VGIT Options History — November 2021 In November 2021, VGIT traded between $66.54 and $67.46. ATM implied volatility averaged 5.6%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.6% (HV 20d: 4.0%). Max pain ranged from $67.00 to $67.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.83.
Notable Days 2021-11-12 : Highest Volume — 67 contracts2021-11-03 : Largest IV drop — 13.2% change2021-11-30 : Highest IV Rank — 4.2%2021-11-30 : Largest Expected Move — 1.9%Monthly Statistics Metric Avg Min Max Open Close Price $66.97 $66.54 $67.46 $66.95 $67.27 Max Pain $67.00 $67.00 $67.00 $67.00 $67.00 ATM IV 5.6% 4.5% 6.5% 5.2% 6.5% Expected Move 1.6% 1.3% 1.9% 1.5% 1.9% HV 20d 4.0% 2.7% 5.2% 2.7% 5.2% HV 60d 3.1% 2.6% 3.7% 2.6% 3.7% IV Rank 3.3% 2.1% 4.2% 2.9% 4.2% IV Percentile 66.9% 32.9% 84.9% 58.7% 84.9% Term Structure -0.2% -1.1% 0.3% 0.1% -1.1% VWIV 6.0% 4.5% 7.3% 5.3% 7.3% Skew 25d 0.4% -0.7% 1.6% 1.6% 0.3% Skew 10d 2.5% -1.5% 9.1% 3.0% 2.4% Call IV 25d 5.8% 4.7% 7.5% 5.3% 7.5% Put IV 25d 6.2% 5.1% 7.8% 6.9% 7.8% Bid-Ask Spread % 90.45 41.18 99.74 97.33 94.89 Gamma HHI 0.44 0.24 0.60 0.51 0.26 Net GEX -25.7K -58.6K 19.1K -32.1K 19.1K Net DEX 13.8K -54.4K 76.1K 47.2K -54.4K Net VEX -589 -694 -518 -552 -669 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.83 0.45 1.15 1.15 0.57 Total Volume 60.714 48 67 58 66 Total OI 71.571 65 77 68 74
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 2021-11-01 $66.95 $67.00 5.2% 1.5% 2.7% 2.9% 5.3% 1.6% 0.1% -32.1K 47.2K -552 1.15 97.33 N/A N/A 27 31 37 31 2021-11-02 $67.10 $67.00 5.1% 1.5% 2.8% 2.8% 5.1% 0.3% -0.0% -32.4K 30.9K -545 1.15 99.30 N/A N/A 27 31 37 31 2021-11-03 $67.01 $67.00 4.5% 1.3% 2.9% 2.1% 4.5% 0.1% 0.3% -43.0K 43.5K -520 1.15 99.74 N/A N/A 27 31 37 31 2021-11-04 $67.24 $0.00 5.0% 1.3% 3.1% 2.7% 0.0% 0.3% 0.2% -32.8K 13.7K -548 0.94 96.07 N/A N/A 33 31 37 31 2021-11-05 $67.46 $0.00 5.5% 1.4% 3.3% 3.2% 0.0% 0.9% 0.1% -13.6K -36.0K -668 0.94 94.99 N/A N/A 33 31 43 31 2021-11-08 $67.21 $0.00 5.4% 1.5% 3.5% 3.1% 0.0% 0.3% 0.1% -33.3K -4.0K -611 0.94 96.34 N/A N/A 33 31 43 31 2021-11-09 $67.40 $0.00 6.0% 1.5% 3.5% 3.7% 0.0% 1.1% -0.3% -30.3K -29.0K -621 0.94 94.50 N/A N/A 33 31 43 31 2021-11-10 $66.95 $0.00 5.4% 1.5% 4.3% 3.1% 0.0% 0.3% -0.1% -43.8K 24.9K -604 0.94 95.11 N/A N/A 33 31 43 31 2021-11-11 $66.78 $0.00 5.7% 1.6% 4.3% 3.3% 0.0% -0.3% -0.1% -47.4K 45.8K -570 0.94 93.71 N/A N/A 33 31 43 31 2021-11-12 $66.90 $0.00 5.8% 1.7% 4.2% 3.5% 0.0% 0.2% -0.2% -48.3K 35.3K -569 1.03 94.56 N/A N/A 33 34 43 31 2021-11-15 $66.76 $0.00 6.0% 1.7% 4.2% 3.7% 0.0% -0.7% -0.3% -57.4K 50.2K -586 0.94 65.33 N/A N/A 33 31 43 34 2021-11-16 $66.74 $0.00 5.7% 1.6% 4.2% 3.4% 0.0% -0.6% -0.0% -58.6K 76.1K -553 0.64 41.18 N/A N/A 33 21 43 34 2021-11-17 $66.88 $0.00 5.2% 1.5% 4.3% 2.9% 0.0% 1.0% -0.0% -34.1K 16.5K -521 0.45 97.44 N/A N/A 33 15 43 24 2021-11-18 $66.90 $0.00 5.1% 1.5% 4.2% 2.8% 0.0% 1.1% -0.0% -35.2K 15.6K -518 0.79 80.19 N/A N/A 33 26 43 24 2021-11-19 $66.95 $0.00 5.3% 1.5% 4.2% 3.0% 0.0% 0.1% -0.2% -32.5K 22.2K -614 0.79 83.90 N/A N/A 33 26 43 34 2021-11-22 $66.61 $0.00 5.6% 1.6% 4.5% 3.3% 0.0% 0.7% 0.1% 720 11.5K -570 0.58 94.45 N/A N/A 33 19 42 23 2021-11-23 $66.54 $0.00 6.0% 1.7% 4.5% 3.7% 5.9% 1.6% -0.4% -2.6K 17.4K -543 0.71 92.86 N/A N/A 34 24 42 23 2021-11-24 $66.58 $67.00 6.0% 1.7% 4.4% 3.7% 5.9% 0.3% -0.4% -3.3K 28.8K -643 0.71 96.45 N/A N/A 34 24 44 28 2021-11-26 $67.07 $67.00 6.2% 1.8% 5.2% 3.9% 6.7% -0.1% -0.5% 5.1K -13.8K -694 0.57 94.44 N/A N/A 42 24 44 28 2021-11-29 $67.11 $67.00 6.3% 1.8% 5.2% 4.0% 7.1% 0.3% -0.7% 15.4K -53.2K -641 0.57 96.56 N/A N/A 42 24 51 23 2021-11-30 $67.27 $67.00 6.5% 1.9% 5.2% 4.2% 7.3% 0.3% -1.1% 19.1K -54.4K -669 0.57 94.89 N/A N/A 42 24 51 23
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