VGIT Options History — July 2021 In July 2021, VGIT traded between $67.69 and $68.56. ATM implied volatility averaged 5.0%, placing in the 2.7% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 1.7% (HV 20d: 3.2%). Max pain ranged from $67.51 to $69.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.50.
Notable Days 2021-07-19 : Highest Volume — 6 contracts2021-07-12 : Largest IV spike — 69.3% change2021-07-13 : Highest IV Rank — 4.5%2021-07-20 : Largest Expected Move — 1.7%Monthly Statistics Metric Avg Min Max Open Close Price $68.25 $67.69 $68.56 $67.69 $68.52 Max Pain $68.00 $67.51 $69.00 $67.51 $68.00 ATM IV 5.0% 3.6% 6.8% 4.4% 4.5% Expected Move 1.4% 1.1% 1.7% 1.3% 1.3% HV 20d 3.2% 2.8% 3.5% 2.9% 3.4% HV 60d 2.7% 2.5% 2.9% 2.5% 2.9% IV Rank 2.7% 1.2% 4.5% 2.0% 2.1% IV Percentile 30.7% 3.5% 53.0% 19.8% 23.1% Term Structure 0.1% -0.9% 1.0% -0.0% -0.5% VWIV 4.8% 4.4% 5.6% 4.4% 4.4% Skew 25d 0.4% -1.0% 3.9% 3.7% 0.1% Skew 10d 2.9% -2.2% 16.6% 7.2% 16.4% Call IV 25d 5.3% 3.3% 6.2% 3.8% 5.3% Put IV 25d 5.7% 4.8% 9.4% 7.5% 5.4% Bid-Ask Spread % 94.62 40.68 104.49 95.49 97.79 Gamma HHI 0.58 0.40 0.75 0.57 0.75 Net GEX 425.7K 62.2K 821.4K 762.3K 75.4K Net DEX -813.7K -1.7M -157.8K -915.9K -184.6K Net VEX -1.4K -2.2K -1.0K -2.2K -1.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.00 2.00 0.00 1.00 Total Volume 0.952 0 6 0 0 Total OI 468.333 92 811 806 95
Daily Data (21 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 2021-07-01 $67.69 $67.51 4.4% 1.3% 2.9% 2.0% 0.0% 3.7% -0.0% 762.3K -915.9K -2.2K 0.00 95.49 N/A N/A 0 0 401 405 2021-07-02 $67.83 $67.51 3.8% 1.1% 2.8% 1.4% 0.0% 2.5% 1.0% 821.4K -1.1M -2.2K 0.00 97.92 N/A N/A 1 0 401 405 2021-07-06 $68.06 $0.00 3.6% 1.3% 3.0% 1.2% 4.4% 0.0% 0.4% 737.7K -1.4M -1.7K 0.00 94.85 N/A N/A 3 0 402 405 2021-07-07 $68.16 $68.00 6.0% 1.3% 3.0% 3.7% 0.0% -0.0% 0.5% 680.7K -1.5M -2.1K 0.00 97.27 N/A N/A 0 0 405 405 2021-07-08 $68.30 $68.00 5.5% 1.5% 3.0% 3.2% 0.0% 0.3% -0.1% 694.9K -1.7M -1.9K 0.00 94.84 N/A N/A 0 0 405 405 2021-07-09 $68.09 $68.00 3.6% 1.4% 3.2% 1.3% 0.0% 0.8% 0.1% 740.6K -1.5M -1.7K 0.00 95.58 N/A N/A 0 1 405 405 2021-07-12 $68.06 $68.00 6.2% 1.4% 3.2% 3.9% 0.0% -0.3% 0.6% 758.1K -1.4M -1.6K 0.00 97.12 N/A N/A 0 0 406 405 2021-07-13 $67.92 $68.00 6.8% 1.3% 3.2% 4.5% 4.7% 0.3% 0.6% 783.9K -1.3M -1.5K 0.00 96.49 N/A N/A 1 0 406 405 2021-07-14 $68.09 $68.00 4.3% 1.2% 3.3% 1.9% 0.0% 0.1% 0.6% 756.8K -1.4M -1.4K 0.00 40.68 N/A N/A 0 0 406 405 2021-07-15 $68.23 $68.00 4.4% 1.3% 2.9% 2.1% 0.0% -0.1% 0.2% 802.7K -1.5M -1.4K 0.00 97.37 N/A N/A 0 0 406 405 2021-07-16 $68.20 $68.00 4.7% 1.3% 2.9% 2.3% 0.0% -0.1% 0.1% 713.6K -1.6M -1.1K 0.00 96.99 N/A N/A 0 0 406 405 2021-07-19 $68.56 $69.00 5.7% 1.6% 3.3% 3.4% 5.6% -0.8% 0.1% 62.2K -195.3K -1.1K 2.00 96.10 N/A N/A 2 4 80 12 2021-07-20 $68.53 $68.00 5.8% 1.7% 3.3% 3.5% 0.0% -0.6% -0.1% 67.5K -190.3K -1.1K 0.50 95.55 N/A N/A 2 1 81 12 2021-07-21 $68.33 $68.00 4.9% 1.4% 3.5% 2.5% 0.0% -0.8% 0.2% 63.7K -162.5K -1.1K 0.00 97.93 N/A N/A 0 0 79 13 2021-07-22 $68.44 $68.00 4.9% 1.4% 3.5% 2.6% 4.9% -0.1% 0.1% 68.1K -172.6K -1.1K 0.00 97.18 N/A N/A 0 1 79 13 2021-07-23 $68.38 $68.00 5.1% 1.5% 3.5% 2.8% 0.0% -0.5% -0.2% 65.7K -161.0K -1.1K 0.00 97.71 N/A N/A 0 0 79 14 2021-07-26 $68.35 $68.00 4.9% 1.4% 3.5% 2.6% 0.0% -1.0% 0.4% 65.7K -157.8K -1.0K 0.00 104.49 N/A N/A 0 0 79 14 2021-07-27 $68.51 $68.00 5.7% 1.6% 3.5% 3.4% 0.0% -0.6% -0.6% 69.0K -180.6K -1.0K 0.00 97.11 N/A N/A 2 0 79 14 2021-07-28 $68.51 $68.00 5.1% 1.5% 3.5% 2.8% 0.0% 1.5% -0.9% 75.3K -169.9K -1.0K 0.00 98.83 N/A N/A 0 0 79 14 2021-07-29 $68.42 $68.00 4.6% 1.3% 3.5% 2.2% 4.4% 3.9% 0.2% 74.8K -161.7K -1.0K 1.00 99.71 N/A N/A 1 1 81 14 2021-07-30 $68.52 $68.00 4.5% 1.3% 3.4% 2.1% 0.0% 0.1% -0.5% 75.4K -184.6K -1.0K 0.00 97.79 N/A N/A 0 0 81 14
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