VGIT Options History — May 2022

In May 2022, VGIT traded between $60.78 and $62.00. ATM implied volatility averaged 6.4%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 1.8%. IV traded above realized volatility by 0.4% (HV 20d: 6.0%). Max pain ranged from $60.00 to $63.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 2.77.

Notable Days

  • 2022-05-19: Highest Volume — 341 contracts
  • 2022-05-06: Largest IV spike — 60.3% change
  • 2022-05-06: Highest IV Rank — 41.9%
  • 2022-05-02: Largest Expected Move — 2.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.44$60.78$62.00$60.99$61.67
Max Pain$60.43$60.00$63.00$63.00$60.00
ATM IV6.4%5.0%10.5%7.8%5.5%
Expected Move1.8%1.4%2.3%2.3%1.6%
HV 20d6.0%5.7%6.4%5.8%5.9%
HV 60d6.5%6.1%6.8%6.5%6.1%
IV Rank17.6%9.4%41.9%26.1%12.1%
IV Percentile68.4%36.9%97.6%88.5%56.0%
Term Structure0.3%-0.8%9.3%-0.5%-0.4%
VWIV7.7%5.0%12.8%8.9%5.4%
Skew 25d1.2%-0.5%4.7%0.2%0.7%
Skew 10d3.7%-1.6%21.4%2.4%19.7%
Call IV 25d6.1%4.2%8.7%8.6%5.6%
Put IV 25d7.3%4.1%10.8%8.8%6.3%
Bid-Ask Spread %116.45102.66134.84109.07119.18
Gamma HHI0.520.190.720.630.20
Net GEX-59.5K-127.7K20.8K-86.7K17.5K
Net DEX110.2K-251.9K476.3K454.9K-112.3K
Net VEX-1.3K-1.9K-790-1.9K-857
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.771.963.743.202.70
Total Volume257.714234341256237
Total OI316.571237373327238

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$60.99$63.007.8%2.3%5.8%26.1%8.9%0.2%-0.5%-86.7K454.9K-1.9K3.20109.07N/AN/A61195116211
2022-05-03$61.00$63.007.8%2.2%5.8%26.1%9.5%0.3%-0.5%-94.9K413.8K-1.9K3.05110.16N/AN/A61186116211
2022-05-04$61.27$63.006.9%2.0%5.7%20.4%8.4%1.1%-0.1%-84.3K362.3K-1.7K3.05125.73N/AN/A61186116212
2022-05-05$60.96$60.006.6%1.9%5.9%18.6%7.0%0.6%-0.2%-107.0K454.1K-1.7K3.72110.42N/AN/A50186116212
2022-05-06$60.78$60.0010.5%2.2%5.9%41.9%12.1%4.7%1.3%-94.0K476.3K-1.9K3.65123.79N/AN/A51186112212
2022-05-09$61.16$60.006.3%1.9%6.4%17.2%7.5%1.2%-0.8%-106.4K388.3K-1.5K3.74113.70N/AN/A50187114212
2022-05-10$61.22$60.006.5%1.8%6.4%17.9%7.5%1.4%-0.6%-86.3K370.6K-1.5K2.49107.26N/AN/A75187115211
2022-05-11$61.37$60.006.5%1.9%6.0%18.2%12.8%3.8%9.3%-77.1K111.1K-1.7K2.47116.78N/AN/A75185144211
2022-05-12$61.59$60.006.3%1.8%6.2%16.8%8.4%0.5%0.1%-56.6K61.6K-1.4K2.48113.09N/AN/A75186145212
2022-05-13$61.37$60.006.5%1.9%6.0%18.3%7.5%1.2%-0.7%-75.1K95.6K-1.5K2.48102.66N/AN/A75186148214
2022-05-16$61.54$60.006.7%1.9%6.1%19.4%9.9%3.3%1.1%-127.7K-39.5K-1.1K2.58124.80N/AN/A76196148214
2022-05-17$61.19$60.006.4%1.8%6.1%17.7%7.5%0.7%-0.8%-96.4K211.1K-1.5K2.58118.65N/AN/A76196149224
2022-05-18$61.39$60.006.5%1.9%6.0%17.9%8.2%1.1%-0.6%-82.3K135.4K-1.4K2.58116.24N/AN/A76196149224
2022-05-19$61.56$60.005.7%1.6%6.0%13.4%5.9%-0.2%0.1%-42.3K-13.6K-1.2K1.97125.66N/AN/A115226149224
2022-05-20$61.76$60.005.4%1.5%6.1%11.7%5.2%0.9%0.5%-64.1K-45.3K-1.0K1.96116.06N/AN/A115225109224
2022-05-23$61.52$60.005.5%1.6%6.1%12.3%5.0%0.1%0.2%-40.1K-251.9K-9652.71111.02N/AN/A6317190163
2022-05-24$61.87$60.005.4%1.6%6.2%11.8%5.8%1.9%-0.0%-7.6K-235.1K-8562.67114.84N/AN/A6417180174
2022-05-25$62.00$60.005.2%1.5%6.1%10.4%6.6%1.6%0.0%20.4K-243.9K-8152.67113.11N/AN/A6417180174
2022-05-26$61.99$60.005.3%1.5%6.0%11.2%5.8%-0.5%-0.2%20.8K-139.3K-8112.67118.36N/AN/A6417163174
2022-05-27$61.99$60.005.0%1.4%5.9%9.4%6.7%0.9%-0.1%20.0K-141.0K-7902.67134.84N/AN/A6417163175
2022-05-31$61.67$60.005.5%1.6%5.9%12.1%5.4%0.7%-0.4%17.5K-112.3K-8572.70119.18N/AN/A6417363175