VGIT Options History — June 2022

In June 2022, VGIT traded between $59.32 and $61.30. ATM implied volatility averaged 6.6%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded below realized volatility by 1.0% (HV 20d: 7.5%). Max pain ranged from $59.63 to $61.63. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.58.

Notable Days

  • 2022-06-03: Highest Volume — 239 contracts
  • 2022-06-13: Largest IV spike — 39.9% change
  • 2022-06-14: Highest IV Rank — 31.0%
  • 2022-06-14: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.56$59.32$61.30$61.26$61.16
Max Pain$60.55$59.63$61.63$61.00$61.63
ATM IV6.6%5.6%8.7%5.8%6.9%
Expected Move1.9%1.4%2.5%1.7%2.0%
HV 20d7.5%5.7%9.0%6.5%9.0%
HV 60d6.6%6.0%7.2%6.2%7.2%
IV Rank18.6%12.8%31.0%14.3%20.6%
IV Percentile72.0%57.5%94.4%64.7%78.6%
Term Structure-0.4%-1.4%0.3%-0.5%-1.2%
VWIV8.3%4.2%17.3%7.0%6.6%
Skew 25d1.0%-0.1%2.5%-0.1%0.4%
Skew 10d3.5%-0.3%24.7%0.8%0.8%
Call IV 25d6.7%4.9%9.3%6.4%7.3%
Put IV 25d7.7%5.9%10.3%6.3%7.7%
Bid-Ask Spread %113.9198.87124.40122.36121.55
Gamma HHI0.550.170.930.600.22
Net GEX-127.5K-684.5K-5.2K-53.8K-5.2K
Net DEX152.8K-46.9K733.0K-39.8K-24.9K
Net VEX-1.1K-1.4K-920-1.0K-920
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.422.732.701.11
Total Volume162.42991239237129
Total OI221.19156304240159

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$61.26$61.005.8%1.7%6.5%14.3%7.0%-0.1%-0.5%-53.8K-39.8K-1.0K2.70122.36N/AN/A6417363177
2022-06-02$61.30$59.635.7%1.7%6.3%13.3%8.8%1.0%-1.0%-36.3K-46.9K-1.1K2.70123.19N/AN/A6417363187
2022-06-03$61.22$59.635.9%1.4%6.0%14.4%7.6%0.1%0.1%-55.1K-31.5K-1.1K2.73110.35N/AN/A6417563187
2022-06-06$60.96$59.635.6%1.6%6.1%12.8%7.2%0.1%-0.4%-91.1K5.5K-1.2K2.73120.64N/AN/A6417563187
2022-06-07$61.09$59.636.3%1.6%5.8%17.3%7.6%0.9%-0.4%-65.2K-17.4K-1.1K2.73111.61N/AN/A6417563187
2022-06-08$61.00$59.635.7%1.6%5.8%13.1%7.9%0.6%-0.7%-89.3K6.0K-1.1K2.73108.70N/AN/A6417563187
2022-06-09$60.90$59.636.0%1.7%5.7%15.4%7.5%1.1%-0.8%-112.3K35.4K-1.2K2.73121.13N/AN/A6417563187
2022-06-10$60.39$59.636.1%1.7%6.2%15.6%7.4%0.7%-0.1%-234.1K255.5K-1.4K0.72124.40N/AN/A644663187
2022-06-13$59.57$59.638.5%2.4%7.6%29.9%9.1%2.0%-1.4%-211.5K650.1K-1.3K0.42104.19N/AN/A642763186
2022-06-14$59.32$59.638.7%2.5%7.5%31.0%9.7%0.6%-1.1%-184.4K733.0K-1.2K0.9798.87N/AN/A676563187
2022-06-15$59.87$59.636.9%2.0%8.3%20.5%9.5%1.8%-0.4%-336.6K544.3K-1.3K0.97109.96N/AN/A676564227
2022-06-16$60.17$59.637.5%2.1%8.4%24.0%14.8%0.7%0.3%-435.5K380.2K-1.3K1.01100.01N/AN/A676864227
2022-06-17$60.14$61.636.7%1.9%8.3%19.1%7.7%1.6%0.2%-684.5K350.7K-1.1K1.01110.70N/AN/A686964240
2022-06-21$59.97$61.637.4%2.1%8.2%23.4%8.1%1.4%-0.3%-20.8K110.3K-1.1K1.12109.36N/AN/A596659101
2022-06-22$60.52$61.636.3%1.8%8.9%16.7%4.2%2.4%0.1%-10.1K58.4K-1.0K1.12108.65N/AN/A596659101
2022-06-23$60.75$61.636.7%1.9%8.8%19.3%5.2%0.6%-0.4%-9.5K29.5K-1.0K1.10110.41N/AN/A606659101
2022-06-24$60.65$61.636.3%1.8%8.7%16.7%5.4%0.5%-0.1%-11.5K42.5K-1.0K1.14115.44N/AN/A586658101
2022-06-27$60.44$61.636.5%1.9%8.7%18.1%10.8%1.5%-0.2%-12.6K66.9K-9831.14113.73N/AN/A586658101
2022-06-28$60.42$61.636.4%1.8%8.7%17.4%17.3%1.1%0.0%-9.7K64.2K-9551.12122.67N/AN/A59665898
2022-06-29$60.76$61.636.6%1.9%8.9%18.6%5.3%2.5%-0.2%-8.5K36.8K-9521.08124.10N/AN/A61665998
2022-06-30$61.16$61.636.9%2.0%9.0%20.6%6.6%0.4%-1.2%-5.2K-24.9K-9201.11121.55N/AN/A61686198