VGIT Options History — March 2021

In March 2021, VGIT traded between $67.26 and $68.12. ATM implied volatility averaged 6.4%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 2.3% (HV 20d: 4.1%). Max pain ranged from $68.51 to $69.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 15.16.

Notable Days

  • 2021-03-31: Highest Volume — 180 contracts
  • 2021-03-08: Largest IV spike — 55.6% change
  • 2021-03-01: Highest IV Rank — 9.1%
  • 2021-03-08: Largest Expected Move — 3.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.59$67.26$68.12$67.99$67.26
Max Pain$68.57$68.51$69.00$69.00$68.51
ATM IV6.4%5.5%11.2%11.2%5.7%
Expected Move1.9%1.6%3.4%3.2%1.6%
HV 20d4.1%2.9%4.7%4.0%2.9%
HV 60d3.3%3.1%3.5%3.3%3.1%
IV Rank4.1%3.2%9.1%9.1%3.4%
IV Percentile23.1%18.4%32.6%32.6%18.4%
Term Structure0.0%-11.1%7.6%5.0%-0.5%
VWIV7.3%4.9%17.3%6.6%6.2%
Skew 25d2.7%-0.5%22.9%10.1%1.7%
Skew 10d7.8%-7.2%29.0%-7.2%6.5%
Call IV 25d5.4%3.9%9.5%9.5%5.0%
Put IV 25d8.1%4.6%27.8%19.7%6.7%
Bid-Ask Spread %99.5368.64192.59121.67125.56
Gamma HHI0.310.240.370.330.33
Net GEX-185.9K-372.1K2.5K-43.4K-268.9K
Net DEX678.2K109.9K1.1M270.4K855.1K
Net VEX-5.6K-6.6K-4.2K-4.6K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.160.00135.000.000.00
Total Volume27.957018042180
Total OI516.391372700388601

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$67.99$69.0011.2%3.2%4.0%9.1%0.0%10.1%5.0%-43.4K270.4K-4.6K0.00121.67N/AN/A420134254
2021-03-02$68.12$69.005.5%1.6%4.1%3.2%0.0%0.6%-0.6%2.5K109.9K-4.7K0.0068.64N/AN/A580176254
2021-03-03$67.91$69.006.6%1.9%4.2%4.3%6.6%-0.3%-0.4%-87.2K355.5K-4.3K0.0093.18N/AN/A06118254
2021-03-04$67.73$68.516.8%1.9%4.2%4.5%0.0%2.1%-0.7%-100.2K480.4K-4.4K0.0087.22N/AN/A00118260
2021-03-05$67.67$68.516.1%1.8%4.2%3.8%0.0%1.5%-0.1%-108.5K509.4K-4.3K0.0078.29N/AN/A00118260
2021-03-08$67.49$68.519.4%3.4%4.3%7.3%0.0%-0.5%-11.1%-133.9K562.1K-4.2K0.00192.59N/AN/A092118260
2021-03-09$67.63$68.516.1%1.8%4.4%3.8%0.0%1.8%-0.3%-186.5K750.3K-5.5K0.0079.22N/AN/A00118352
2021-03-10$67.74$68.515.7%1.6%4.5%3.4%4.9%1.5%0.2%-188.2K691.3K-5.5K0.0080.67N/AN/A20118352
2021-03-11$67.76$68.516.1%1.7%4.4%3.8%0.0%22.9%-0.3%-178.0K687.0K-5.5K0.00128.36N/AN/A00120352
2021-03-12$67.49$68.516.3%1.8%4.5%4.0%0.0%1.1%-0.2%-195.0K823.4K-5.5K0.0078.35N/AN/A00120352
2021-03-15$67.52$68.516.1%1.7%4.6%3.8%17.3%2.5%-0.1%-201.1K812.5K-5.4K0.00100.46N/AN/A06120352
2021-03-16$67.56$68.516.2%1.8%4.4%3.9%6.2%2.8%-0.2%-207.0K809.6K-5.3K135.00111.56N/AN/A1135120357
2021-03-17$67.58$68.515.8%1.7%4.4%3.5%5.9%1.1%-0.1%-369.2K1.0M-5.9K0.5095.21N/AN/A21121490
2021-03-18$67.38$68.516.2%1.8%4.5%4.0%5.4%5.8%4.4%-372.1K1.1M-5.9K0.16120.33N/AN/A9315123491
2021-03-19$67.30$68.516.1%1.8%4.5%3.8%6.1%1.3%-1.4%-338.1K1.1M-6.6K0.5083.75N/AN/A21214486
2021-03-22$67.42$68.516.1%1.7%4.6%3.8%6.2%1.4%7.6%-174.5K727.9K-6.5K0.25118.09N/AN/A41214380
2021-03-23$67.59$68.515.9%1.7%4.7%3.6%0.0%1.0%-0.2%-162.9K583.8K-6.4K0.0085.54N/AN/A00218381
2021-03-24$67.63$68.515.9%1.7%4.7%3.6%0.0%0.7%-1.8%-171.3K550.5K-6.3K0.0083.59N/AN/A00218381
2021-03-25$67.63$68.515.8%1.7%3.4%3.5%0.0%0.5%0.9%-164.1K553.5K-6.3K0.0087.04N/AN/A00218381
2021-03-26$67.51$68.515.9%1.7%3.1%3.6%0.0%0.1%2.3%-187.6K652.0K-6.3K0.0087.13N/AN/A02220381
2021-03-29$67.38$68.516.1%1.7%3.1%3.8%0.0%1.6%-2.5%-210.6K757.5K-6.3K0.0086.72N/AN/A00220381
2021-03-30$67.33$68.515.7%1.6%3.0%3.4%0.0%1.5%0.7%-229.9K799.2K-6.1K0.0096.14N/AN/A00220381
2021-03-31$67.26$68.515.7%1.6%2.9%3.4%0.0%1.7%-0.5%-268.9K855.1K-5.9K0.00125.56N/AN/A1800220381