VGIT Options History — March 2022

In March 2022, VGIT traded between $62.48 and $65.52. ATM implied volatility averaged 8.6%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 2.5%. IV traded above realized volatility by 1.4% (HV 20d: 7.2%). Max pain ranged from $63.00 to $65.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.32.

Notable Days

  • 2022-03-18: Highest Volume — 156 contracts
  • 2022-03-24: Largest IV spike — 148.2% change
  • 2022-03-24: Highest IV Rank — 100.0%
  • 2022-03-24: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.84$62.48$65.52$65.52$62.91
Max Pain$63.61$63.00$65.00$63.00$63.00
ATM IV8.6%6.8%20.4%9.8%7.9%
Expected Move2.5%1.9%3.9%2.8%2.1%
HV 20d7.2%6.1%8.1%6.1%6.5%
HV 60d5.5%4.8%6.0%4.8%6.0%
IV Rank35.9%23.9%100.0%46.9%26.3%
IV Percentile94.9%89.3%100.0%98.0%92.9%
Term Structure-0.3%-3.2%0.8%-1.6%-0.6%
VWIV8.6%7.1%13.7%9.3%7.5%
Skew 25d0.0%-2.8%1.6%-0.7%0.6%
Skew 10d-0.1%-4.5%4.2%-2.3%4.2%
Call IV 25d9.6%7.2%23.4%10.7%9.2%
Put IV 25d9.7%7.6%24.6%10.0%9.8%
Bid-Ask Spread %80.8026.52132.3894.2288.19
Gamma HHI0.220.130.320.270.17
Net GEX7.5K-1.5K15.2K10.4K3.5K
Net DEX-15.1K-129.8K72.3K-45.2K5.9K
Net VEX-1.0K-1.8K-437-451-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.180.610.210.37
Total Volume90.4354115641136
Total OI124.135720357203

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$65.52$63.009.8%2.8%6.1%46.9%9.3%-0.7%-1.6%10.4K-45.2K-4510.2194.22N/AN/A3473621
2022-03-02$64.87$63.008.4%2.4%7.1%37.0%7.6%0.1%-0.0%11.5K-28.6K-6120.2195.25N/AN/A3474621
2022-03-03$65.00$63.008.6%2.5%7.1%37.9%8.6%-0.8%-0.4%11.0K-31.1K-6030.2193.21N/AN/A3474621
2022-03-04$65.40$63.0010.1%2.9%7.4%49.3%10.1%-0.9%-1.0%14.0K-66.2K-6400.2190.93N/AN/A3474621
2022-03-07$65.17$63.0010.7%3.1%7.1%53.6%10.5%-0.7%-0.9%13.2K-51.8K-6230.2489.12N/AN/A3484721
2022-03-08$64.86$65.008.8%3.2%7.4%39.3%10.9%-0.7%-0.3%10.2K-29.0K-6150.2395.03N/AN/A3584822
2022-03-09$64.62$65.007.7%2.6%7.4%31.5%9.2%-0.1%0.2%6.8K-5.4K-5690.2996.18N/AN/A35104922
2022-03-10$64.43$65.007.3%3.9%7.5%28.6%7.4%-2.8%0.8%5.5K3.8K-6090.29100.57N/AN/A35104924
2022-03-11$64.34$65.007.1%2.3%7.0%26.9%8.3%-0.1%0.1%1.1K28.3K-5240.2926.52N/AN/A35104924
2022-03-14$63.87$64.637.8%2.2%7.1%32.5%7.9%0.2%-0.2%-1.5K58.1K-4370.2969.31N/AN/A65194924
2022-03-15$63.82$64.637.6%2.1%7.0%31.2%7.9%0.5%-0.1%362-13.0K-8850.3440.45N/AN/A56197934
2022-03-16$63.64$64.637.1%2.1%7.1%27.4%7.4%0.6%0.4%1.5K-2.3K-8240.1874.96N/AN/A57108134
2022-03-17$63.59$0.006.9%2.0%7.0%25.7%0.0%0.1%-0.0%7.6K-11.6K-8520.1883.49N/AN/A57108234
2022-03-18$63.74$0.006.8%1.9%7.0%25.2%7.1%0.5%0.0%7.1K-16.4K-8440.6182.73N/AN/A97598234
2022-03-21$63.14$63.007.1%2.1%7.6%27.4%7.4%0.9%0.2%11.4K-77.5K-1.6K0.4680.38N/AN/A1054812060
2022-03-22$62.89$63.008.0%2.3%7.6%33.8%7.9%1.6%-0.2%10.0K-31.8K-1.5K0.5079.42N/AN/A964811560
2022-03-23$63.12$63.008.2%2.3%7.8%35.3%7.9%0.9%-0.3%9.3K-64.0K-1.5K0.5175.35N/AN/A995011660
2022-03-24$62.99$63.0020.4%3.9%7.8%100.0%13.7%1.3%-3.2%15.2K-129.8K-1.8K0.51132.38N/AN/A995012162
2022-03-25$62.49$63.008.4%2.6%8.1%29.4%8.8%-0.4%0.5%14.6K13.9K-1.5K0.3074.50N/AN/A993012162
2022-03-28$62.48$63.008.4%2.5%7.4%29.2%8.4%-0.4%0.3%3.0K72.3K-1.6K0.3081.56N/AN/A993012182
2022-03-29$62.63$63.008.1%2.1%6.9%27.5%7.7%0.4%-0.6%2.5K55.5K-1.6K0.3083.98N/AN/A993012182
2022-03-30$62.85$63.007.5%2.1%6.6%23.9%7.3%0.8%-0.2%3.7K18.8K-1.5K0.3030.59N/AN/A993012182
2022-03-31$62.91$63.007.9%2.1%6.5%26.3%7.5%0.6%-0.6%3.5K5.9K-1.6K0.3788.19N/AN/A993712182