VGIT Options History — February 2022

In February 2022, VGIT traded between $64.27 and $65.39. ATM implied volatility averaged 7.1%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 2.0%. IV traded above realized volatility by 2.3% (HV 20d: 4.8%). Max pain ranged from $63.00 to $66.63. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.19.

Notable Days

2022-02-08: Highest Volume — 69 contracts
2022-02-09: Largest IV spike — 118.8% change
2022-02-01: Highest IV Rank — 69.7%
2022-02-09: Largest Expected Move — 3.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.74	$64.27	$65.39	$65.31	$65.08
Max Pain	$64.68	$63.00	$66.63	$66.63	$63.00
ATM IV	7.1%	5.1%	12.6%	12.6%	8.0%
Expected Move	2.0%	1.5%	3.6%	3.6%	2.3%
HV 20d	4.8%	3.8%	5.6%	3.8%	5.6%
HV 60d	4.5%	4.2%	4.7%	4.4%	4.6%
IV Rank	28.5%	18.5%	69.7%	69.7%	33.7%
IV Percentile	87.7%	56.7%	99.6%	99.6%	97.2%
Term Structure	-0.8%	-6.2%	0.1%	-6.2%	-0.8%
VWIV	7.0%	5.7%	13.2%	6.1%	8.0%
Skew 25d	0.7%	-0.8%	3.5%	1.4%	-0.3%
Skew 10d	1.2%	-2.9%	2.6%	1.0%	0.2%
Call IV 25d	6.6%	5.4%	8.8%	6.2%	8.8%
Put IV 25d	7.3%	6.1%	9.0%	7.6%	8.5%
Bid-Ask Spread %	97.98	88.92	125.51	125.51	116.34
Gamma HHI	0.48	0.31	0.59	0.39	0.31
Net GEX	-6.2K	-28.7K	22.6K	20.1K	6.7K
Net DEX	57.8K	-59.0K	157.1K	-59.0K	-4.2K
Net VEX	-494	-771	-267	-364	-392
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.14	2.00	0.14	0.28
Total Volume	51.579	25	69	25	32
Total OI	65	40	84	40	56

Daily Data (19 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
2022-02-01	$65.31	$66.63	12.6%	3.6%	3.8%	69.7%	6.1%	1.4%	-6.2%	20.1K	-59.0K	-364	0.14	125.51	N/A	N/A	22	3	34	6
2022-02-02	$65.39	$66.63	5.2%	1.5%	3.9%	18.9%	5.7%	1.1%	-0.5%	22.6K	-47.3K	-337	0.14	98.41	N/A	N/A	22	3	34	6
2022-02-03	$65.25	$0.00	5.1%	1.6%	3.8%	18.5%	0.0%	0.7%	-0.3%	20.2K	-36.9K	-300	0.14	92.09	N/A	N/A	22	3	34	6
2022-02-04	$64.83	$0.00	5.2%	1.6%	4.3%	19.3%	0.0%	0.5%	-0.0%	16.2K	-22.9K	-272	0.14	88.92	N/A	N/A	22	3	34	6
2022-02-07	$64.89	$0.00	6.0%	1.6%	4.4%	23.9%	0.0%	0.0%	0.1%	17.1K	-24.5K	-267	1.95	90.89	N/A	N/A	22	43	34	6
2022-02-08	$64.74	$0.00	5.8%	1.7%	4.4%	22.2%	5.8%	0.5%	0.0%	-27.8K	107.5K	-680	1.88	90.62	N/A	N/A	24	45	34	46
2022-02-09	$64.76	$65.00	12.6%	3.6%	4.4%	67.6%	13.2%	3.5%	-4.5%	-16.9K	90.4K	-771	1.88	119.97	N/A	N/A	24	45	36	48
2022-02-10	$64.27	$65.00	6.3%	1.8%	5.0%	20.9%	6.1%	1.1%	-0.1%	-26.9K	157.1K	-633	1.88	93.99	N/A	N/A	24	45	36	48
2022-02-11	$64.64	$65.00	6.2%	1.8%	5.4%	20.4%	6.2%	1.7%	0.0%	-25.2K	121.2K	-690	1.88	100.76	N/A	N/A	24	45	36	48
2022-02-14	$64.42	$65.00	7.3%	2.1%	5.3%	28.6%	6.6%	0.7%	-0.5%	-24.2K	139.6K	-649	1.88	92.10	N/A	N/A	24	45	36	48
2022-02-15	$64.29	$65.00	6.9%	2.0%	5.2%	25.6%	6.5%	1.3%	-0.7%	-27.3K	155.8K	-606	1.88	93.54	N/A	N/A	24	45	36	48
2022-02-16	$64.42	$65.00	6.7%	1.9%	5.2%	24.0%	6.3%	1.5%	-0.6%	-28.7K	148.4K	-621	1.88	92.05	N/A	N/A	24	45	36	48
2022-02-17	$64.60	$65.00	6.7%	1.9%	5.3%	24.2%	6.8%	0.6%	-0.3%	-25.6K	124.2K	-657	1.88	92.14	N/A	N/A	24	45	36	48
2022-02-18	$64.74	$65.00	6.8%	1.9%	5.2%	24.6%	6.8%	0.1%	-0.3%	-22.7K	111.8K	-663	1.88	90.31	N/A	N/A	24	45	36	48
2022-02-22	$64.67	$65.00	6.9%	2.0%	5.2%	25.4%	7.4%	0.2%	-0.2%	342	38.0K	-398	2.00	93.17	N/A	N/A	23	46	34	23
2022-02-23	$64.56	$63.00	7.2%	2.1%	5.1%	27.7%	7.6%	0.0%	-0.3%	-59	45.2K	-376	0.29	93.84	N/A	N/A	24	7	34	24
2022-02-24	$64.63	$63.00	6.9%	2.0%	5.0%	25.4%	6.7%	-0.8%	-0.2%	3.0K	23.5K	-367	0.29	99.91	N/A	N/A	24	7	35	21
2022-02-25	$64.61	$63.00	6.2%	1.8%	4.9%	20.7%	6.3%	0.3%	-0.1%	912	29.3K	-351	0.29	97.01	N/A	N/A	24	7	35	21
2022-02-28	$65.08	$63.00	8.0%	2.3%	5.6%	33.7%	8.0%	-0.3%	-0.8%	6.7K	-4.2K	-392	0.28	116.34	N/A	N/A	25	7	35	21