14.5K72.6K-1500.00115.36N/AN/A00016
2021-01-28$69.15$0.003.8%1.1%2.1%0.0%0.0%0.5%1.6%-15.8K79.6K-1180.00151.39N/AN/A00016
2021-01-29$69.08$0.003.7%1.1%2.1%0.0%0.0%0.3%1.5%-14.9K80.6K-1190.00151.22N/AN/A00016