VGIT Options History — December 2021

In December 2021, VGIT traded between $66.40 and $67.35. 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 1.0% (HV 20d: 4.6%). Max pain ranged from $66.63 to $67.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.51.

Notable Days

2021-12-09: Highest Volume — 71 contracts
2021-12-13: Largest IV spike — 63.3% change
2021-12-14: Highest IV Rank — 5.5%
2021-12-02: Largest Expected Move — 2.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.91	$66.40	$67.35	$67.20	$66.48
Max Pain	$66.91	$66.63	$67.00	$67.00	$66.63
ATM IV	5.6%	4.3%	7.7%	6.5%	5.0%
Expected Move	1.6%	1.4%	2.0%	1.9%	1.4%
HV 20d	4.6%	4.1%	5.3%	5.1%	4.2%
HV 60d	3.9%	3.7%	4.1%	3.7%	4.1%
IV Rank	3.3%	1.9%	5.5%	4.2%	2.7%
IV Percentile	65.0%	27.4%	88.9%	84.9%	55.6%
Term Structure	0.2%	-1.0%	0.8%	-0.8%	0.4%
VWIV	5.9%	5.0%	7.5%	7.1%	5.7%
Skew 25d	0.5%	-0.7%	1.6%	0.9%	0.8%
Skew 10d	0.6%	-1.9%	3.1%	2.2%	0.5%
Call IV 25d	6.0%	4.7%	7.8%	7.4%	7.8%
Put IV 25d	6.5%	5.4%	8.6%	8.3%	8.6%
Bid-Ask Spread %	95.53	82.50	99.79	82.50	99.79
Gamma HHI	0.37	0.25	0.62	0.25	0.37
Net GEX	35.9K	0	97.1K	19.9K	19.8K
Net DEX	-62.8K	-141.8K	0	-62.3K	-42.5K
Net VEX	-573	-703	0	-693	-489
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.00	0.80	0.57	0.00
Total Volume	45.409	0	71	66	2
Total OI	76.364	0	91	74	79

Daily Data (22 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
2021-12-01	$67.20	$67.00	6.5%	1.9%	5.1%	4.2%	7.1%	0.9%	-0.8%	19.9K	-62.3K	-693	0.57	82.50	N/A	N/A	42	24	51	23
2021-12-02	$67.06	$67.00	6.9%	2.0%	5.2%	4.6%	7.5%	0.7%	-1.0%	17.7K	-55.5K	-703	0.57	96.31	N/A	N/A	42	24	51	23
2021-12-03	$67.35	$67.00	6.3%	1.8%	5.2%	4.0%	6.6%	1.0%	-0.2%	27.0K	-79.3K	-680	0.65	97.54	N/A	N/A	37	24	51	23
2021-12-06	$67.10	$67.00	5.6%	1.7%	5.3%	3.3%	6.0%	0.2%	0.3%	17.7K	-56.7K	-653	0.63	90.30	N/A	N/A	38	24	52	23
2021-12-07	$66.93	$67.00	5.5%	1.7%	5.2%	3.2%	5.8%	-0.0%	0.3%	22.5K	-51.0K	-669	0.63	91.08	N/A	N/A	38	24	54	23
2021-12-08	$66.83	$67.00	5.5%	1.6%	5.1%	3.2%	5.4%	-0.7%	0.5%	18.3K	-40.8K	-622	0.63	95.08	N/A	N/A	38	24	53	23
2021-12-09	$66.90	$67.00	5.6%	1.6%	4.5%	3.3%	5.5%	-0.2%	0.4%	20.1K	-45.2K	-629	0.51	94.98	N/A	N/A	47	24	53	23
2021-12-10	$66.94	$67.00	4.3%	1.5%	4.4%	1.9%	5.4%	-0.1%	0.8%	69.3K	-76.1K	-663	0.51	95.24	N/A	N/A	47	24	63	23
2021-12-13	$67.08	$67.00	7.0%	1.5%	4.4%	4.8%	5.0%	0.3%	0.4%	65.1K	-96.7K	-643	0.62	93.95	N/A	N/A	39	24	63	23
2021-12-14	$67.01	$67.00	7.7%	1.5%	4.4%	5.5%	5.5%	0.4%	0.3%	74.0K	-94.6K	-618	0.62	96.52	N/A	N/A	39	24	66	23
2021-12-15	$66.97	$67.00	5.1%	1.5%	4.4%	2.8%	5.5%	0.1%	0.8%	88.7K	-84.7K	-606	0.62	96.36	N/A	N/A	39	24	66	23
2021-12-16	$67.16	$67.00	5.1%	1.5%	4.4%	2.8%	5.6%	0.5%	0.1%	97.1K	-120.7K	-571	0.62	95.80	N/A	N/A	39	24	66	23
2021-12-17	$67.22	$67.00	5.2%	1.5%	4.4%	2.9%	5.7%	0.3%	0.3%	95.9K	-141.8K	-577	0.73	96.39	N/A	N/A	33	24	68	23
2021-12-20	$67.24	$67.00	5.4%	1.5%	4.4%	3.1%	5.9%	0.4%	0.3%	24.3K	-58.3K	-568	0.80	96.75	N/A	N/A	30	24	54	23
2021-12-21	$67.00	$67.00	5.4%	1.6%	4.2%	3.1%	5.8%	0.8%	0.3%	16.6K	-50.9K	-570	0.80	95.56	N/A	N/A	30	24	54	23
2021-12-22	$67.05	$67.00	5.2%	1.5%	4.2%	2.9%	5.7%	0.0%	0.4%	18.5K	-54.2K	-564	0.77	97.39	N/A	N/A	31	24	54	23
2021-12-23	$66.55	$0.00	5.1%	1.5%	5.0%	2.8%	0.0%	-0.1%	0.5%	0	0	0	0.00	97.66	N/A	N/A	0	0	0	0
2021-12-27	$66.54	$66.63	5.4%	1.5%	4.2%	3.1%	0.0%	1.5%	0.0%	19.4K	-47.3K	-544	0.00	98.29	N/A	N/A	0	0	55	23
2021-12-28	$66.56	$66.63	4.8%	1.4%	4.2%	2.4%	0.0%	0.9%	0.4%	21.0K	-45.4K	-513	0.00	98.11	N/A	N/A	1	0	55	23
2021-12-29	$66.40	$66.63	5.1%	1.5%	4.1%	2.8%	0.0%	1.6%	0.1%	17.3K	-36.0K	-521	0.00	97.58	N/A	N/A	1	0	56	23
2021-12-30	$66.50	$66.63	4.9%	1.4%	4.2%	2.5%	0.0%	1.3%	0.3%	18.8K	-41.7K	-499	0.00	98.45	N/A	N/A	2	0	56	23
2021-12-31	$66.48	$66.63	5.0%	1.4%	4.2%	2.7%	0.0%	0.8%	0.4%	19.8K	-42.5K	-489	0.00	99.79	N/A	N/A	2	0	56	23