VGIT Options History — January 2022

In January 2022, VGIT traded between $65.22 and $66.16. ATM implied volatility averaged 5.4%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 1.6%. IV traded above realized volatility by 1.4% (HV 20d: 4.0%). Max pain ranged from $66.63 to $67.63. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.70.

Notable Days

2022-01-24: Highest Volume — 30 contracts
2022-01-05: Largest IV drop — 15.0% change
2022-01-24: Highest IV Rank — 25.6%
2022-01-24: Largest Expected Move — 1.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.60	$65.22	$66.16	$66.16	$65.42
Max Pain	$66.68	$66.63	$67.63	$66.63	$66.63
ATM IV	5.4%	4.9%	6.2%	5.7%	5.4%
Expected Move	1.6%	1.5%	1.8%	1.6%	1.5%
HV 20d	4.0%	3.8%	4.4%	4.1%	4.1%
HV 60d	4.3%	4.1%	4.5%	4.2%	4.5%
IV Rank	9.5%	2.6%	25.6%	3.4%	20.1%
IV Percentile	68.5%	51.6%	90.9%	74.6%	67.5%
Term Structure	0.1%	-0.5%	0.8%	-0.5%	0.1%
VWIV	5.5%	4.3%	6.7%	4.6%	4.3%
Skew 25d	0.6%	-0.9%	1.5%	0.5%	1.5%
Skew 10d	1.6%	-0.8%	11.1%	0.4%	11.1%
Call IV 25d	5.7%	5.1%	6.7%	6.1%	5.1%
Put IV 25d	6.2%	5.8%	6.8%	6.6%	6.6%
Bid-Ask Spread %	96.48	92.06	100.05	98.47	96.35
Gamma HHI	0.54	0.31	0.83	0.34	0.45
Net GEX	-27.2K	-95.8K	21.8K	9.9K	21.1K
Net DEX	41.8K	-52.7K	142.5K	-15.5K	-45.9K
Net VEX	-294	-472	-183	-472	-326
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.00	1.18	0.00	0.14
Total Volume	24.55	2	30	2	25
Total OI	68.05	25	86	79	40

Daily Data (20 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
2022-01-03	$66.16	$66.63	5.7%	1.6%	4.1%	3.4%	0.0%	0.5%	-0.5%	9.9K	-15.5K	-472	0.00	98.47	N/A	N/A	2	0	56	23
2022-01-04	$66.11	$66.63	6.1%	1.7%	3.9%	3.8%	4.6%	0.5%	0.1%	8.2K	-9.7K	-458	0.05	99.43	N/A	N/A	21	1	56	23
2022-01-05	$65.92	$66.63	5.1%	1.5%	3.9%	2.8%	5.5%	-0.9%	0.8%	-5.6K	30.1K	-308	1.00	99.23	N/A	N/A	11	11	47	24
2022-01-06	$65.79	$66.63	5.0%	1.5%	3.9%	2.7%	5.6%	0.3%	0.3%	-38.0K	69.5K	-343	1.18	100.05	N/A	N/A	11	13	47	36
2022-01-07	$65.67	$66.63	5.3%	1.5%	3.9%	3.0%	5.1%	0.7%	0.3%	-40.6K	81.8K	-327	1.18	95.56	N/A	N/A	11	13	47	36
2022-01-10	$65.60	$66.63	4.9%	1.5%	3.9%	2.6%	5.2%	0.6%	0.2%	-56.6K	93.3K	-297	1.17	94.76	N/A	N/A	12	14	47	36
2022-01-11	$65.66	$66.63	5.1%	1.5%	3.8%	2.8%	5.7%	0.4%	0.1%	-50.7K	82.8K	-306	1.08	95.54	N/A	N/A	13	14	48	37
2022-01-12	$65.72	$66.63	5.1%	1.5%	3.8%	2.7%	5.6%	0.7%	0.2%	-54.2K	77.1K	-306	1.08	95.47	N/A	N/A	13	14	49	37
2022-01-13	$65.85	$66.63	5.1%	1.5%	4.0%	2.7%	5.3%	0.7%	0.2%	-55.2K	61.0K	-277	1.08	96.43	N/A	N/A	13	14	49	36
2022-01-14	$65.55	$66.63	5.2%	1.5%	3.9%	2.8%	6.4%	-0.2%	0.2%	-68.4K	91.5K	-271	1.08	95.85	N/A	N/A	13	14	48	36
2022-01-18	$65.23	$66.63	5.5%	1.6%	4.0%	3.2%	5.0%	1.2%	0.2%	-54.4K	142.5K	-201	1.08	94.01	N/A	N/A	13	14	48	36
2022-01-19	$65.34	$66.63	5.3%	1.5%	4.2%	3.0%	4.9%	0.9%	0.2%	-67.7K	134.3K	-198	1.08	96.19	N/A	N/A	13	14	48	36
2022-01-20	$65.36	$66.63	5.4%	1.5%	4.1%	3.1%	5.0%	0.9%	0.3%	-70.5K	130.4K	-198	1.08	96.24	N/A	N/A	13	14	48	36
2022-01-21	$65.60	$66.63	5.6%	1.6%	4.4%	22.1%	6.5%	0.5%	-0.1%	-95.8K	61.3K	-191	1.08	94.97	N/A	N/A	13	14	48	31
2022-01-24	$65.65	$66.63	6.2%	1.8%	3.8%	25.6%	6.7%	-0.0%	-0.1%	7.1K	-9.5K	-183	0.11	92.06	N/A	N/A	27	3	19	6
2022-01-25	$65.52	$66.63	5.5%	1.6%	3.8%	20.8%	5.0%	1.5%	0.1%	21.8K	-52.7K	-359	0.14	97.06	N/A	N/A	22	3	34	6
2022-01-26	$65.22	$67.63	5.5%	1.6%	4.0%	21.0%	5.9%	0.3%	-0.2%	4.5K	-1.1K	-198	0.14	96.68	N/A	N/A	22	3	20	7
2022-01-27	$65.28	$66.63	5.4%	1.6%	4.0%	20.6%	5.8%	0.6%	0.1%	20.0K	-39.8K	-326	0.14	97.57	N/A	N/A	22	3	34	6
2022-01-28	$65.42	$66.63	5.5%	1.6%	4.1%	20.8%	5.6%	0.8%	0.2%	21.3K	-45.8K	-335	0.14	97.79	N/A	N/A	22	3	34	6
2022-01-31	$65.42	$66.63	5.4%	1.5%	4.1%	20.1%	4.3%	1.5%	0.1%	21.1K	-45.9K	-326	0.14	96.35	N/A	N/A	22	3	34	6