VGIT Options History — June 2021

In June 2021, VGIT traded between $67.60 and $68.12. ATM implied volatility averaged 4.2%, placing in the 1.8% IV rank vs the trailing year. The 30-day expected move averaged 1.2%. IV traded above realized volatility by 1.5% (HV 20d: 2.6%). Max pain ranged from $66.51 to $67.51. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.30.

Notable Days

  • 2021-06-23: Highest Volume — 284 contracts
  • 2021-06-04: Largest IV spike — 16.9% change
  • 2021-06-14: Highest IV Rank — 2.4%
  • 2021-06-14: Largest Expected Move — 1.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.79$67.60$68.12$67.70$67.83
Max Pain$67.24$66.51$67.51$67.00$67.51
ATM IV4.2%3.6%4.7%3.8%3.8%
Expected Move1.2%1.1%1.4%1.1%1.1%
HV 20d2.6%2.2%3.0%2.2%2.9%
HV 60d2.5%2.4%2.6%2.5%2.4%
IV Rank1.8%1.2%2.4%1.4%1.4%
IV Percentile13.5%3.9%26.2%6.3%5.8%
Term Structure0.5%0.0%1.6%0.4%1.6%
VWIV5.9%3.4%9.8%4.2%3.4%
Skew 25d0.6%-1.1%3.4%0.2%3.4%
Skew 10d1.5%-1.2%6.5%-0.9%6.1%
Call IV 25d4.4%3.1%5.8%4.1%3.1%
Put IV 25d5.0%3.4%7.1%4.3%6.5%
Bid-Ask Spread %90.8380.19102.9585.6695.04
Gamma HHI0.390.280.610.310.54
Net GEX530.3K286.8K844.7K308.5K812.3K
Net DEX-968.0K-1.4M-609.0K-754.0K-1.1M
Net VEX-3.4K-5.0K-2.3K-5.0K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.000.990.000.99
Total Volume27.7270284210
Total OI801.455783815803806

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$67.70$67.003.8%1.1%2.2%1.4%0.0%0.2%0.4%308.5K-754.0K-5.0K0.0085.66N/AN/A210404399
2021-06-02$67.76$67.004.1%1.2%2.2%1.7%4.2%-0.8%0.3%308.5K-759.6K-4.9K0.0087.51N/AN/A10384399
2021-06-03$67.62$66.513.6%1.2%2.3%1.2%0.0%0.3%0.5%286.8K-609.0K-4.8K0.0082.83N/AN/A00385399
2021-06-04$67.83$66.514.2%1.2%2.6%1.9%0.0%0.1%0.5%406.4K-1.0M-3.9K0.0086.24N/AN/A00385399
2021-06-07$67.80$67.514.0%1.2%2.6%1.7%0.0%-0.4%0.2%412.5K-954.0K-3.8K0.0088.79N/AN/A01384399
2021-06-08$67.92$67.514.1%1.1%2.6%1.7%0.0%-0.3%0.8%468.3K-1.1M-3.4K0.0095.57N/AN/A50384400
2021-06-09$68.02$67.514.3%1.2%2.6%1.9%0.0%0.0%0.2%462.2K-1.2M-3.5K0.0092.60N/AN/A00389400
2021-06-10$68.12$67.514.0%1.2%2.3%1.7%0.0%0.3%0.6%682.6K-1.4M-3.1K0.7595.27N/AN/A43389400
2021-06-11$68.06$67.514.2%1.2%2.2%1.8%0.0%0.7%0.6%698.7K-1.3M-3.5K0.0091.92N/AN/A00412403
2021-06-14$67.92$67.514.7%1.4%2.4%2.4%0.0%-0.4%0.2%435.6K-1.1M-4.1K0.0080.19N/AN/A10412403
2021-06-15$67.92$67.514.3%1.2%2.4%2.0%9.0%-0.4%0.7%474.3K-1.1M-4.0K0.0081.86N/AN/A10411403
2021-06-16$67.60$66.514.5%1.3%3.0%2.1%9.8%0.8%0.7%342.5K-743.3K-3.9K0.00102.95N/AN/A30412403
2021-06-17$67.66$66.514.5%1.3%2.9%2.2%0.0%-1.0%0.1%380.8K-808.7K-4.0K0.0095.80N/AN/A00410403
2021-06-18$67.76$66.514.7%1.3%2.8%2.3%4.7%-0.2%0.0%387.1K-981.2K-3.3K0.0094.47N/AN/A02410403
2021-06-21$67.69$67.514.5%1.3%2.9%2.2%0.0%-1.1%0.2%387.6K-887.8K-3.1K0.0088.97N/AN/A00401405
2021-06-22$67.78$67.514.3%1.2%2.9%1.9%0.0%-0.9%0.6%524.8K-997.4K-3.1K0.0088.50N/AN/A00401405
2021-06-23$67.69$67.513.9%1.1%2.8%1.6%4.3%2.3%0.7%745.1K-895.9K-2.6K0.99100.28N/AN/A143141401405
2021-06-24$67.69$67.514.0%1.2%2.8%1.7%0.0%2.3%0.2%752.0K-892.3K-2.6K0.0093.80N/AN/A00401405
2021-06-25$67.60$67.514.0%1.1%2.8%1.6%0.0%2.6%0.4%722.5K-798.4K-2.5K0.0098.67N/AN/A00401405
2021-06-28$67.73$67.513.9%1.1%2.9%1.5%0.0%3.0%0.4%821.9K-938.0K-2.3K0.0081.61N/AN/A00401405
2021-06-29$67.74$67.514.0%1.1%2.9%1.6%3.4%3.0%0.2%844.7K-948.0K-2.3K0.9989.75N/AN/A143141401405
2021-06-30$67.83$67.513.8%1.1%2.9%1.4%0.0%3.4%1.6%812.3K-1.1M-2.3K0.0095.04N/AN/A00401405