VGIT Options History — April 2021

In April 2021, VGIT traded between $67.17 and $67.76. ATM implied volatility averaged 5.5%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 2.7% (HV 20d: 2.8%). Max pain ranged from $67.00 to $68.51. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2021-04-13: Highest Volume — 398 contracts
  • 2021-04-09: Largest IV spike — 101.5% change
  • 2021-04-09: Highest IV Rank — 8.6%
  • 2021-04-05: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.55$67.17$67.76$67.31$67.59
Max Pain$67.88$67.00$68.51$68.51$67.00
ATM IV5.5%4.2%10.7%5.5%4.5%
Expected Move1.7%1.2%3.0%1.6%1.3%
HV 20d2.8%2.6%3.0%2.8%2.6%
HV 60d3.3%3.1%3.3%3.1%3.3%
IV Rank3.2%1.9%8.6%3.1%2.2%
IV Percentile17.8%8.6%42.6%17.1%12.0%
Term Structure-0.9%-4.6%0.3%-1.3%-0.1%
VWIV4.7%4.6%4.8%4.6%4.8%
Skew 25d0.3%-5.7%4.2%0.8%0.1%
Skew 10d6.2%-0.3%15.8%10.0%15.8%
Call IV 25d6.7%4.4%14.2%5.0%5.2%
Put IV 25d7.0%4.5%14.3%5.9%5.3%
Bid-Ask Spread %125.8287.83162.8487.83128.38
Gamma HHI0.340.290.450.450.35
Net GEX-32.8K-339.7K108.6K-84.5K97.2K
Net DEX-136.1K-547.2K411.3K282.6K-430.2K
Net VEX-7.5K-8.6K-6.0K-8.5K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.003.021.000.00
Total Volume25.619039800
Total OI782.048726896781727

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-04-01$67.31$68.515.5%1.6%2.8%3.1%0.0%0.8%-1.3%-84.5K282.6K-8.5K0.0087.83N/AN/A00400381
2021-04-05$67.17$0.005.3%3.0%2.9%3.0%0.0%0.1%-4.6%-135.7K411.3K-8.3K1.00162.84N/AN/A11400381
2021-04-06$67.41$0.005.3%1.9%3.0%2.9%0.0%-5.7%-0.9%-122.1K160.1K-8.2K0.00130.27N/AN/A00401382
2021-04-07$67.41$0.005.8%2.7%2.9%3.5%0.0%0.1%-4.4%-116.9K159.2K-8.1K0.00134.40N/AN/A10401382
2021-04-08$67.53$0.005.3%2.5%2.9%3.0%0.0%0.3%-2.4%-129.2K55.4K-8.0K0.00133.66N/AN/A20401382
2021-04-09$67.44$0.0010.7%2.3%3.0%8.6%0.0%4.2%-2.6%20.6K-64.5K-8.6K0.00134.19N/AN/A0130403382
2021-04-12$67.38$0.0010.1%2.1%2.6%8.0%0.0%0.6%-3.4%-34.4K95.0K-8.5K0.00132.83N/AN/A00403489
2021-04-13$67.54$0.005.8%1.2%2.8%3.5%0.0%0.2%0.3%-278.4K167.8K-8.5K3.02126.90N/AN/A99299403489
2021-04-14$67.49$0.005.0%1.4%2.8%2.7%0.0%0.2%-0.2%-339.7K221.1K-8.4K0.00124.22N/AN/A01403489
2021-04-15$67.72$0.004.6%1.3%3.0%2.3%4.6%0.5%0.2%-56.3K-217.0K-7.6K0.00124.41N/AN/A30403490
2021-04-16$67.63$68.004.6%1.3%2.9%2.3%0.0%0.4%0.1%-19.0K-57.6K-8.0K0.00138.58N/AN/A00406490
2021-04-19$67.62$68.004.2%1.2%2.8%1.9%0.0%0.4%0.1%30.1K-264.0K-7.8K0.00127.61N/AN/A00329397
2021-04-20$67.74$68.004.9%1.4%2.8%2.5%0.0%0.6%0.0%99.1K-531.1K-6.6K0.00126.66N/AN/A00329397
2021-04-21$67.74$68.004.7%1.3%2.7%2.4%0.0%0.2%0.1%108.6K-547.2K-6.5K0.00125.31N/AN/A00329397
2021-04-22$67.76$68.005.0%1.4%2.7%2.7%0.0%0.2%-0.0%63.5K-508.1K-6.8K0.00124.60N/AN/A00329397
2021-04-23$67.70$68.004.8%1.4%2.7%2.5%0.0%0.5%0.2%70.5K-443.5K-7.1K0.00127.01N/AN/A00329397
2021-04-26$67.67$68.005.2%1.5%2.6%2.9%0.0%0.6%-0.3%30.1K-447.7K-6.5K0.00122.53N/AN/A00329397
2021-04-27$67.53$68.004.9%1.4%2.6%2.5%0.0%-0.1%-0.3%12.4K-117.6K-7.6K0.00114.39N/AN/A00329397
2021-04-28$67.60$68.004.3%1.2%2.6%2.0%4.8%0.4%0.2%53.8K-402.6K-6.3K0.00119.52N/AN/A10329397
2021-04-29$67.55$67.004.6%1.3%2.6%2.3%0.0%0.8%-0.2%41.4K-378.6K-6.2K0.0096.16N/AN/A00330397
2021-04-30$67.59$67.004.5%1.3%2.6%2.2%0.0%0.1%-0.1%97.2K-430.2K-6.0K0.00128.38N/AN/A00330397