VGIT Options History — August 2021

In August 2021, VGIT traded between $68.05 and $68.67. ATM implied volatility averaged 4.4%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 1.3%. IV traded above realized volatility by 1.5% (HV 20d: 2.9%). Max pain ranged from $67.00 to $68.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-08-06: Highest Volume — 2 contracts
  • 2021-08-31: Largest IV spike — 26.9% change
  • 2021-08-04: Highest IV Rank — 3.0%
  • 2021-08-04: Largest Expected Move — 1.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.28$68.05$68.67$68.62$68.27
Max Pain$67.14$67.00$68.00$68.00$67.00
ATM IV4.4%3.4%5.3%5.1%4.3%
Expected Move1.3%1.0%1.5%1.5%1.2%
HV 20d2.9%2.4%3.4%3.4%2.5%
HV 60d2.9%2.9%3.0%2.9%2.9%
IV Rank2.1%1.0%3.0%2.8%2.0%
IV Percentile22.4%2.4%40.4%37.5%23.8%
Term Structure0.3%-1.2%1.7%-0.4%0.1%
VWIV5.8%5.8%5.8%5.8%5.8%
Skew 25d0.8%-1.2%9.5%0.1%8.5%
Skew 10d3.0%-1.7%21.2%0.4%21.2%
Call IV 25d5.0%4.0%5.9%5.5%4.7%
Put IV 25d5.8%3.8%13.8%5.7%13.2%
Bid-Ask Spread %96.2868.40101.6099.36101.44
Gamma HHI0.730.670.800.740.68
Net GEX74.6K58.8K92.0K74.4K89.6K
Net DEX-124.9K-207.9K-86.0K-201.2K-123.1K
Net VEX-826-1.1K-663-1.1K-705
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.4090200
Total OI94.40990979694

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$68.62$68.005.1%1.5%3.4%2.8%0.0%0.1%-0.4%74.4K-201.2K-1.1K0.0099.36N/AN/A008115
2021-08-03$68.67$68.004.9%1.4%3.2%2.6%0.0%0.7%-0.5%73.6K-207.9K-1.1K0.0099.52N/AN/A008115
2021-08-04$68.60$68.005.3%1.5%3.3%3.0%5.8%0.4%-1.2%79.2K-190.5K-1.0K0.0099.46N/AN/A108115
2021-08-05$68.44$67.004.1%1.4%3.3%1.7%0.0%1.0%0.4%72.7K-169.9K-1.0K0.0096.15N/AN/A008115
2021-08-06$68.23$67.004.5%1.3%3.3%2.2%0.0%0.3%0.4%73.1K-132.9K-9160.0096.95N/AN/A028215
2021-08-09$68.16$67.004.9%1.3%3.3%2.5%0.0%0.1%0.5%65.5K-120.7K-8950.0096.66N/AN/A008115
2021-08-10$68.05$67.004.4%1.3%3.3%2.1%0.0%0.1%0.4%58.8K-99.3K-8570.0068.40N/AN/A208116
2021-08-11$68.12$67.004.3%1.2%3.2%1.9%0.0%0.2%0.6%63.6K-99.5K-8100.0097.84N/AN/A008116
2021-08-12$68.05$67.004.2%1.2%3.1%1.9%0.0%-0.1%0.3%60.7K-86.0K-7900.0098.14N/AN/A008116
2021-08-13$68.24$67.004.2%1.2%3.3%1.8%0.0%-0.9%0.5%71.3K-110.3K-8310.0099.39N/AN/A008116
2021-08-16$68.34$67.004.2%1.2%2.7%1.8%0.0%-0.5%0.4%78.6K-123.2K-8470.0070.76N/AN/A007915
2021-08-17$68.31$67.004.7%1.3%2.7%2.3%0.0%-0.4%0.1%77.7K-117.2K-8140.0099.41N/AN/A007915
2021-08-18$68.26$67.004.5%1.3%2.5%2.1%0.0%-0.8%0.2%77.6K-101.5K-7840.0099.18N/AN/A007915
2021-08-19$68.33$67.004.2%1.2%2.5%1.9%0.0%-1.0%0.5%80.4K-112.0K-7780.0097.94N/AN/A007915
2021-08-20$68.27$67.004.6%1.3%2.5%2.3%0.0%-0.9%0.2%76.8K-105.1K-7690.0097.50N/AN/A007915
2021-08-23$68.33$67.004.2%1.2%2.5%1.8%0.0%-1.2%0.4%82.9K-117.4K-7370.0098.17N/AN/A007713
2021-08-24$68.23$67.004.1%1.2%2.4%1.8%0.0%-0.2%0.6%76.7K-107.3K-7020.0098.88N/AN/A207713
2021-08-25$68.08$67.004.5%1.3%2.5%2.2%0.0%0.1%0.2%67.1K-90.0K-6630.00100.30N/AN/A007713
2021-08-26$68.09$67.004.3%1.2%2.5%1.9%0.0%0.1%0.6%69.9K-96.2K-6850.00100.58N/AN/A207913
2021-08-27$68.22$67.004.0%1.2%2.5%1.7%0.0%9.5%0.6%79.8K-109.7K-7130.00100.53N/AN/A007913
2021-08-30$68.33$67.003.4%1.0%2.5%1.0%0.0%3.3%1.7%92.0K-127.6K-7290.00101.60N/AN/A008113
2021-08-31$68.27$67.004.3%1.2%2.5%2.0%0.0%8.5%0.1%89.6K-123.1K-7050.00101.44N/AN/A008113