VGIT Options History — February 2021 In February 2021, VGIT traded between $67.72 and $69.08. ATM implied volatility averaged 4.9%, placing in the 2.8% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.8% (HV 20d: 2.1%). Max pain ranged from $69.00 to $69.00. Net GEX was positive for 2 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 6.47.
Notable Days 2021-02-26 : Highest Volume — 130 contracts2021-02-22 : Largest IV spike — 77.5% change2021-02-22 : Highest IV Rank — 8.1%2021-02-22 : Largest Expected Move — 2.9%Monthly Statistics Metric Avg Min Max Open Close Price $68.64 $67.72 $69.08 $69.08 $67.99 Max Pain $69.00 $69.00 $69.00 $69.00 $69.00 ATM IV 4.9% 2.4% 10.2% 4.5% 6.9% Expected Move 1.5% 1.1% 2.9% 1.3% 2.0% HV 20d 2.1% 1.6% 4.0% 2.1% 4.0% HV 60d 2.7% 2.5% 3.3% 2.9% 3.3% IV Rank 2.8% 0.0% 8.1% 0.0% 4.6% IV Percentile 14.2% 0.0% 27.9% 0.0% 25.0% Term Structure -0.1% -2.4% 2.1% -0.5% -0.2% VWIV 6.0% 3.8% 8.3% 3.8% 8.3% Skew 25d 0.2% -7.1% 3.1% -1.0% 3.1% Skew 10d 3.1% -0.9% 13.8% -0.2% 2.2% Call IV 25d 5.0% 3.0% 14.1% 4.6% 4.6% Put IV 25d 5.2% 3.2% 10.6% 3.6% 7.7% Bid-Ask Spread % 94.70 69.68 133.86 90.28 91.41 Gamma HHI 0.33 0.21 0.58 0.32 0.46 Net GEX -27.5K -189.1K 2.6K -14.6K -189.1K Net DEX 140.6K 67.6K 631.6K 79.5K 631.6K Net VEX -461 -3.2K -104 -122 -3.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 6.47 0.00 32.33 0.00 0.00 Total Volume 19.789 0 130 0 130 Total OI 45.421 16 259 16 259
Daily Data (19 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 2021-02-01 $69.08 $0.00 4.5% 1.3% 2.1% 0.0% 0.0% -1.0% -0.5% -14.6K 79.5K -122 0.00 90.28 N/A N/A 0 0 0 16 2021-02-02 $68.99 $0.00 3.8% 1.1% 2.1% 0.0% 0.0% 0.3% -0.1% -14.3K 81.2K -117 0.00 106.45 N/A N/A 1 0 0 16 2021-02-03 $68.92 $0.00 4.4% 1.3% 2.1% 0.0% 0.0% 1.1% 0.2% -12.4K 80.2K -118 0.00 71.87 N/A N/A 0 0 1 16 2021-02-04 $68.92 $69.00 3.0% 1.3% 1.7% 0.0% 0.0% 1.1% 0.2% -12.2K 79.6K -123 0.00 88.30 N/A N/A 0 0 1 16 2021-02-05 $68.87 $69.00 2.4% 1.1% 1.7% 0.0% 0.0% -0.1% 0.6% -11.9K 80.3K -118 0.00 93.51 N/A N/A 0 0 1 16 2021-02-08 $68.84 $69.00 3.4% 1.2% 1.6% 1.0% 0.0% -0.5% -0.0% -12.2K 80.8K -115 0.00 89.11 N/A N/A 0 0 1 16 2021-02-09 $68.87 $69.00 2.5% 1.1% 1.6% 0.1% 0.0% -0.1% 0.4% -12.4K 80.5K -114 0.00 102.42 N/A N/A 0 0 1 16 2021-02-10 $68.97 $69.00 3.9% 1.1% 1.6% 1.5% 0.0% 0.1% 0.1% -13.3K 80.0K -107 0.00 98.15 N/A N/A 0 0 1 16 2021-02-11 $68.94 $69.00 3.8% 1.1% 1.6% 1.5% 3.8% -0.1% 0.2% -12.9K 80.1K -108 0.00 88.35 N/A N/A 3 0 1 16 2021-02-12 $68.81 $69.00 3.9% 1.1% 1.7% 1.5% 0.0% -0.3% 0.4% -4.0K 70.5K -129 0.00 82.69 N/A N/A 0 0 4 16 2021-02-16 $68.53 $69.00 3.8% 1.1% 2.0% 1.4% 0.0% 1.6% 2.1% -2.6K 75.7K -120 0.00 115.31 N/A N/A 0 0 4 16 2021-02-17 $68.58 $69.00 4.5% 1.3% 2.1% 2.1% 0.0% 0.9% 0.1% -799 78.2K -111 0.00 83.64 N/A N/A 0 0 4 16 2021-02-18 $68.58 $69.00 4.6% 1.3% 2.0% 2.2% 0.0% 0.7% -0.1% 1.7K 77.6K -111 0.00 94.31 N/A N/A 0 0 4 16 2021-02-19 $68.44 $69.00 5.7% 1.6% 2.1% 3.4% 0.0% 1.4% -0.5% 2.6K 82.1K -104 0.00 91.37 N/A N/A 0 0 4 16 2021-02-22 $68.38 $69.00 10.2% 2.9% 2.1% 8.1% 0.0% -7.1% -2.4% -7.7K 67.6K -154 0.00 115.71 N/A N/A 0 67 3 16 2021-02-23 $68.44 $69.00 5.4% 1.6% 2.0% 3.1% 0.0% 0.9% -0.5% -56.5K 172.0K -827 0.00 92.86 N/A N/A 1 0 3 83 2021-02-24 $68.34 $69.00 7.4% 2.1% 2.0% 5.2% 0.0% -0.6% -2.2% -35.7K 207.7K -1.1K 0.00 133.86 N/A N/A 0 74 4 83 2021-02-25 $67.72 $69.00 8.9% 2.5% 3.6% 6.7% 8.3% 2.0% -0.8% -114.8K 486.6K -1.9K 32.33 69.68 N/A N/A 3 97 4 157 2021-02-26 $67.99 $69.00 6.9% 2.0% 4.0% 4.6% 0.0% 3.1% -0.2% -189.1K 631.6K -3.2K 0.00 91.41 N/A N/A 130 0 5 254
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