VGIT Options History — October 2021 In October 2021, VGIT traded between $66.81 and $67.67. ATM implied volatility averaged 5.5%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.8% (HV 20d: 2.7%). Max pain ranged from $67.00 to $68.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.82.
Notable Days 2021-10-29 : Highest Volume — 59 contracts2021-10-05 : Largest IV spike — 193.1% change2021-10-05 : Highest IV Rank — 15.2%2021-10-05 : Largest Expected Move — 3.2%Monthly Statistics Metric Avg Min Max Open Close Price $67.18 $66.81 $67.67 $67.67 $67.08 Max Pain $67.07 $67.00 $68.00 $68.00 $67.00 ATM IV 5.5% 4.1% 17.0% 5.6% 5.0% Expected Move 1.5% 1.3% 3.2% 1.6% 1.4% HV 20d 2.7% 2.6% 3.1% 2.8% 2.7% HV 60d 2.6% 2.5% 2.8% 2.8% 2.6% IV Rank 3.2% 1.8% 15.2% 3.3% 2.7% IV Percentile 49.6% 18.7% 83.7% 58.3% 54.8% Term Structure -0.3% -5.9% 0.6% -0.9% 0.1% VWIV 4.9% 4.5% 5.2% 4.5% 5.1% Skew 25d 0.7% -0.9% 1.9% -0.9% 1.8% Skew 10d 1.9% -0.5% 6.0% -0.2% 2.4% Call IV 25d 5.1% 3.5% 9.6% 6.0% 4.8% Put IV 25d 5.8% 4.6% 9.5% 5.1% 6.6% Bid-Ask Spread % 93.24 56.61 144.71 101.21 97.56 Gamma HHI 0.54 0.41 0.70 0.69 0.55 Net GEX -11.6K -62.7K 52.2K 40.5K -27.1K Net DEX 11.3K -164.3K 64.8K -42.4K 32.8K Net VEX -543 -869 -462 -540 -538 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.00 1.11 0.00 1.11 Total Volume 22.381 0 59 6 59 Total OI 93.476 59 141 114 63
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 2021-10-01 $67.67 $68.00 5.6% 1.6% 2.8% 3.3% 0.0% -0.9% -0.9% 40.5K -42.4K -540 0.00 101.21 N/A N/A 6 0 100 14 2021-10-04 $67.62 $0.00 5.8% 2.0% 2.8% 3.5% 0.0% -0.8% -2.2% 31.6K -33.8K -494 0.00 94.67 N/A N/A 0 0 100 14 2021-10-05 $67.49 $0.00 17.0% 3.2% 2.8% 15.2% 0.0% -0.1% -5.9% 52.2K -164.3K -869 0.00 144.71 N/A N/A 0 0 106 14 2021-10-06 $67.49 $0.00 4.4% 1.3% 2.7% 2.1% 0.0% 0.8% 0.6% 7.2K -27.2K -528 0.00 56.61 N/A N/A 0 0 106 14 2021-10-07 $67.34 $0.00 5.0% 1.3% 2.7% 2.7% 0.0% 0.7% 0.3% 2.4K -19.7K -511 0.00 87.63 N/A N/A 0 0 106 14 2021-10-08 $67.26 $0.00 4.1% 1.3% 2.7% 1.8% 4.5% 0.3% 0.5% -2.0K -13.9K -498 0.00 95.20 N/A N/A 0 4 106 14 2021-10-11 $67.12 $0.00 5.1% 1.4% 2.7% 2.7% 0.0% 0.3% 0.2% -10.3K -5.4K -462 0.00 90.46 N/A N/A 0 0 106 14 2021-10-12 $67.26 $67.00 5.7% 1.3% 2.8% 3.4% 4.7% 0.2% 0.3% -5.8K -6.9K -473 0.00 95.60 N/A N/A 0 20 106 16 2021-10-13 $67.27 $67.00 4.5% 1.3% 2.8% 2.2% 0.0% 0.6% 0.3% -4.9K -7.9K -474 0.00 95.74 N/A N/A 0 0 106 16 2021-10-14 $67.38 $67.00 4.6% 1.3% 2.9% 2.2% 0.0% -0.4% 0.1% -34.7K 29.0K -640 0.00 96.62 N/A N/A 0 0 106 35 2021-10-15 $67.12 $67.00 4.8% 1.4% 3.1% 2.4% 0.0% 0.2% 0.1% -62.7K 56.8K -604 0.00 96.44 N/A N/A 0 0 106 35 2021-10-18 $67.06 $67.00 5.0% 1.4% 2.8% 2.7% 0.0% 0.2% 0.1% -21.7K 41.1K -564 0.00 94.69 N/A N/A 0 0 34 25 2021-10-19 $66.98 $67.00 4.9% 1.4% 2.8% 2.6% 0.0% 1.9% -0.1% -22.1K 47.9K -548 0.00 83.90 N/A N/A 0 0 34 25 2021-10-20 $66.99 $67.00 4.9% 1.4% 2.8% 2.5% 4.9% 1.8% -0.1% -24.9K 48.5K -542 0.81 85.64 N/A N/A 31 25 34 25 2021-10-21 $66.81 $67.00 4.9% 1.4% 2.6% 2.6% 5.0% 1.2% 0.3% -23.1K 64.8K -505 0.81 88.13 N/A N/A 31 25 34 25 2021-10-22 $66.86 $67.00 4.8% 1.4% 2.6% 2.5% 4.8% 1.4% 0.2% -27.4K 63.9K -500 0.96 88.18 N/A N/A 27 26 34 25 2021-10-25 $66.94 $67.00 4.9% 1.4% 2.6% 2.6% 5.0% 1.0% 0.0% -27.5K 52.3K -525 0.93 72.42 N/A N/A 28 26 36 26 2021-10-26 $66.95 $67.00 4.8% 1.4% 2.6% 2.5% 4.8% 1.2% 0.0% -28.8K 49.8K -523 0.93 97.50 N/A N/A 28 26 37 26 2021-10-27 $67.11 $67.00 4.8% 1.4% 2.8% 2.4% 4.8% 1.6% -0.1% -28.5K 30.9K -548 0.93 97.89 N/A N/A 28 26 37 26 2021-10-28 $67.00 $67.00 5.1% 1.5% 2.7% 2.8% 5.2% 1.6% -0.1% -26.1K 41.7K -526 0.93 97.23 N/A N/A 28 26 37 26 2021-10-29 $67.08 $67.00 5.0% 1.4% 2.7% 2.7% 5.1% 1.8% 0.1% -27.1K 32.8K -538 1.11 97.56 N/A N/A 28 31 37 26
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