VGIT Options History — May 2021 In May 2021, VGIT traded between $67.45 and $67.85. ATM implied volatility averaged 4.3%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 2.2% (HV 20d: 2.1%). Max pain ranged from $67.00 to $68.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.17.
Notable Days 2021-05-20 : Highest Volume — 44 contracts2021-05-12 : Largest IV spike — 22.2% change2021-05-12 : Highest IV Rank — 2.9%2021-05-12 : Largest Expected Move — 1.5%Monthly Statistics Metric Avg Min Max Open Close Price $67.68 $67.45 $67.85 $67.60 $67.80 Max Pain $67.45 $67.00 $68.00 $67.00 $67.00 ATM IV 4.3% 3.5% 5.2% 4.5% 3.5% Expected Move 1.2% 1.0% 1.5% 1.3% 1.0% HV 20d 2.1% 1.9% 2.5% 2.5% 2.1% HV 60d 3.1% 2.5% 3.3% 3.3% 2.5% IV Rank 1.9% 1.2% 2.9% 2.1% 1.2% IV Percentile 10.8% 3.4% 23.4% 10.8% 3.4% Term Structure 0.2% -0.4% 0.6% -0.3% 0.5% VWIV 3.6% 3.3% 4.3% 4.3% 3.6% Skew 25d 0.4% -0.9% 1.3% -0.9% -0.2% Skew 10d 3.1% -1.3% 11.8% -0.1% -0.9% Call IV 25d 4.5% 3.8% 5.4% 5.1% 4.1% Put IV 25d 4.9% 3.9% 5.9% 4.2% 3.9% Bid-Ask Spread % 100.10 64.13 129.64 129.47 101.07 Gamma HHI 0.30 0.28 0.33 0.30 0.31 Net GEX 145.6K 33.1K 310.9K 79.9K 310.9K Net DEX -618.7K -977.3K -240.9K -450.6K -812.0K Net VEX -5.5K -6.4K -4.9K -6.1K -5.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.17 0.00 1.50 0.00 1.50 Total Volume 5.25 0 44 2 5 Total OI 760.5 727 815 727 800
Daily Data (20 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 2021-05-03 $67.60 $67.00 4.5% 1.3% 2.5% 2.1% 0.0% -0.9% -0.3% 79.9K -450.6K -6.1K 0.00 129.47 N/A N/A 2 0 330 397 2021-05-04 $67.63 $67.00 4.8% 1.4% 2.2% 2.5% 0.0% -0.9% -0.0% 108.1K -497.2K -6.0K 0.00 129.64 N/A N/A 2 0 332 397 2021-05-05 $67.72 $67.00 4.5% 1.3% 2.2% 2.2% 0.0% -0.3% 0.3% 80.0K -555.6K -6.0K 0.00 102.45 N/A N/A 2 0 331 397 2021-05-06 $67.74 $68.00 4.7% 1.4% 2.1% 2.3% 0.0% -0.2% 0.1% 96.4K -582.3K -6.0K 0.00 99.66 N/A N/A 0 0 332 397 2021-05-07 $67.78 $68.00 3.8% 1.2% 2.1% 1.4% 0.0% 0.7% 0.6% 117.9K -651.7K -5.8K 0.00 100.27 N/A N/A 0 0 332 397 2021-05-10 $67.73 $68.00 4.5% 1.3% 2.0% 2.1% 0.0% 0.5% 0.4% 105.8K -596.2K -5.7K 0.00 64.13 N/A N/A 2 0 332 397 2021-05-11 $67.69 $68.00 4.2% 1.3% 1.9% 1.9% 0.0% 0.8% 0.0% 105.1K -578.1K -5.4K 0.00 100.54 N/A N/A 0 0 334 397 2021-05-12 $67.45 $68.00 5.2% 1.5% 2.3% 2.9% 0.0% 1.2% -0.4% 33.1K -240.9K -6.4K 0.00 99.45 N/A N/A 0 0 334 397 2021-05-13 $67.58 $68.00 4.7% 1.3% 2.1% 2.4% 0.0% 0.8% 0.1% 58.6K -420.8K -5.9K 0.00 98.70 N/A N/A 0 0 334 397 2021-05-14 $67.63 $68.00 4.2% 1.2% 2.0% 1.8% 0.0% 0.8% 0.6% 101.0K -512.6K -5.5K 0.00 98.90 N/A N/A 1 0 334 397 2021-05-17 $67.62 $68.00 4.4% 1.3% 2.0% 2.1% 4.3% 0.5% 0.2% 124.5K -528.6K -5.1K 0.00 100.33 N/A N/A 39 0 336 397 2021-05-18 $67.65 $68.00 4.3% 1.2% 1.9% 2.0% 3.3% 0.3% 0.0% 173.4K -600.8K -5.3K 0.00 88.76 N/A N/A 1 0 375 397 2021-05-19 $67.52 $67.00 4.7% 1.4% 2.0% 2.4% 0.0% -0.0% -0.2% 94.0K -443.9K -5.4K 0.00 98.18 N/A N/A 0 0 376 397 2021-05-20 $67.67 $67.00 3.7% 1.1% 2.2% 1.3% 0.0% 0.8% 0.4% 182.8K -657.5K -5.1K 0.05 100.69 N/A N/A 42 2 376 397 2021-05-21 $67.67 $67.00 3.6% 1.0% 2.2% 1.2% 3.4% 0.9% 0.6% 222.9K -733.7K -5.6K 0.33 99.28 N/A N/A 3 1 416 399 2021-05-24 $67.72 $67.00 4.3% 1.2% 2.2% 1.9% 0.0% 0.7% -0.0% 173.9K -773.3K -5.5K 0.00 97.20 N/A N/A 0 0 415 398 2021-05-25 $67.85 $67.00 4.3% 1.2% 2.1% 1.9% 0.0% 1.3% -0.1% 293.6K -977.3K -4.9K 0.00 97.90 N/A N/A 0 0 415 398 2021-05-26 $67.81 $67.00 4.1% 1.2% 2.1% 1.7% 3.6% 1.1% -0.1% 248.8K -934.5K -5.1K 0.00 97.44 N/A N/A 3 0 415 398 2021-05-27 $67.76 $67.00 3.7% 1.1% 2.1% 1.3% 0.0% 1.1% 0.5% 202.0K -826.7K -4.9K 0.00 97.96 N/A N/A 0 0 412 398 2021-05-28 $67.80 $67.00 3.5% 1.0% 2.1% 1.2% 3.6% -0.2% 0.5% 310.9K -812.0K -5.3K 1.50 101.07 N/A N/A 2 3 402 398
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